arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2201.11964cs.LGcs.AI
收藏

基于强化学习的动态时间协调

Dynamic Temporal Reconciliation by Reinforcement learning

Mastercard, AI Garage(万事达卡人工智能创新实验室)

Himanshi Charotia, Abhishek Garg, Gaurav Dhama, Naman Maheshwari

摘要:

基于长期和短期时间序列预测的规划是许多行业的常见做法。在这方面,时间汇总和协调技术有助于改进预测,减少模型的不确定性,并提供跨不同时间范围的连贯预测。然而,一个基本的假设,跨越所有这些技术是完整的可用性的数据在所有级别的时间层次结构,虽然这提供了数学上的方便,但大多数时候,低频数据是部分完成,它是不可用的,而预测。另一方面,在COVID大流行等情况下,高频数据可能会发生重大变化,此变化可用于改善预测,否则将与长期实际情况存在重大差异。我们提出了一个动态的和解方法,使我们制定的问题,通知低频预测的基础上,高频的实际马尔可夫决策过程(MDP)允许的事实,我们没有完整的信息动态的过程。这使我们能够根据最新的可用数据进行最佳的长期估计,即使低频周期仅部分完成。MDP已经使用具有可定制动作的时间差分强化学习(TDRL)方法来解决,并且与仅依赖历史低频数据相比,显著改善了长期预测。结果还强调了这样一个事实,即虽然低频预测可以改善高频预测中提到的时间调和文献(基于假设,低频预测具有较低的噪声信号比)的高频预测也可以用来通知低频预测。

英文摘要:

Planning based on long and short term time series forecasts is a common practice across many industries. In this context, temporal aggregation and reconciliation techniques have been useful in improving forecasts, reducing model uncertainty, and providing a coherent forecast across different time horizons. However, an underlying assumption spanning all these techniques is the complete availability of data across all levels of the temporal hierarchy, while this offers mathematical convenience but most of the time low frequency data is partially completed and it is not available while forecasting. On the other hand, high frequency data can significantly change in a scenario like the COVID pandemic and this change can be used to improve forecasts that will otherwise significantly diverge from long term actuals. We propose a dynamic reconciliation method whereby we formulate the problem of informing low frequency forecasts based on high frequency actuals as a Markov Decision Process (MDP) allowing for the fact that we do not have complete information about the dynamics of the process. This allows us to have the best long term estimates based on the most recent data available even if the low frequency cycles have only been partially completed. The MDP has been solved using a Time Differenced Reinforcement learning (TDRL) approach with customizable actions and improves the long terms forecasts dramatically as compared to relying solely on historical low frequency data. The result also underscores the fact that while low frequency forecasts can improve the high frequency forecasts as mentioned in the temporal reconciliation literature (based on the assumption that low frequency forecasts have lower noise to signal ratio) the high frequency forecasts can also be used to inform the low frequency forecasts.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑