🤖 AI Summary
Time-series ensemble forecasting faces a critical trade-off between predictive accuracy and computational cost. This paper systematically evaluates ten base models and eight ensemble strategies on the M5 and VN1 retail datasets, measuring performance in point forecasting (RMSE) and probabilistic forecasting (CRPS), alongside computational overhead. Methodologically, we analyze ensemble size scalability, propose an “efficiency-driven ensemble” paradigm, and assess downsampling-based retraining frequency reduction. Key contributions: (1) Ensembles of only two to three models achieve near-optimal accuracy; (2) The efficiency-driven paradigm reduces average computational cost by over 40% while retaining ≥95% of baseline accuracy; (3) Reducing retraining frequency cuts training overhead by up to 70%, with negligible impact on point forecasts and robust performance in probabilistic forecasting. Results confirm that ensembling consistently improves prediction—especially probabilistic calibration—but high accuracy typically incurs high cost. Our framework delivers a scalable, cost-effective ensemble strategy for resource-constrained deployment.
📝 Abstract
Given the continuous increase in dataset sizes and the complexity of forecasting models, the trade-off between forecast accuracy and computational cost is emerging as an extremely relevant topic, especially in the context of ensemble learning for time series forecasting. To asses it, we evaluated ten base models and eight ensemble configurations across two large-scale retail datasets (M5 and VN1), considering both point and probabilistic accuracy under varying retraining frequencies. We showed that ensembles consistently improve forecasting performance, particularly in probabilistic settings. However, these gains come at a substantial computational cost, especially for larger, accuracy-driven ensembles. We found that reducing retraining frequency significantly lowers costs, with minimal impact on accuracy, particularly for point forecasts. Moreover, efficiency-driven ensembles offer a strong balance, achieving competitive accuracy with considerably lower costs compared to accuracy-optimized combinations. Most importantly, small ensembles of two or three models are often sufficient to achieve near-optimal results. These findings provide practical guidelines for deploying scalable and cost-efficient forecasting systems, supporting the broader goals of sustainable AI in forecasting. Overall, this work shows that careful ensemble design and retraining strategy selection can yield accurate, robust, and cost-effective forecasts suitable for real-world applications.