Returns predictions and weights calculated by sequential numeric optimization. The optimization is done stepwise, always calculating a one-step-ahead forecast.

batch(
  y,
  experts,
  tau = 1:dim(experts)[2]/(dim(experts)[2] + 1),
  affine = FALSE,
  positive = FALSE,
  intercept = FALSE,
  debias = TRUE,
  lead_time = 0,
  initial_window = 30,
  rolling_window = initial_window,
  loss_function = "quantile",
  loss_parameter = 1,
  qw_crps = FALSE,
  basis_knot_distance = 1/(dim(experts)[2] + 1),
  basis_knot_distance_power = 1,
  basis_deg = 1,
  forget = 0,
  soft_threshold = -Inf,
  hard_threshold = -Inf,
  fixed_share = 0,
  p_smooth_lambda = -Inf,
  p_smooth_knot_distance = basis_knot_distance,
  p_smooth_knot_distance_power = basis_knot_distance_power,
  p_smooth_deg = basis_deg,
  p_smooth_ndiff = 1.5,
  parametergrid_max_combinations = 100,
  parametergrid = NULL,
  forget_past_performance = 0,
  allow_quantile_crossing = FALSE,
  trace = TRUE
)

Arguments

y

A numeric matrix of realizations. In probabilistic settings a matrix of dimension Tx1. In multivariate setting a TxP matrix can be used. In the latter case, each slice of the expert's array gets evaluated using the corresponding column of the y matrix.

experts

An array of predictions with dimension (Observations, Quantiles, Experts).

tau

A numeric vector of probabilities.

affine

Defines whether weights are summing to 1 or now. Defaults to FALSE.

positive

Defines if a positivity constraint is applied to the weights. Defaults to FALSE.

intercept

Determines if an intercept is added, defaults to FALSE. If true, a new first expert is added, always predicting 1.

debias

Defines whether the intercepts weight is constrained or not. If TRUE (the default), the intercept weight is unconstrained. Only affects the results if affine and or positive is set to TRUE. If FALSE, the intercept is treated as an expert.

lead_time

offset for expert forecasts. Defaults to 0, which means that experts forecast t+1 at t. Setting this to h means experts predictions refer to t+1+h at time t. The weight updates delay accordingly.

initial_window

Defines the size of the initial estimation window.

rolling_window

Defines the size of the rolling window. Defaults to the value of initial_window. Set it to the number of observations to receive an expanding window.

loss_function

Either "quantile", "expectile" or "percentage".

loss_parameter

Optional parameter scaling the power of the loss function.

qw_crps

Decides wether the sum of quantile scores (FALSE) or the quantile weighted crps (TRUE) should be minimized. Defaults to FALSE. Which corresponds to Berrisch & Ziel (2021)

basis_knot_distance

determines the distance of the knots in the probability basis. Defaults to 1 / (dim(experts)[2] + 1).

basis_knot_distance_power

Parameter which defines the symmetry of the basis reducing the probability space. Defaults to 1, which corresponds to equidistant knots. Values less than 1 create more knots in the center, while values above 1 concentrate more knots in the tails.

basis_deg

Degree of the basis reducing the probability space. Defaults to 1.

forget

Adds an exponential forgetting to the optimization. Past observations will get less influence on the optimization. Defaults to 0, which corresponds to no forgetting.

soft_threshold

If specified, the following soft threshold will be applied to the weights: w = sgn(w)*max(abs(w)-t,0) where t is the soft_threshold parameter. Defaults to -inf, which means that no threshold will be applied. If all expert weights are thresholded to 0, a weight of 1 will be assigned to the expert with the highest weights prior to thresholding. Thus soft_threshold = 1 leads to the 'follow the leader' strategy if method is set to "ewa".

hard_threshold

If specified, the following hard thresholding will be applied to the weights: w = w*(abs(w)>t) where t is the threshold_hard parameter. Defaults to -inf, which means that no threshold will be applied. If all expert weights are thresholded to 0, a weight of 1 will be assigned to the expert with the highest weight prior to thresholding. Thus hard_threshold = 1 leads to the 'follow the leader' strategy if method is set to "ewa".

fixed_share

Amount of fixed share to be added to the weights. Defaults to 0. 1 leads to uniform weights.

p_smooth_lambda

Penalization parameter used in the smoothing step. -Inf causes the smoothing step to be skipped (default).

p_smooth_knot_distance

determines the distance of the knots. Defaults to the value of basis_knot_distance. Corresponds to the grid steps when knot_distance_power = 1 (the default).

p_smooth_knot_distance_power

Parameter which defines the symmetry of the P-Spline basis. Takes the value of basis_knot_distance_power if unspecified.

p_smooth_deg

Degree of the B-Spine basis functions. Defaults to the value of basis_deg.

p_smooth_ndiff

Degree of the differencing operator in the smoothing equation. 1.5 (default) leads to shrinkage towards a constant. Can take values from 1 to 2. If a value in between is used, a weighted sum of the first and second differentiation matrix is calculated.

parametergrid_max_combinations

Integer specifying the maximum number of parameter combinations that should be considered. If the number of possible combinations exceeds this threshold, the maximum allowed number is randomly sampled. Defaults to 100.

parametergrid

User supplied grid of parameters. Can be used if not all combinations of the input vectors should be considered. Must be a matrix with 13 columns (online) or 12 columns batch with the following order: basis_knot_distance, basis_knot_distance_power, basis_deg, forget_regret, soft_threshold, hard_threshold, fixed_share, p_smooth_lambda, p_smooth_knot_distance, p_smooth_knot_distance_power, p_smooth_deg, p_smooth_ndiff, gamma.

forget_past_performance

Share of past performance not to be considered, resp. to be forgotten in every iteration of the algorithm when selecting the best parameter combination. Defaults to 0.

allow_quantile_crossing

Shall quantile crossing be allowed? Defaults to false, which means that predictions are sorted in ascending order.

trace

Print a progress bar to the console? Defaults to TRUE.

Value

Returns weights and corresponding predictions. It is possible to impose a convexity constraint to the weights by setting affine and positive to TRUE.

Examples

if (FALSE) { T <- 50 # Observations N <- 2 # Experts P <- 9 # Quantiles prob_grid <- 1:P / (P + 1) y <- rnorm(n = T) # Realized experts <- array(dim = c(T, P, N)) # Predictions for (t in 1:T) { experts[t, , 1] <- qnorm(prob_grid, mean = -1, sd = 1) experts[t, , 2] <- qnorm(prob_grid, mean = 3, sd = sqrt(4)) } model <- batch( y = matrix(y), experts = experts, p_smooth_lambda = 10 ) print(model) plot(model) autoplot(model) }