Patent Application
20130024167
This document relates generally to computer-implemented forecasting and more particularly to using multiple forecasts to generate a combined forecast.
Forecasting is a process of making statements about events whose actual outcomes typically have not yet been observed. A commonplace example might be estimation for some variable of interest at some specified future date. Forecasting often involves formal statistical methods employing time series, cross-sectional or longitudinal data, or alternatively to less formal judgmental methods. Forecasts are often generated by providing a number of input values to a predictive model, where the model outputs a forecast. While a well designed model may give an accurate forecast, a configuration where predictions of multiple models are considered when generating a forecast may provide even stronger forecast results.
In accordance with the teachings herein, systems and methods are provided for evaluating a physical process with respect to one or more attributes of the physical process by combining forecasts for the one or more physical process attributes, where data for evaluating the physical process is generated over time. In one example, a forecast model selection graph is accessed, the forecast model selection graph comprising a hierarchy of nodes arranged in parent-child relationships. A plurality of model forecast nodes are resolved, where resolving a model forecast node includes generating a node forecast for the one or more physical process attributes. A combination node is processed, where a combination node transforms a plurality of node forecasts at child nodes of the combination node into a combined forecast. A selection node is processed, where a selection node chooses a node forecast from among child nodes of the selection node based on a selection criteria.
As another example, a system for storing evaluating a physical process with respect to one or more attributes of the physical process by combining forecasts for the one or more physical process attributes, where data for evaluating the physical process is generated over time is provided. The system may include one or more data processors and a computer-readable medium encoded with instructions for commanding the one or more data processors to execute steps. In the steps, a forecast model selection graph is accessed, the forecast model selection graph comprising a hierarchy of nodes arranged in parent-child relationships. A plurality of model forecast nodes are resolved, where resolving a model forecast node includes generating a node forecast for the one or more physical process attributes. A combination node is processed, where a combination node transforms a plurality of node forecasts at child nodes of the combination node into a combined forecast. A selection node is processed, where a selection node chooses a node forecast from among child nodes of the selection node based on a selection criteria.
As a further example, a computer-readable storage medium may be encoded with instructions for commanding one or more data processors to execute a method. In the method, a forecast model selection graph is accessed, the forecast model selection graph comprising a hierarchy of nodes arranged in parent-child relationships. A plurality of model forecast nodes are resolved, where resolving a model forecast node includes generating a node forecast for the one or more physical process attributes. A combination node is processed, where a combination node transforms a plurality of node forecasts at child nodes of the combination node into a combined forecast. A selection node is processed, where a selection node chooses a node forecast from among child nodes of the selection node based on a selection criteria.
As an additional example, one or more computer-readable storage mediums may store data structures for access by an application program being executed on one or more data processors for evaluating a physical process with respect to one or more attributes of the physical process by combining forecasts for the one or more physical process attributes, where physical process data generated over time is used in the forecasts for the one or more physical process attributes. The data structures may include a predictive models data structure, the predictive models data structure containing predictive data model records for specifying predictive data models and a forecast model selection graph data structure, where the forecast model selection graph data structure contains data about a hierarchical structure of nodes which specify how the forecasts for the one or more physical process attributes are combined, where the hierarchical structure of nodes has a root node wherein the nodes include model forecast nodes, one or more model combination nodes, and one or more model selection nodes. The forecast model selection graph data structure may include model forecast node data which specifies for the model forecast nodes which particular predictive data models contained in the predictive models data structure are to be used for generating forecasts, model combination node data which specifies for the one or more model combination nodes which of the forecasts generated by the model forecast nodes are to be combined, and selection node data which specifies for the one or more model selection nodes model selection criteria for selecting, based upon model forecasting performance, models associated with the model forecast nodes or the one or more model combination nodes.
For example, a combined forecast may be generated (e.g., to predict a manufacturing process output, to estimate product sales) by combining individual forecasts from two linear regression models and one autoregressive regression model. The individual forecasts may be combined in a variety of ways, such as by a straight average, via a weighted average, or via another method. To generate a weighted forecast, automated analysis of the individual forecasts may be performed to identify weights to generate an optimum combined forecast that best utilizes the available individual forecasts.
The combined forecast engine 102 provides a platform for users 104 to generate combined forecasts based on individual forecasts generated by individual predictive models 106. A user 104 accesses the combined forecast engine 102, which is hosted on one or more servers 108, via one or more networks 110. The one or more servers 108 are responsive to one or more data stores 112. The one or more data stores 112 may contain a variety of data that includes predictive models 106 and model forecasts 114.
The combined forecast engine 302 may utilize model selection and model combination operations to generate a combined forecast. For example, the combined forecast engine 302 may evaluate a physical process with respect to one or more attributes of the physical process by combining forecasts for the one or more physical process attributes. Data for evaluating the physical process may be generated over time, such as time series data.
At 310, the combined forecast engine accesses a forecast model selection graph. A forecast model selection graph incorporates both model selection and model combination into a decision based framework that, when applied to a time series, automatically selects a forecast from an evaluation of independent, individual forecasts generated. The forecast model selection graph can include forecasts from statistical models, external forecasts from outside agents (e.g., expert predictions, other forecasts generated outside of the combined forecast engine 302), or combinations thereof. The forecast model selection graph may be used to generate combined forecasts as well as comparisons among competing generated forecasts to select a best forecast. A forecast model selection graph for a forecast decision process of arbitrary complexity may be created, limited only by external factors such as computational power and machine resource limits.
A forecast model selection graph may include a hierarchy of nodes arranged in parent-child relationships including a root node. The hierarchy may include one or more selection nodes, one or more combination nodes, and a plurality of model forecast nodes. Each of the model forecast nodes is associated with a predictive model. The combined forecast engine may resolve the plurality of model forecast nodes, as shown at 312. Resolving a model forecast node includes generating a node forecast for the forecast variable 304 using the predictive model for the model forecast node. For example, a first model forecast node may be associated with a regression model. To resolve the first model forecast node, the combined forecast engine 302 provides the historic data 306 to the regression model, and the regression model generates a node forecast for the model forecast node. A second model forecast node may be associated with a human expert prediction. In such a case, computation by the combined forecast engine 302 may be limited, such as simply accessing the human expert's prediction from storage. A third model forecast node may be associated with a different combined model. To resolve the third model forecast node, the combined forecast engine 302 provides the historic data 306 to the different combined model, and the different combined model generates a node forecast for the model forecast node. Other types of models and forecasts may also be associated with a model forecast node.
At 314, the combined forecast engine processes a combination node. In processing a combination node, the combined forecast engine 302 transforms a plurality of node forecasts at child nodes of the combination nodes into a combined forecast. For example, a combination node having three child nodes would have the node forecasts for those three child nodes combined into a combined forecast for the combination node. Combining node forecasts may be done in a variety of ways, such as via a weighted average. A weighted average may weight each of the three node forecasts equally, or the combined forecast engine 302 may implement more complex logic to identify a weight for each of the three node forecasts. For example, weight types may include a simple average, user-defined weights, rank weights, ranked user-weights, AICC weights, root mean square error weights, restricted least squares eights, OLS weights, and least absolute deviation weights.
At 316, the combined forecast engine processes a selection node. In processing a selection node, the combined forecast engine 302 chooses a node forecast from among child nodes of the selection node based on a selection criteria. The selection criteria may take a variety of forms. For example, the selection criteria may dictate selection of a node forecast associated with a node whose associated model performs best in a hold out sample analysis.
As another example, metadata may be associated with models associated with node forecasts, where the metadata identifies a model characteristic of a model. The selection criteria may dictate selection of a node forecast whose metadata model characteristic best matches a characteristic of the forecast variable 304. For example, if the forecast variable 304 tends to behave in a seasonal pattern, then the selection criteria may dictate selection of a node forecast that was generated by a model whose metadata identifies it as handling seasonal data. Other example model metadata characteristics include trending model, intermittent model, and transformed model.
As a further example, the selection criteria may dictate selection of a node forecast having the least amount of missing data. A node forecast may include forecasts for the forecast variable 304 for a number of time periods in the future (e.g., forecast variable at t+1, forecast variable at t+2, . . . ). In some circumstances, a node forecast may be missing data for certain future time period forecasts (e.g., the node forecast is an expert's prediction, where the expert only makes one prediction at t+6 months). If a certain time period in the future is of specific interest, the selection criteria may dictate that a selected node forecast must not be missing a forecast at the time period of interest (e.g., when the time period of interest is t+1 month, the node forecast including the expert's prediction may not be selected).
As another example, the selection criteria may be based on a statistic of fit. For example, the combined forecast engine 302 may fit models associated with child nodes of a selection node with the historic data 306 and calculate statistics of fit for those models. Based on the determined statistics of fit, the combined forecast engine 302 selects the forecast node associated with the model that is a best fit.
The combined forecast engine 302 may continue resolving model forecast nodes 312 and processing combination and selection nodes 314, 316 until a final combined forecast is generated. For example, the combined forecast engine may work from the leaves up to the root in the forecast model selection graph hierarchy, where the final combined forecast is generated at the root node.
The forecast model selection graph also includes selection nodes 406. A selection node may include a selection criteria for choosing a node forecast from among child nodes (e.g., model forecast nodes 404) of the selection node 406. Certain of the depicted selection nodes S1, S2, Sn do not have their child nodes depicted in
Additional model forecast nodes 506 may be resolved to generate node forecasts at those model forecast nodes 506. A first combined forecast node 508 combines a model forecast associated with model forecast node MF1_1 and the model forecast at the selection node 504 to generate a combined forecast at the combination node 508. A second combined forecast node 510 combines a model forecast associated with model forecast node MF2_1 and the model forecast at the selection node 504 to generate a combined forecast at the combination node 510. Another selection node 512 selects a model forecast from one of the two combination nodes 508, 510 based on a selection criteria as the final combined forecast for the forecast model selection graph 500.
A forecast model selection graph may take a variety of forms. For example, the forecast model selection graph may be represented in one or more records in a database or described in a file. In another implementation, the forecast model selection graph may be represented via one or more XML based data structures. The XML data structures may identify the forecast sources to combine, diagnostic tests used in the selection and filtering of forecasts, methods for determining weights to forecasts to be combined, treatment of missing values, and selection of methods for estimating forecast prediction error variance.
At 606, the set of model forecasts may be reduced based on one or more forecast quality tests. Forecast quality tests may take a variety of forms. For example, forecast quality tests may analyze missing values of model forecasts. For example, model forecasts may be filtered from the set if the model forecasts have missing values in an area of interest (e.g., a forecast horizon). In another example, a model forecast may be filtered from the set if it is missing more than a particular % of values in the forecast horizon.
At 608, the set of model forecasts may be reduced based on redundancy tests. A redundancy test may analyze models associated with model forecasts nodes to identify robust models, and those models having a high degree of redundancy (e.g., models that are producing forecasts that are statistically too similar). Model forecasts having a high degree of redundancy may be excluded from the combined model being generated.
In addition to generating a combined forecast, certain statistics for a combined forecast may be determined. For example, a prediction error variance estimate may be calculated. The prediction error variance estimate may incorporate pair-wise correlation estimates between the individual forecast prediction errors for the predictions that make up the combined forecast and their associated prediction error variances.
With reference back to
As noted previously, a model forecast node may be associated with a predictive model that is used to generate a model forecast for the model forecast node. In one embodiment, the predictive models may be stored in a model repository for convenient access.
A model repository configuration may streamline the data contained in a forecast model selection graph.
The forecast model selection graph data structure 1202 may contain data about a hierarchical structure of nodes which specify how forecasts for the one or more physical attributes are combined, where the hierarchical structure of nodes has a root node, and where the nodes include one or more selection nodes 1208, one or more model combination nodes 1210, and model forecast nodes 1212. The forecast model selection graph data structure 1202 may include selection node data 1208 that specifies, for the one or more model selection nodes, model selection criteria for selecting, based upon model forecasting performance, models associated with the model forecast nodes or the one or more model combination nodes. The forecast model selection graph data structure 1202 may also include model combination node data 1210 that specifies, for the one or more model combination nodes, which of the forecasts generated by the model forecast nodes are to be combined.
The forecast model selection graph data structure 1202 may also include model forecast node data 1212 that specifies, for the model forecast nodes, which particular predictive data models contained in the models data structure are to be used for generating forecasts. For example, the model forecast node data 1212 may link which stored data model is associated with a specific model forecast node, such as via an index 1214. The stored data model 1216 identified by the model forecast node data 1212 may be accessed as part of a resolving process to generate a node forecast for a particular node of the model forecast selection graph. The combined forecast engine 1206 may process the forecast model selection graph data structure 1202, using stored data models 1216 identified by the models data structure 1204 via the link between the model forecast node data 1212 and the models data structure 1204 to generate a combined forecast 1218.
Example settings for advanced combined model settings include a method of combination setting. Example parameters include a RANKWGT setting, where a combined forecast engine analyzes the forecasts to be combined and assigns weights to those forecasts based on the analysis. In another example, the RANKWGT option may accept a set of user-defined weights that are substituted for the automatic rank weight settings for each ordinal position in the ranked set. The combined forecast engine analyzes and ranks the forecasts to be combined and then assigns the user-defined weights to the forecasts according to the forecast's ordinal position in the ranking. As another option, a user may directly assign weights to the individual forecasts, and as a further option, a mean-average of the individual forecasts may be utilized.
The advanced settings interface also includes an option for directing that a forecast encompassing test be performed. When selected, the combined forecast engine ranks individual forecasts for pairwise encompassing elimination. The advanced setting interface further includes options related to treatment of missing values. For example, a rescale option may be selected for weight methods that incorporate a sum-to-one restriction for combination weights. A further option directs a method of computation of prediction error variance series. This option is an allowance for treating scenarios where the cross-correlation between two forecast error series is localized over segments of time when it is assumed that the error series are not jointly stationary. DIAG may be the default setting, while ESTCORR presumes that the combination forecast error series are jointly stationary and estimates the pairwise cross-correlations over the complete time spans.
The systems and methods described herein may, in some implementations, be utilized to achieve one or more of the following benefits. For example, forecast accuracy may often be significantly improved by combining forecasts of individual predictive models. Combined forecasts also tend to produce reduced variability compared to the individual forecasts that are components of a combined forecast. The disclosed combination process may automatically generate forecast combinations and vet them against other model and expert forecasts as directed by the forecast model selection graph processing. Combined forecasts allow for better predicting systematic behavior of an underlying data generating process that cannot be captured by a single model forecast alone. Frequently, combinations of forecasts from simple models outperform a forecast from a single, complex model.
A disk controller 3360 interfaces one or more optional disk drives to the system bus 3352. These disk drives may be external or internal floppy disk drives such as 3362, external or internal CD-ROM, CD-R, CD-RW or DVD drives such as 3364, or external or internal hard drives 3366. As indicated previously, these various disk drives and disk controllers are optional devices.
Each of the element managers, real-time data buffer, conveyors, file input processor, database index shared access memory loader, reference data buffer and data managers may include a software application stored in one or more of the disk drives connected to the disk controller 3360, the ROM 3356 and/or the RAM 3358. Preferably, the processor 3354 may access each component as required.
A display interface 3368 may permit information from the bus 3352 to be displayed on a display 3370 in audio, graphic, or alphanumeric format. Communication with external devices may optionally occur using various communication ports 3372.
In addition to the standard computer-type components, the hardware may also include data input devices, such as a keyboard 3373, or other input device 3374, such as a microphone, remote control, pointer, mouse and/or joystick.
As additional examples, for example, the systems and methods may include data signals conveyed via networks (e.g., local area network, wide area network, internet, combinations thereof, etc.), fiber optic medium, carrier waves, wireless networks, etc. for communication with one or more data processing devices. The data signals can carry any or all of the data disclosed herein that is provided to or from a device.
Additionally, the methods and systems described herein may be implemented on many different types of processing devices by program code comprising program instructions that are executable by the device processing subsystem. The software program instructions may include source code, object code, machine code, or any other stored data that is operable to cause a processing system to perform the methods and operations described herein. Other implementations may also be used, however, such as firmware or even appropriately designed hardware configured to carry out the methods and systems described herein.
The systems' and methods' data (e.g., associations, mappings, data input, data output, intermediate data results, final data results, etc.) may be stored and implemented in one or more different types of computer-implemented data stores, such as different types of storage devices and programming constructs (e.g., RAM, ROM, Flash memory, flat files, databases, programming data structures, programming variables, IF-THEN (or similar type) statement constructs, etc.). It is noted that data structures describe formats for use in organizing and storing data in databases, programs, memory, or other computer-readable media for use by a computer program.
The computer components, software modules, functions, data stores and data structures described herein may be connected directly or indirectly to each other in order to allow the flow of data needed for their operations. It is also noted that a module or processor includes but is not limited to a unit of code that performs a software operation, and can be implemented for example as a subroutine unit of code, or as a software function unit of code, or as an object (as in an object-oriented paradigm), or as an applet, or in a computer script language, or as another type of computer code. The software components and/or functionality may be located on a single computer or distributed across multiple computers depending upon the situation at hand.
It should be understood that as used in the description herein and throughout the claims that follow, the meaning of “a,” “an,” and “the” includes plural reference unless the context clearly dictates otherwise. Also, as used in the description herein and throughout the claims that follow, the meaning of “in” includes “in” and “on” unless the context clearly dictates otherwise. Further, as used in the description herein and throughout the claims that follow, the meaning of “each” does not require “each and every” unless the context clearly dictates otherwise. Finally, as used in the description herein and throughout the claims that follow, the meanings of “and” and “or” include both the conjunctive and disjunctive and may be used interchangeably unless the context expressly dictates otherwise; the phrase “exclusive or” may be used to indicate situation where only the disjunctive meaning may apply.
