[Solomonov Seminar] 284. Solomonov seminar

[Marko Grobelnik]

V torek, 16. januarja 2018 (jutri) bo ob 13h v Veliki predavalnici IJS 
284. Solomonov seminar. Velika predavalnica je v prvem nadstropju glavne 
stavbe IJS na Jamovi 39. Posnetki preteklih seminarjev so na 
http://videolectures.net/solomon/


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Luis Torgo, University of Porto

Title: Arbitrage of Forecasting Experts

Abstract:

Forecasting is an important task across several domains. Its generalised 
interest is related to the uncertainty and evolving structure of time 
series. Forecasting methods are typically designed to cope with temporal 
dependencies among observations. In this paper we propose a novel 
approach  where several forecasting models are dynamically combined to 
make a predictions.

We propose a dynamic ensemble method based on arbitrating. Arbitrating 
is a metalearning approach that combines the output of experts according 
to predictions of the loss that they will incur. Within the arbitrage 
method we present an approach for retrieving out-of-bag predictions that 
significantly improves its data efficiency. Finally, we propose a method 
for explicitly handling the interdependence between experts when 
aggregating their predictions.

We present extensive empirical evidence for the competitiveness of the 
proposed method relative to state of the art approaches. Our method is 
publicly available as a software package.