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Transfer learning for hierarchical forecasting: Reducing computational efforts of M5 winning method

Journal Contribution - Journal Article

The winning machine learning methods of the M5 Accuracy competition demonstrated high levels of forecast accuracy compared to the top-performing benchmarks in the history of the Mcompetitions. Yet, large-scale adoption is hampered due to the significant computational requirements to model, tune, and train these state-of-the-art algorithms. To overcome this major issue, we discuss the potential of transfer learning (TL) to reduce the computational e ort in hierarchical forecasting and provide proof of concept that TL can be applied on M5 top-performing methods. We demonstrate our easy-to-use TL framework on the recursive store level Light GBM models of the M5 winning method and attain similar levels of forecast accuracy with roughly 25% less training time. Our findings provide evidence for a novel application of TL to facilitate practical applicability of the M5 winning methods in large-scale settings with hierarchically structured data.
Journal: International Journal of Forecasting
ISSN: 0169-2070
Issue: /
Publication year:2022
Keywords:M5 Accurate Competition, Computational Requirements, Transfer Learning, Light GBM, Hierarchical Forecasting