2023/11/21 by Guanyu Zhang, Feng Li, Zhang, Guanyu +3
Computer Science · Decision Sciences · #Artificial Intelligence (cs.AI) #FOS: Computer and information sciences #Forecasting Techniques and Applications #Geochemistry and Geologic Mapping #Machine Learning (cs.LG) #Time Series Analysis and Forecasting
paper · pdf · doi:10.48550/arxiv.2311.12279
openalex publication_date 2023/11/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
As the popularity of hierarchical point forecast reconciliation methods increases, there is a growing interest in probabilistic forecast reconciliation. Many studies have utilized machine learning or deep learning techniques to implement probabilistic forecasting reconciliation and have made notable progress. However, these methods treat the reconciliation step as a fixed and hard post-processing step, leading to a trade-off between accuracy and coherency. In this paper, we propose a new approach for probabilistic forecast reconciliation. Unlike existing approaches, our proposed approach fuses the prediction step and reconciliation step into a deep learning framework, making the reconciliation step more flexible and soft by introducing the Kullback-Leibler divergence regularization term into the loss function. The approach is evaluated using three hierarchical time series datasets, which shows the advantages of our approach over other probabilistic forecast reconciliation methods.