Robust sales forecasting using deep learning with static and dynamic covariates

: Retailers must have accurate sales forecasts to efficiently and effectively operate their businesses and remain competitive in the marketplace. Global forecasting models like RNNs can be a powerful tool for forecasting in retail settings, where multiple time series are often interrelated and influenced by a variety of external factors. By including covariates in a forecasting model, we can often better capture the various factors that can influence sales in a retail setting. This can help improve the accuracy of our forecasts and enable better decision making for inventory management, purchasing, and other operational decisions. In this study, we investigate how the accuracy of global forecasting models is affected by the inclusion of different potential demand covariates. To ensure the significance of the study’s findings, we used the M5 forecasting competition’s openly accessible and well-established dataset. The results obtained from DeepAR models trained on different combinations of features indicate that the inclusion of time-, event-, and ID-related features consistently enhances the forecast accuracy. The optimal performance is attained when all these covariates are employed together, leading to a 1.8% improvement in RMSSE and a 6.5% improvement in MASE compared to the baseline model without features. It is noteworthy that all DeepAR models, both with and without covariates, exhibit a significantly superior forecasting performance in comparison to the seasonal naïve benchmark.info:eu-repo/semantics/publishedVersio

Shape and Time Distortion Loss for Training Deep Time Series Forecasting Models

International audienceThis paper addresses the problem of time series forecasting for non-stationarysignals and multiple future steps prediction. To handle this challenging task, weintroduce DILATE (DIstortion Loss including shApe and TimE), a new objectivefunction for training deep neural networks. DILATE aims at accurately predictingsudden changes, and explicitly incorporates two terms supporting precise shapeand temporal change detection. We introduce a differentiable loss function suitablefor training deep neural nets, and provide a custom back-prop implementation forspeeding up optimization. We also introduce a variant of DILATE, which providesa smooth generalization of temporally-constrained Dynamic Time Warping (DTW).Experiments carried out on various non-stationary datasets reveal the very goodbehaviour of DILATE compared to models trained with the standard Mean SquaredError (MSE) loss function, and also to DTW and variants. DILATE is also agnosticto the choice of the model, and we highlight its benefit for training fully connectednetworks as well as specialized recurrent architectures, showing its capacity toimprove over state-of-the-art trajectory forecasting approaches