论文标题
自动化时间序列预测管道的审查
Review of automated time series forecasting pipelines
论文作者
论文摘要
时间序列预测对于各个领域(例如能源系统和经济学)的各种用例都是基本的。为特定用例创建一个预测模型需要迭代且复杂的设计过程。典型的设计过程包括五个部分(1)数据预处理,(2)特征工程,(3)超参数优化,(4)预测方法选择,以及(5)预测结构,这些结构通常是在管道结构中组织的。处理时间序列不断增长的预测需求的一种有希望的方法是自动化此设计过程。因此,本文分析了有关自动化时间序列的现有文献预测管道,以研究如何自动化预测模型的设计过程。因此,我们考虑单个预测管道中的自动化机器学习(AUTOML)和自动统计预测方法。为此,我们首先介绍并比较每个管道部分的提议自动化方法。其次,我们分析了有关五个管道部分的相互作用,组合和覆盖范围的自动化方法。对于这两者,我们讨论文献,发现问题,提出建议并提出未来的研究。这篇综述表明,大多数论文仅涵盖五个管道部分中的两个或三篇。我们得出的结论是,未来的研究必须从整体上考虑预测管道的自动化,以实现大规模应用时间序列预测的应用。
Time series forecasting is fundamental for various use cases in different domains such as energy systems and economics. Creating a forecasting model for a specific use case requires an iterative and complex design process. The typical design process includes the five sections (1) data pre-processing, (2) feature engineering, (3) hyperparameter optimization, (4) forecasting method selection, and (5) forecast ensembling, which are commonly organized in a pipeline structure. One promising approach to handle the ever-growing demand for time series forecasts is automating this design process. The present paper, thus, analyzes the existing literature on automated time series forecasting pipelines to investigate how to automate the design process of forecasting models. Thereby, we consider both Automated Machine Learning (AutoML) and automated statistical forecasting methods in a single forecasting pipeline. For this purpose, we firstly present and compare the proposed automation methods for each pipeline section. Secondly, we analyze the automation methods regarding their interaction, combination, and coverage of the five pipeline sections. For both, we discuss the literature, identify problems, give recommendations, and suggest future research. This review reveals that the majority of papers only cover two or three of the five pipeline sections. We conclude that future research has to holistically consider the automation of the forecasting pipeline to enable the large-scale application of time series forecasting.