Many economic applications including optimal pricing and inventory management requires prediction of demand based on sales data and estimation of sales reaction to a price change. There is a wide range of econometric approaches which are used to correct a bias in estimates of demand parameters on censored sales data. These approaches can also be applied to various classes of machine learning models to reduce the prediction error of sales volume. In this study we construct two ensemble models for demand prediction with and without accounting for demand censorship. Accounting for sales censorship is based on the idea of censored quantile regression method where the model estimation is splitted on two separate parts: a) prediction of zero sales by classification model; and b) prediction of non-zero sales by regression model. Models with and without accounting for censorship are based on the predictions aggregations of Least squares, Ridge and Lasso regressions and Random Forest model. Having estimated the predictive properties of both models, we empirically test the best predictive power of the model that takes into account the censored nature of demand. We also show that machine learning method with censorship accounting provide bias corrected estimates of demand sensitivity for price change similar to econometric models.
Universitat Pompeu Fabra（庞培法布拉大学）；Barcelona Graduate School of Economics（巴塞罗那经济研究生院）；Barcelona School of Management（巴塞罗那管理学院）
We consider a repeated newsvendor problem where the inventory manager has no prior information about the demand, and can access only censored/sales data. In analogy to multi-armed bandit problems, the manager needs to simultaneously "explore" and "exploit" with her inventory decisions, in order to minimize the cumulative cost. We make no probabilistic assumptions---importantly, independence or time stationarity---regarding the mechanism that creates the demand sequence. Our goal is to shed light on the hardness of the problem, and to develop policies that perform well with respect to the regre…
Danmarks Tekniske Universitet (DTU)（丹麦技术大学）；Donkey Republic（驴共和公司）
Transport demand is highly dependent on supply, especially for shared transport services where availability is often limited. As observed demand cannot be higher than available supply, historical transport data typically represents a biased, or censored, version of the true underlying demand pattern. Without explicitly accounting for this inherent distinction, predictive models of demand would necessarily represent a biased version of true demand, thus less effectively predicting the needs of service users. To counter this problem, we propose a general method for censorship-aware demand modeli…
Gas demand is made of three components: Residential, Industrial, and Thermoelectric Gas Demand. Herein, the one-day-ahead prediction of each component is studied, using Italian data as a case study. Statistical properties and relationships with temperature are discussed, as a preliminary step for an effective feature selection. Nine "base forecasters" are implemented and compared: Ridge Regression, Gaussian Processes, Nearest Neighbours, Artificial Neural Networks, Torus Model, LASSO, Elastic Net, Random Forest, and Support Vector Regression (SVR). Based on them, four ensemble predictors are c…
Dynamic Pricing with Adversarially-Censored Demands
Carnegie Mellon University（卡内基梅隆大学）；University of Texas at Dallas（德克萨斯大学达拉斯分校）；New York University（纽约大学）；University of California San Diego（加州大学圣地亚哥分校）
Shared mobility services require accurate demand models for effective service planning. On the one hand, modeling the full probability distribution of demand is advantageous because the entire uncertainty structure preserves valuable information for decision-making. On the other hand, demand is often observed through the usage of the service itself, so that the observations are censored, as they are inherently limited by available supply. Since the 1980s, various works on Censored Quantile Regression models have performed well under such conditions. Further, in the last two decades, several pa…
Department of Data Sciences and Operations, University of Southern California, Marshall School of Business（数据科学与运营系，南加州大学，马歇尔商学院）；Department of Industrial Engineering and Management Sciences, Northwestern University（工业工程与管理科学系，西北大学）
Spatial Supply Repositioning with Censored Demand Data
Rotman School of Management, University of Toronto（多伦多大学罗特曼管理学院）；Stanford University（斯坦福大学）；Faculty of Engineering and Faculty of Business and Economics, University of Hong Kong（香港大学工程学院和商学院）
Learning When to Restart: Nonstationary Newsvendor from Uncensored to Censored Demand
H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332, USA（霍普金斯·米利顿·斯图尔特工业与系统工程学院，佐治亚理工学院，美国亚特兰大，佐治亚州30332）；Department of Management Science, School of Management, Fudan University, Shanghai, 200433, China（管理科学系，复旦大学管理学院，中国上海，200433）；Department of Decisions, Operations and Technology, Chinese University of Hong Kong, Shatin, Hong Kong（决策、运营与技术系，香港中文大学，香港沙田）；Yau Mathematical Sciences Center & Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China（杨数学科学中心及数学科学系，清华大学，中国北京100084）
Enhancing Uncertainty Quantification in Drug Discovery with Censored Regression Labels
AstraZeneca R&D（阿斯利康研发部）；ELLIS Unit Linz（林茨ELLIS单元）；Institute for Machine Learning（机器学习研究所）；Johannes Kepler University Linz（约翰内斯·开普勒大学林茨分校）；KU Leuven（鲁汶大学）；Chalmers University of Technology（查尔姆斯理工大学）
University of Massachusetts, Amherst（马萨诸塞大学阿默斯特分校）；Adobe Research（Adobe研究院）；Adobe Advertising Cloud（Adobe广告云）
In programmatic advertising, ad slots are usually sold using second-price (SP) auctions in real-time. The highest bidding advertiser wins but pays only the second-highest bid (known as the winning price). In SP, for a single item, the dominant strategy of each bidder is to bid the true value from the bidder's perspective. However, in a practical setting, with budget constraints, bidding the true value is a sub-optimal strategy. Hence, to devise an optimal bidding strategy, it is of utmost importance to learn the winning price distribution accurately. Moreover, a demand-side platform (DSP), whi…
University of Freiburg（弗莱堡大学）；Leibniz University Hannover（汉诺威莱布尼茨大学）；Bosch Center for Artificial Intelligence（博世人工智能中心）
In many fields of study, we only observe lower bounds on the true response value of some experiments. When fitting a regression model to predict the distribution of the outcomes, we cannot simply drop these right-censored observations, but need to properly model them. In this work, we focus on the concept of censored data in the light of model-based optimization where prematurely terminating evaluations (and thus generating right-censored data) is a key factor for efficiency, e.g., when searching for an algorithm configuration that minimizes runtime of the algorithm at hand. Neural networks (N…
This work presents ensemble forecasting of monthly electricity demand using pattern similarity-based forecasting methods (PSFMs). PSFMs applied in this study include $k$-nearest neighbor model, fuzzy neighborhood model, kernel regression model, and general regression neural network. An integral part of PSFMs is a time series representation using patterns of time series sequences. Pattern representation ensures the input and output data unification through filtering a trend and equalizing variance. Two types of ensembles are created: heterogeneous and homogeneous. The former consists of differe…
We propose a new forecasting method for predicting load demand and generation scheduling. Accurate week-long forecasting of load demand and optimal power generation is critical for efficient operation of power grid systems. In this work, we use a synthetic data set describing a power grid with 700 buses and 134 generators over a 365-days period with data synthetically generated at an hourly rate. The proposed approach for week-long forecasting is based on the Gaussian process regression (GPR) method, with prior covariance matrices of the quantities of interest (QoI) computed from ensembles for…
Prognostics or Remaining Useful Life (RUL) Estimation from multi-sensor time series data is useful to enable condition-based maintenance and ensure high operational availability of equipment. We propose a novel deep learning based approach for Prognostics with Uncertainty Quantification that is useful in scenarios where: (i) access to labeled failure data is scarce due to rarity of failures (ii) future operational conditions are unobserved and (iii) inherent noise is present in the sensor readings. All three scenarios mentioned are unavoidable sources of uncertainty in the RUL estimation proce…
Accurately forecasting ridesourcing demand is important for effective transportation planning and policy-making. With the rise of Artificial Intelligence (AI), researchers have started to utilize machine learning models to forecast travel demand, which, in many cases, can produce higher prediction accuracy than statistical models. However, most existing machine-learning studies used a global model to predict the demand and ignored the influence of spatial heterogeneity (i.e., the spatial variations in the impacts of explanatory variables). Spatial heterogeneity can drive the parameter estimati…
Battery energy storage systems can be used for peak demand reduction in power systems, leading to significant economic benefits. Two practical challenges are 1) accurately determining the peak load days and hours and 2) quantifying and reducing uncertainties associated with the forecast in probabilistic risk measures for dispatch decision-making. In this study, we develop a supervised machine learning approach to generate 1) the probability of the next operation day containing the peak hour of the month and 2) the probability of an hour to be the peak hour of the day. Guidance is provided on t…
University of Toronto（多伦多大学）；Rubikloud Technologies Inc.（Rubikloud科技公司）
Access to a large variety of data across a massive population has made it possible to predict customer purchase patterns and responses to marketing campaigns. In particular, accurate demand forecasts for popular products with frequent repeat purchases are essential since these products are one of the main drivers of profits. However, buyer purchase patterns are extremely diverse and sparse on a per-product level due to population heterogeneity as well as dependence in purchase patterns across product categories. Traditional methods in survival analysis have proven effective in dealing with cen…
Healthcare datasets present many challenges to both machine learning and statistics as their data are typically heterogeneous, censored, high-dimensional and have missing information. Feature selection is often used to identify the important features but can produce unstable results when applied to high-dimensional data, selecting a different set of features on each iteration. The stability of feature selection can be improved with the use of feature selection ensembles, which aggregate the results of multiple base feature selectors. A threshold must be applied to the final aggregated feature …
Academy of Mathematics and Systems Science, Chinese Academy of Sciences（中国科学院数学与系统科学研究院）；University of Chinese Academy of Sciences（中国科学院大学）；Center for Forecasting Science, Chinese Academy of Sciences（中国科学院预测科学研究中心）
The availability of tourism-related big data increases the potential to improve the accuracy of tourism demand forecasting, but presents significant challenges for forecasting, including curse of dimensionality and high model complexity. A novel bagging-based multivariate ensemble deep learning approach integrating stacked autoencoders and kernel-based extreme learning machines (B-SAKE) is proposed to address these challenges in this study. By using historical tourist arrival data, economic variable data and search intensity index (SII) data, we forecast tourist arrivals in Beijing from four c…
Harvard T.H. Chan School of Public Health（哈佛陈曾熙公共卫生学院）；Brigham and Women’s Hospital（布莱根妇女医院）
Unsupervised ensemble learning has long been an interesting yet challenging problem that comes to prominence in recent years with the increasing demand of crowdsourcing in various applications. In this paper, we propose a novel method-- unsupervised ensemble learning via Ising model approximation (unElisa) that combines a pruning step with a predicting step. We focus on the binary case and use an Ising model to characterize interactions between the ensemble and the underlying true classifier. The presence of an edge between an observed classifier and the true classifier indicates a direct depe…
Due to proliferation of energy efficiency measures and availability of the renewable energy resources, traditional energy infrastructure systems (electricity, heat, gas) can no longer be operated in a centralized manner under the assumption that consumer behavior is inflexible, i.e. cannot be adjusted in return for an adequate incentive. To allow for a less centralized operating paradigm, consumer-end perspective and abilities should be integrated in current dispatch practices and accounted for in switching between different energy sources not only at the system but also at the individual cons…
Kaunas University of Technology（考纳斯理工大学）；Rivile（Rivile私人有限责任公司）
Amounts of historical data collected increase and business intelligence applicability with automatic forecasting of time series are in high demand. While no single time series modeling method is universal to all types of dynamics, forecasting using an ensemble of several methods is often seen as a compromise. Instead of fixing ensemble diversity and size, we propose to predict these aspects adaptively using meta-learning. Meta-learning here considers two separate random forest regression models, built on 390 time-series features, to rank 22 univariate forecasting methods and recommend ensemble…
Virginia Tech（弗吉尼亚理工大学）；IBM Research Africa（IBM非洲研究院）；IBM Research Europe（IBM欧洲研究院）
As acute climate change impacts weather and climate variability, there is increased demand for robust climate impact model predictions from which forecasts of the impacts can be derived. The quality of those predictions are limited by the climate drivers for the impact models which are nonlinear and highly variable in nature. One way to estimate the uncertainty of the model drivers is to assess the distribution of ensembles of climate forecasts. To capture the uncertainty in the impact model outputs associated with the distribution of the input climate forecasts, each individual forecast ensem…
Supply and demand are two fundamental concepts of sellers and customers. Predicting demand accurately is critical for organizations in order to be able to make plans. In this paper, we propose a new approach for demand prediction on an e-commerce web site. The proposed model differs from earlier models in several ways. The business model used in the e-commerce web site, for which the model is implemented, includes many sellers that sell the same product at the same time at different prices where the company operates a market place model. The demand prediction for such a model should consider t…
Warwick Medical School, University of Warwick（华威大学华威医学院）；WMG, University of Warwick（华威大学华威制造集团）；Department of Statistics, University of Warwick（华威大学统计系）；Alan Turing Institute（艾伦·图灵研究所）
Offline reinforcement learning agents seek optimal policies from fixed data sets. With environmental interaction prohibited, agents face significant challenges in preventing errors in value estimates from compounding and subsequently causing the learning process to collapse. Uncertainty estimation using ensembles compensates for this by penalising high-variance value estimates, allowing agents to learn robust policies based on data-driven actions. However, the requirement for large ensembles to facilitate sufficient penalisation results in significant computational overhead. In this work, we e…
Demand response (DR) programs aim to engage distributed small-scale flexible loads, such as thermostatically controllable loads (TCLs), to provide various grid support services. Linearly Solvable Markov Decision Process (LS-MDP), a variant of the traditional MDP, is used to model aggregated TCLs. Then, a model-free reinforcement learning technique called Z-learning is applied to learn the value function and derive the optimal policy for the DR aggregator to control TCLs. The learning process is robust against uncertainty that arises from estimating the passive dynamics of the aggregated TCLs. …
In online internet advertising, machine learning models are widely used to compute the likelihood of a user engaging with product related advertisements. However, the performance of traditional machine learning models is often impacted due to variations in user and advertiser behavior. For example, search engine traffic for florists usually tends to peak around Valentine's day, Mother's day, etc. To overcome, this challenge, in this manuscript we propose three models which are able to incorporate the effects arising due to variations in product demand. The proposed models are a combination of …
Ensembles of Deep Neural Networks (DNNs) have achieved qualitative predictions but they are computing and memory intensive. Therefore, the demand is growing to make them answer a heavy workload of requests with available computational resources. Unlike recent initiatives on inference servers and inference frameworks, which focus on the prediction of single DNNs, we propose a new software layer to serve with flexibility and efficiency ensembles of DNNs. Our inference system is designed with several technical innovations. First, we propose a novel procedure to find a good allocation matrix betwe…
