arXiv subjects

Evangelos Spiliotis

Publications and source records attributed to Evangelos Spiliotis.

13 recordsLinked to original sources

arXiv2026

Multi-objective probabilistic forecast combination for inventory demand

Probabilistic forecasts are essential for inventory management, where decisions depend on the full distribution of future demand. While probabilistic forecast combination is widely used to improve statistical accuracy, most existing approaches optimize statistical loss alone and overlook operational objectives. However, in inventory settings, higher forecast accuracy does not necessarily translate into better decision performance, especially under nonlinear cost structures and multiple, potentially conflicting, decision targets. To address this gap, we propose a multi-objective probabilistic forecast combination framework that simultaneously considers forecast accuracy and inventory decision performance. The framework formulates forecast combination as a multi-objective optimization problem and derives a set of Pareto-optimal combinations, enabling explicit trade-offs between forecasting and operational goals. Empirical studies using Walmart retail data and Royal Air Force spare parts data demonstrate that the proposed approach achieves more balanced and robust performance than individual models, simple averaging, and single-objective optimization. Our results provide a practical and flexible framework for aligning probabilistic forecasting with inventory decision-making.

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arXiv2025

A Trustworthy By Design Classification Model for Building Energy Retrofit Decision Support

Improving energy efficiency in residential buildings is critical to combating climate change and reducing greenhouse gas emissions. Retrofitting existing buildings, which contribute a significant share of energy use, is therefore a key priority, especially in regions with outdated building stock. Artificial Intelligence (AI) and Machine Learning (ML) can automate retrofit decision-making and find retrofit strategies. However, their use faces challenges of data availability, model transparency, and compliance with national and EU AI regulations including the AI act, ethics guidelines and the ALTAI. This paper presents a trustworthy-by-design ML-based decision support framework that recommends energy efficiency strategies for residential buildings using minimal user-accessible inputs. The framework merges Conditional Tabular Generative Adversarial Networks (CTGAN) to augment limited and imbalanced data with a neural network-based multi-label classifier that predicts potential combinations of retrofit actions. To support explanation and trustworthiness, an Explainable AI (XAI) layer using SHapley Additive exPlanations (SHAP) clarifies the rationale behind recommendations and guides feature engineering. Two case studies validate performance and generalization: the first leveraging a well-established, large EPC dataset for England and Wales; the second using a small, imbalanced post-retrofit dataset from Latvia (RETROFIT-LAT). Results show that the framework can handle diverse data conditions and improve performance up to 53% compared to the baseline. Overall, the proposed framework provides a feasible, interpretable, and trustworthy AI system for building retrofit decision support through assured performance, usability, and transparency to aid stakeholders in prioritizing effective energy investments and support regulation-compliant, data-driven innovation in sustainable energy transition.

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arXiv2023

Transfer learning for day-ahead load forecasting: a case study on European national electricity demand time series

Short-term load forecasting (STLF) is crucial for the daily operation of power grids. However, the non-linearity, non-stationarity, and randomness characterizing electricity demand time series renders STLF a challenging task. Various forecasting approaches have been proposed for improving STLF, including neural network (NN) models which are trained using data from multiple electricity demand series that may not necessary include the target series. In the present study, we investigate the performance of this special case of STLF, called transfer learning (TL), by considering a set of 27 time series that represent the national day-ahead electricity demand of indicative European countries. We employ a popular and easy-to-implement NN model and perform a clustering analysis to identify similar patterns among the series and assist TL. In this context, two different TL approaches, with and without the clustering step, are compiled and compared against each other as well as a typical NN training setup. Our results demonstrate that TL can outperform the conventional approach, especially when clustering techniques are considered.

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arXiv2023

Wielding Occam's razor: Fast and frugal retail forecasting

The algorithms available for retail forecasting have increased in complexity. Newer methods, such as machine learning, are inherently complex. The more traditional families of forecasting models, such as exponential smoothing and autoregressive integrated moving averages, have expanded to contain multiple possible forms and forecasting profiles. We question complexity in forecasting and the need to consider such large families of models. Our argument is that parsimoniously identifying suitable subsets of models will not decrease forecasting accuracy nor will it reduce the ability to estimate forecast uncertainty. We propose a framework that balances forecasting performance versus computational cost, resulting in the consideration of only a reduced set of models. We empirically demonstrate that a reduced set performs well. Finally, we translate computational benefits to monetary cost savings and environmental impact and discuss the implications of our results in the context of large retailers.

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arXiv2023

The M6 forecasting competition: Bridging the gap between forecasting and investment decisions

The M6 forecasting competition, the sixth in the Makridakis' competition sequence, is focused on financial forecasting. A key objective of the M6 competition was to contribute to the debate surrounding the Efficient Market Hypothesis (EMH) by examining how and why market participants make investment decisions. To address these objectives, the M6 competition investigated forecasting accuracy and investment performance on a universe of 100 publicly traded assets. The competition employed live evaluation on real data across multiple periods, a cross-sectional setting where participants predicted asset performance relative to that of other assets, and a direct evaluation of the utility of forecasts. In this way, we were able to measure the benefits of accurate forecasting and assess the importance of forecasting when making investment decisions. Our findings highlight the challenges that participants faced when attempting to accurately forecast the relative performance of assets, the great difficulty associated with trying to consistently outperform the market, the limited connection between submitted forecasts and investment decisions, the value added by information exchange and the "wisdom of crowds", and the value of utilizing risk models when attempting to connect prediction and investing decisions.

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arXiv2023

A comparative assessment of deep learning models for day-ahead load forecasting: Investigating key accuracy drivers

Short-term load forecasting (STLF) is vital for the effective and economic operation of power grids and energy markets. However, the non-linearity and non-stationarity of electricity demand as well as its dependency on various external factors renders STLF a challenging task. To that end, several deep learning models have been proposed in the literature for STLF, reporting promising results. In order to evaluate the accuracy of said models in day-ahead forecasting settings, in this paper we focus on the national net aggregated STLF of Portugal and conduct a comparative study considering a set of indicative, well-established deep autoregressive models, namely multi-layer perceptrons (MLP), long short-term memory networks (LSTM), neural basis expansion coefficient analysis (N-BEATS), temporal convolutional networks (TCN), and temporal fusion transformers (TFT). Moreover, we identify factors that significantly affect the demand and investigate their impact on the accuracy of each model. Our results suggest that N-BEATS consistently outperforms the rest of the examined models. MLP follows, providing further evidence towards the use of feed-forward networks over relatively more sophisticated architectures. Finally, certain calendar and weather features like the hour of the day and the temperature are identified as key accuracy drivers, providing insights regarding the forecasting approach that should be used per case.

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arXiv2022

Forecasting: theory and practice

Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The large number of forecasting applications calls for a diverse set of forecasting methods to tackle real-life challenges. This article provides a non-systematic review of the theory and the practice of forecasting. We provide an overview of a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts. We do not claim that this review is an exhaustive list of methods and applications. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of forecasting theory and practice. Given its encyclopedic nature, the intended mode of reading is non-linear. We offer cross-references to allow the readers to navigate through the various topics. We complement the theoretical concepts and applications covered by large lists of free or open-source software implementations and publicly-available databases.

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arXiv2021

Exploring the representativeness of the M5 competition data

The main objective of the M5 competition, which focused on forecasting the hierarchical unit sales of Walmart, was to evaluate the accuracy and uncertainty of forecasting methods in the field in order to identify best practices and highlight their practical implications. However, whether the findings of the M5 competition can be generalized and exploited by retail firms to better support their decisions and operation depends on the extent to which the M5 data is sufficiently similar to unit sales data of retailers that operate in different regions, sell different types of products, and consider different marketing strategies. To answer this question, we analyze the characteristics of the M5 time series and compare them with those of two grocery retailers, namely Corporación Favorita and a major Greek supermarket chain, using feature spaces. Our results suggest that there are only small discrepancies between the examined data sets, supporting the representativeness of the M5 data.

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arXiv2021

The future of forecasting competitions: Design attributes and principles

Forecasting competitions are the equivalent of laboratory experimentation widely used in physical and life sciences. They provide useful, objective information to improve the theory and practice of forecasting, advancing the field, expanding its usage and enhancing its value to decision and policymakers. We describe ten design attributes to be considered when organizing forecasting competitions, taking into account trade-offs between optimal choices and practical concerns like costs, as well as the time and effort required to participate in them. Consequently, we map all major past competitions in respect to their design attributes, identifying similarities and differences between them, as well as design gaps, and making suggestions about the principles to be included in future competitions, putting a particular emphasis on learning as much as possible from their implementation in order to help improve forecasting accuracy and uncertainty. We discuss that the task of forecasting often presents a multitude of challenges that can be difficult to be captured in a single forecasting contest. To assess the caliber of a forecaster, we, therefore, propose that organizers of future competitions consider a multi-contest approach. We suggest the idea of a forecasting "athlon", where different challenges of varying characteristics take place.

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arXiv2021

Model combinations through revised base-rates

Standard selection criteria for forecasting models focus on information that is calculated for each series independently, disregarding the general tendencies and performances of the candidate models. In this paper, we propose a new way to statistical model selection and model combination that incorporates the base-rates of the candidate forecasting models, which are then revised so that the per-series information is taken into account. We examine two schemes that are based on the precision and sensitivity information from the contingency table of the base rates. We apply our approach on pools of exponential smoothing models and a large number of real time series and we show that our schemes work better than standard statistical benchmarks. We discuss the connection of our approach to other cross-learning approaches and offer insights regarding implications for theory and practice.

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arXiv2020

Model selection in reconciling hierarchical time series

Model selection has been proven an effective strategy for improving accuracy in time series forecasting applications. However, when dealing with hierarchical time series, apart from selecting the most appropriate forecasting model, forecasters have also to select a suitable method for reconciling the base forecasts produced for each series to make sure they are coherent. Although some hierarchical forecasting methods like minimum trace are strongly supported both theoretically and empirically for reconciling the base forecasts, there are still circumstances under which they might not produce the most accurate results, being outperformed by other methods. In this paper we propose an approach for dynamically selecting the most appropriate hierarchical forecasting method and succeeding better forecasting accuracy along with coherence. The approach, to be called conditional hierarchical forecasting, is based on Machine Learning classification methods and uses time series features as leading indicators for performing the selection for each hierarchy examined considering a variety of alternatives. Our results suggest that conditional hierarchical forecasting leads to significantly more accurate forecasts than standard approaches, especially at lower hierarchical levels.

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arXiv2020

Déjà vu: A data-centric forecasting approach through time series cross-similarity

Accurate forecasts are vital for supporting the decisions of modern companies. Forecasters typically select the most appropriate statistical model for each time series. However, statistical models usually presume some data generation process while making strong assumptions about the errors. In this paper, we present a novel data-centric approach -- `forecasting with similarity', which tackles model uncertainty in a model-free manner. Existing similarity-based methods focus on identifying similar patterns within the series, i.e., `self-similarity'. In contrast, we propose searching for similar patterns from a reference set, i.e., `cross-similarity'. Instead of extrapolating, the future paths of the similar series are aggregated to obtain the forecasts of the target series. Building on the cross-learning concept, our approach allows the application of similarity-based forecasting on series with limited lengths. We evaluate the approach using a rich collection of real data and show that it yields competitive accuracy in both points forecasts and prediction intervals.

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arXiv2020

Hierarchical forecast reconciliation with machine learning

Hierarchical forecasting methods have been widely used to support aligned decision-making by providing coherent forecasts at different aggregation levels. Traditional hierarchical forecasting approaches, such as the bottom-up and top-down methods, focus on a particular aggregation level to anchor the forecasts. During the past decades, these have been replaced by a variety of linear combination approaches that exploit information from the complete hierarchy to produce more accurate forecasts. However, the performance of these combination methods depends on the particularities of the examined series and their relationships. This paper proposes a novel hierarchical forecasting approach based on machine learning that deals with these limitations in three important ways. First, the proposed method allows for a non-linear combination of the base forecasts, thus being more general than the linear approaches. Second, it structurally combines the objectives of improved post-sample empirical forecasting accuracy and coherence. Finally, due to its non-linear nature, our approach selectively combines the base forecasts in a direct and automated way without requiring that the complete information must be used for producing reconciled forecasts for each series and level. The proposed method is evaluated both in terms of accuracy and bias using two different data sets coming from the tourism and retail industries. Our results suggest that the proposed method gives superior point forecasts than existing approaches, especially when the series comprising the hierarchy are not characterized by the same patterns.

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