Why is global modeling important for time series? For starters, the ability to forecast many time series with a single model that is trained on many time series groups was a winning strategy in recent Kaggle M5 Forecasting Competition. In fact, it’s the solution we recommend in our Time Series Course when forecasting many time series as part of a high-performance forecasting system. Why? Because it speeds up forecasting, allowing the data scientist to more rapidly experiment and find good solutions.
In general, there are two methods for forecasting at scale (a slow and accurate method and a fast and good method):
Iterative Forecasting (Slow and Accurate): Best for accuracy but takes much longer than global model (due to for-loop iteration), results in many models (more memory required), and is often needed to be run in parallel to scale to thousands of time series (otherwise it can take days to complete). But, iterative forecasting can yield great results. See Nested Forecasting for our Iterative Forecasting implementation.
Global Modeling (Fast and Good): Best for scalability to thousands of time series. Uses a Panel Data structure. Can scale to 10,000+ time series easily because only a single model is made that generates predictions (forecasts) for all of the time series. Requires feature engineering and parameter tuning to get best performance, which can be challenging for beginners.
Students can struggle with global modeling. To help, I have a few terms to cover that will help you understand how global modeling works (and how it differs from iterative modeling).
The panel data structure is the format used for global modeling. In it’s simplest form, Panel Data is a time series dataset that has more than one series. Each time series is stacked row-wise (on-top) of each other.
Traditional modeling techniques like ARIMA can only be used on one time series at a time. The widely accepted forecasting approach is to iterate through each time series producing a unique model and forecast for each time series identifier. The downside with this approach is that it’s expensive when you have many time series. Think of the number of products in a database. As the number of time series approaches the range of 1000-10,000, the iterative approach becomes unscalable.
Global Models are alternatives to the iterative approach. A Global Model is a single model that forecasts all time series at once. Global Models are highly scalable, which solves the problem of 1-10,000 time series. An example is an XGBoost Model, which can determine relationships for all 1000 time series panels with a single model.
The downside is that an global approach can be less accurate. To improve accuracy, feature engineering and localized model selection by time series identifier become critical to large-scale forecasting success. We recommend learning feature engineering techniques that are proven to get results in our Time Series Forecasting Course.
We’ll cover a short tutorial on global forecasting. The first thing to do is to load the following libraries:
Next, let’s use the
walmart_sales_weekly dataset that comes with
data_tbl <- walmart_sales_weekly %>% select(id, Date, Weekly_Sales) %>% set_names(c("id", "date", "value")) data_tbl #> # A tibble: 1,001 × 3 #> id date value #> <fct> <date> <dbl> #> 1 1_1 2010-02-05 24924. #> 2 1_1 2010-02-12 46039. #> 3 1_1 2010-02-19 41596. #> 4 1_1 2010-02-26 19404. #> 5 1_1 2010-03-05 21828. #> 6 1_1 2010-03-12 21043. #> 7 1_1 2010-03-19 22137. #> 8 1_1 2010-03-26 26229. #> 9 1_1 2010-04-02 57258. #> 10 1_1 2010-04-09 42961. #> # … with 991 more rows
The dataset is that is already set up for panel data modeling. The important columns are:
“id”: This separates the time series groups (in this case these represent sales from departments in a walmart store)
“date”: This is the weekly sales period
“value”: This is the value for sales during the week and store/department
We can visualize this by time series group to expose the differences in sales by department.
We can clearly see that there are 7 time series groups with different weekly sales patterns.
We can split the data into training and testing sets using
time_series_split(). We’ll investigate the last 3-months of the year to test a global model on a 3-month forecast. The message on overlapping dates is to let us know that multiple time series are being processed using the last 3-month window for testing.
splits <- data_tbl %>% time_series_split( assess = "3 months", cumulative = TRUE ) #> Using date_var: date #> Data is not ordered by the 'date_var'. Resamples will be arranged by `date`. #> Overlapping Timestamps Detected. Processing overlapping time series together using sliding windows. splits #> <Analysis/Assess/Total> #> <917/84/1001>
Next, we need to preprocess the data. This is where we add good features to imporve our global model performance. We will use the
recipes workflow for generating time series features.
step_mutate_at(): Applies a function to one or more columns. Used to remove extra unused levels in our categorical ID column.
step_timeseries_signature(): Used to add calendar features based on our date column
step_rm(): Used to remove the date column. Machine Learning algorithms like XGBoost don’t handle date columns very well.
step_zv(): Used to remove any zero variance features. Features with no variance don’t add useful information to our model.
step_dummy(): Used to convert categorical features to binary one-hot encoded features that algorithms like XGBoost can model more effectively.
This results in 37 derived features for modeling. We can certainly include more features such as lags and rolling features that are known to improve results. These concepts and more are covered in the High-Performance Time Series Course.
rec_obj <- recipe(value ~ ., training(splits)) %>% step_mutate_at(id, fn = droplevels) %>% step_timeseries_signature(date) %>% step_rm(date) %>% step_zv(all_predictors()) %>% step_dummy(all_nominal_predictors(), one_hot = TRUE) summary(prep(rec_obj)) #> # A tibble: 38 × 4 #> variable type role source #> <chr> <chr> <chr> <chr> #> 1 value numeric outcome original #> 2 date_index.num numeric predictor derived #> 3 date_year numeric predictor derived #> 4 date_year.iso numeric predictor derived #> 5 date_half numeric predictor derived #> 6 date_quarter numeric predictor derived #> 7 date_month numeric predictor derived #> 8 date_month.xts numeric predictor derived #> 9 date_day numeric predictor derived #> 10 date_mday numeric predictor derived #> # … with 28 more rows
We’ll create an
xgboost workflow by fitting the default xgboost model to our derived features from our in-sample training data set.
Training the global xgboost model takes approximately 50 milliseconds.
Conversely, an ARIMA model might take several minutes to iterate through possible parameter combinations for each of the 7 time series.
# Workflow wflw_xgb <- workflow() %>% add_model( boost_tree() %>% set_engine("xgboost") ) %>% add_recipe(rec_obj) %>% fit(training(splits)) wflw_xgb #> ══ Workflow [trained] ══════════════════════════════════════════════════════════ #> Preprocessor: Recipe #> Model: boost_tree() #> #> ── Preprocessor ──────────────────────────────────────────────────────────────── #> 5 Recipe Steps #> #> • step_mutate_at() #> • step_timeseries_signature() #> • step_rm() #> • step_zv() #> • step_dummy() #> #> ── Model ─────────────────────────────────────────────────────────────────────── #> ##### xgb.Booster #> raw: 58.3 Kb #> call: #> xgboost::xgb.train(params = list(eta = 0.3, max_depth = 6, gamma = 0, #> colsample_bytree = 1, colsample_bynode = 1, min_child_weight = 1, #> subsample = 1, objective = "reg:squarederror"), data = x$data, #> nrounds = 15, watchlist = x$watchlist, verbose = 0, nthread = 1) #> params (as set within xgb.train): #> eta = "0.3", max_depth = "6", gamma = "0", colsample_bytree = "1", colsample_bynode = "1", min_child_weight = "1", subsample = "1", objective = "reg:squarederror", nthread = "1", validate_parameters = "TRUE" #> xgb.attributes: #> niter #> callbacks: #> cb.evaluation.log() #> # of features: 37 #> niter: 15 #> nfeatures : 37 #> evaluation_log: #> iter training_rmse #> 1 46315.141 #> 2 33001.734 #> --- #> 14 3676.542 #> 15 3373.945
We’ll step through the modeltime workflow, which is used to test many different models on the time series and organize the entire process.
The first step is to create a Modeltime Table with
model_tbl <- modeltime_table( wflw_xgb ) model_tbl #> # Modeltime Table #> # A tibble: 1 × 3 #> .model_id .model .model_desc #> <int> <list> <chr> #> 1 1 <workflow> XGBOOST
Next, we need to calibrate, which calculates the forecast error on our test set. Use
modeltime_calibrate() to perform calibration. Note that when we add the
id, we are able to track the the out-of-sample residual error by the “id” column.
Next, we measure the global and local accuracy on the global model.
The default is
modeltime_accuracy(acc_by_id = FALSE), which returns a global model accuracy.
calib_tbl %>% modeltime_accuracy(acc_by_id = FALSE) %>% table_modeltime_accuracy(.interactive = FALSE)
modeltime_accuracy(acc_by_id = TRUE), we can obtain the local model accuracy. This can be useful for identifying specifically which time series the model does well on (and which it does poorly on). We can then apply model selection logic to select specific global models for specific IDs.
calib_tbl %>% modeltime_accuracy(acc_by_id = TRUE) %>% table_modeltime_accuracy(.interactive = FALSE)
Next, we need to forecast the test dataset. This is useful to evaluate the model using a sampling of the time series within the panel dataset. We use
modeltime_forecast(conf_by_id = TRUE) to allow the confidence intervals (prediction intervals) to be calculated by time series identifier. Note, that the
modeltime_calibrate() must have been performed with an
calib_tbl %>% modeltime_forecast( new_data = testing(splits), actual_data = data_tbl, conf_by_id = TRUE ) %>% group_by(id) %>% plot_modeltime_forecast( .facet_ncol = 3, .interactive = FALSE )
We see that our global model performs well on this dataset. Now, we will forecast the future.
The refitting step is needed to incorporate the most recent information into our models. We use
modeltime_refit() to update the model(s) in our modeltime tables.
refit_tbl <- calib_tbl %>% modeltime_refit(data = data_tbl) refit_tbl #> # Modeltime Table #> # A tibble: 1 × 5 #> .model_id .model .model_desc .type .calibration_data #> <int> <list> <chr> <chr> <list> #> 1 1 <workflow> XGBOOST Test <tibble [84 × 5]>
Next, make a future dataset using
timetk, which creates future time stamps that extend 52-weeks into the future for each ID in the same panel structure needed for our global forecast model.
future_tbl <- data_tbl %>% group_by(id) %>% future_frame(.length_out = 52, .bind_data = FALSE) future_tbl #> # A tibble: 364 × 2 #> # Groups: id  #> id date #> <fct> <date> #> 1 1_1 2012-11-02 #> 2 1_1 2012-11-09 #> 3 1_1 2012-11-16 #> 4 1_1 2012-11-23 #> 5 1_1 2012-11-30 #> 6 1_1 2012-12-07 #> 7 1_1 2012-12-14 #> 8 1_1 2012-12-21 #> 9 1_1 2012-12-28 #> 10 1_1 2013-01-04 #> # … with 354 more rows
We’ve now successfully completed a Global Forecast. You may find this challenging, especially if you are not familiar with the Modeltime Workflow, terminology, or tidymodeling in R. If this is the case, we have a solution. Take our high-performance forecasting course.
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