Optimizing accuracy and diversity: a multi-task approach to forecast combinations
arXiv:2310.20545v3 Announce Type: replace Abstract: We present a multi-task optimization approach based on a deep learning architecture for time series forecasting. We leverage large collections of time series to identify the weights of forecasting models that can be combined to produce forecasts for each series. This method jointly addresses two tasks: the selection of different forecasting models, and their effective combination. In doing so, it keeps into account, in an original way, both the accuracy and diversity of the forecasting methods. For a given time series, the model combination module extracts features and uses them to optimize the weights of the forecasting methods. Simultaneously, the model selection module extracts other features to identify the subset of methods to be used for the prediction. This selection process is framed as a classification problem, with the labels representing the set of models to be used for a series. These labels are determined by solving an au