Optimal decision-making compels us to anticipate the future at different horizons. However, in many domains connecting together predictions from multiple time horizons and abstractions levels across their organization becomes all the more important, else decision-makers would be planning using separate and possibly conflicting views of the future. To this end, this work proposes a novel multi-dimensional hierarchical forecasting method built upon structurally-informed machine-learning regressors. A generic formulation of multi-dimensional hierarchies, reconciling spatial and temporal dimensions under a common frame is initially defined. Next, a coherency-informed hierarchical learner is developed built upon a custom loss function leveraging optimal reconciliation methods. The coherency of the produced hierarchical forecasts is then secured using similar reconciliation techniques, granting decision-makers a common view of the future serving aligned decision-making. The method is evaluated on two different case studies to predict building electrical loads across spatial, temporal, and spatio-temporal hierarchies. Although the regressor natively profits from computationally efficient learning, results displayed disparate performances, demonstrating the value of hierarchical-coherent learning in only one setting. Yet, existing obstacles were clearly delineated, presenting distinct pathways for future work. Overall, the paper expands and unites traditionally disjointed hierarchical forecasting methods providing a fertile route toward a novel generation of forecasting regressors.
Keywords
Hierarchical forecasting
Coherency
Spatio-temporal dimensions
Deep learning
Smart building
