SYSTEMS AND METHODS FOR NON-STATIONARY TIME-SERIES FORECASTING

    公开(公告)号:US20230376746A1

    公开(公告)日:2023-11-23

    申请号:US17939085

    申请日:2022-09-07

    CPC classification number: G06N3/08 G06N3/0481

    Abstract: Embodiments described herein provide a time-index model for forecasting time-series data. The architecture of the model takes a normalized time index as an input, uses a model, g_φ, to produce a vector representation of the time-index, and uses a “ridge regressor” which takes the vector representation and provides an estimated value. The model may be trained on a time-series dataset. The ridge regressor is trained for a given g_φ to reproduce a given lookback window. g_φ is trained over time-indexes in a horizon window, such that g_φ and the corresponding ridge regressor will accurately predict the data in the horizon window. Once g_φ is sufficiently trained, the ridge regressor can be updated based on that final g_φ over a lookback window comprising the time-indexes with the last known values. The final g_φ together with the updated ridge regressor can be given time-indexes past the known values, thereby providing forecasted values.

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