Probabilistic Time Series Forecasting Based on Similar Segment Importance in the Process Industry

Abstract

Probabilistic time series forecasting is crucial in various fields, including reducing stockout risks in retail, balancing road network loads, and optimizing power distribution systems. Building forecasting models for large-scale time series is challenging due to distribution differences, amplitude fluctuations, and complex patterns across various series. To address these challenges, a probabilistic forecasting method with two different implementations that focus on historical segment importance is proposed in this paper. First, a patch squeeze and excitation (PSE) module is designed to preprocess historical data, capture segment importance, and distill information. Next, an LSTM-based network is used to generate maximum likelihood estimations of distribution parameters or different quantiles for multi-step forecasting. Experimental results demonstrate that the proposed PSE module significantly enhances the base model’s prediction performance, and direct multi-step forecasting offers more detailed information for high-frequency data than recursive forecasting.