Forecasting intermittent and sparse time series: A unified probabilistic framework via deep renewal processes

Intermittency are a common and challenging problem in demand forecasting. We introduce a new, unified framework for building probabilistic forecasting models for intermittent demand time series, which incorporates and allows to generalize existing methods in several directions. Our framework is based on extensions of well-established model-based methods to discrete-time renewal processes, which can parsimoniously account for patterns such as aging, clustering and quasi-periodicity in demand arrivals. The connection to discrete-time renewal processes allows not only for a principled extension of Croston-type models, but additionally for a natural inclusion of neural network based models-by replacing exponential smoothing with a recurrent neural network. We also demonstrate that modeling continuous-time demand arrivals, i.e., with a temporal point process, is possible via a trivial extension of our framework. This leads to more flexible modeling in scenarios where data of individual purchase orders are directly available with granular timestamps. Complementing this theoretical advancement, we demonstrate the efficacy of our framework for forecasting practice via an extensive empirical study on standard intermittent demand data sets, in which we report predictive accuracy in a variety of scenarios.

Automated summary

Intermittency in demand forecasting poses a common and challenging problem. A new unified framework for building probabilistic forecasting models for intermittent demand time series is introduced in this study, incorporating and generalizing existing methods. This framework, based on extensions of well-established model-based methods to discrete-time renewal processes, allows for accounting for patterns such as aging, clustering, and quasi-periodicity in demand arrivals. Through empirical studies, the effectiveness of the framework in forecasting practice is demonstrated with reported predictive accuracy in various scenarios.