Using dynamic loss weighting to boost improvements in forecast stability

• URL: http://arxiv.org/abs/2409.18267v1
• Date: Thu, 26 Sep 2024 20:21:46 GMT
• Title: Using dynamic loss weighting to boost improvements in forecast stability
• Authors: Daan Caljon, Jeff Vercauteren, Simon De Vos, Wouter Verbeke, Jente Van Belle,
• Abstract summary: Rolling origin forecast instability refers to variability in forecasts for a specific period induced by updating the forecast. In this paper, we empirically investigate whether further improvements in stability can be obtained without compromising accuracy by applying dynamic loss weighting algorithms.
• Score: 0.9332308328407303
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Rolling origin forecast instability refers to variability in forecasts for a specific period induced by updating the forecast when new data points become available. Recently, an extension to the N-BEATS model for univariate time series point forecasting was proposed to include forecast stability as an additional optimization objective, next to accuracy. It was shown that more stable forecasts can be obtained without harming accuracy by minimizing a composite loss function that contains both a forecast error and a forecast instability component, with a static hyperparameter to control the impact of stability. In this paper, we empirically investigate whether further improvements in stability can be obtained without compromising accuracy by applying dynamic loss weighting algorithms, which change the loss weights during training. We show that some existing dynamic loss weighting methods achieve this objective. However, our proposed extension to the Random Weighting approach -- Task-Aware Random Weighting -- shows the best performance.

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