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arXiv · 2310.06077

Performative Time-Series Forecasting

Zhiyuan Zhao·Haoxin Liu·Alexander Rodriguez·B. Aditya Prakash
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Abstract

Time-series forecasting is a critical challenge in various domains and has witnessed substantial progress in recent years. Many real-life scenarios, such as public health, economics, and social applications, involve feedback loops where predictions can influence the predicted outcome, subsequently altering the target variable's distribution. This phenomenon, known as performativity, introduces the potential for 'self-negating' or 'self-fulfilling' predictions. Despite extensive studies in classification problems across domains, performativity remains largely unexplored in the context of time-series forecasting from a machine-learning perspective. In this paper, we formalize performative time-series forecasting (PeTS), addressing the challenge of accurate predictions when performativity-induced distribution shifts are possible. We propose a novel approach, Feature Performative-Shifting (FPS), which leverages the concept of delayed response to anticipate distribution shifts and subsequently predicts targets accordingly. We provide theoretical insights suggesting that FPS can potentially lead to reduced generalization error. We conduct comprehensive experiments using multiple time-series models on COVID-19 and traffic forecasting tasks. The results demonstrate that FPS consistently outperforms conventional time-series forecasting methods, highlighting its efficacy in handling performativity-induced challenges.

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Zhiyuan Zhao, Haoxin Liu, Alexander Rodriguez, B. Aditya Prakash. 2023-10-09. Performative Time-Series Forecasting. https://arxiv.org/abs/2310.06077

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