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Reinforcement Learning Based Dynamic Model Combination for Time Series Forecasting

AAAI 2022 · Time series › Causal and generative time series · approach: Robust forecasting and evaluation · 58 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use dynamic RL-based model combination instead of the single best modelTime-series forecasting ensemble · ETTMAE: 4.59 -> 4.39Helped
Use dynamic RL-based model combination instead of the single best modelTime-series forecasting ensemble · ETTsMAPE: 73.69 -> 72.11Helped
Use dynamic RL-based model combination instead of the single best modelTime-series forecasting ensemble · ClimateMAE: 1.67 -> 1.47Helped
Use dynamic RL-based model combination instead of the single best modelTime-series forecasting ensemble · ClimatesMAPE: 25.80 -> 25.50Helped
Use dynamic RL-based model combination instead of the single best modelTime-series forecasting ensemble · GEFCOMMAE: 89.09 -> 88.25Helped
Use dynamic RL-based model combination instead of the single best modelTime-series forecasting ensemble · GEFCOMsMAPE: 2.75 -> 2.73Helped
Use dynamic RL-based model combination instead of the single best modelTime-series forecasting ensemble · M4-DailyMAE: 147.61 -> 145.78Helped
Use dynamic RL-based model combination instead of the single best modelTime-series forecasting ensemble · M4-DailysMAPE: 2.39 -> 2.31Helped
Add the one-hot-vertex exploration strategy (ablation)RLMC · ClimateMAEHelped
Add pretraining of the actor as a multiclass model-selection task (ablation)RLMC · ClimateMAEHelped
Add an extra replay buffer for hard, low-reward samples (ablation)RLMC · ClimateMAEHelped

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