Deep LSTM-Based Transfer Learning Approach for Coherent Forecasts in Hierarchical Time Series

Hierarchical time series is a set of data sequences organized by aggregation constraints to represent many real-world applications in research and the industry. Forecasting of hierarchical time series is a challenging and time-consuming problem owing to ensuring the forecasting consistency among the hierarchy levels based on their dimensional features. The excellent empirical performance of our Deep Long Short-Term Memory (DLSTM) approach on various forecasting tasks motivated us to extend it to solve the forecasting problem through hierarchical architectures. Toward this target, we develop the DLSTM model in auto-encoder (AE) fashion and take full advantage of the hierarchical architecture for better time series forecasting. DLSTM-AE works as an alternative approach to traditional and machine learning approaches that have been used to manipulate hierarchical forecasting. However, training a DLSTM in hierarchical architectures requires updating the weight vectors for each LSTM cell, which is time-consuming and requires a large amount of data through several dimensions. Transfer learning can mitigate this problem by training first the time series at the bottom level of the hierarchy using the proposed DLSTM-AE approach. Then, we transfer the learned features to perform synchronous training for the time series of the upper levels of the hierarchy. To demonstrate the efficiency of the proposed approach, we compare its performance with existing approaches using two case studies related to the energy and tourism domains. An evaluation of all approaches was based on two criteria, namely, the forecasting accuracy and the ability to produce coherent forecasts through through the hierarchy. In both case studies, the proposed approach attained the highest accuracy results among all counterparts and produced more coherent forecasts.

Multiscale influenza forecasting

Influenza forecasting in the United States (US) is complex and challenging due to spatial and temporal variability, nested geographic scales of interest, and heterogeneous surveillance participation. Here we present Dante, a multiscale influenza forecasting model that learns rather than prescribes spatial, temporal, and surveillance data structure and generates coherent forecasts across state, regional, and national scales. We retrospectively compare Dante’s short-term and seasonal forecasts for previous flu seasons to the Dynamic Bayesian Model (DBM), a leading competitor. Dante outperformed DBM for nearly all spatial units, flu seasons, geographic scales, and forecasting targets. Dante’s sharper and more accurate forecasts also suggest greater public health utility. Dante placed 1st in the Centers for Disease Control and Prevention’s prospective 2018/19 FluSight challenge in both the national and regional competition and the state competition. The methodology underpinning Dante can be used in other seasonal disease forecasting contexts having nested geographic scales of interest.

Prediction of hierarchical time series using structured regularization and its application to artificial neural networks

This paper discusses the prediction of hierarchical time series, where each upper-level time series is calculated by summing appropriate lower-level time series. Forecasts for such hierarchical time series should be coherent, meaning that the forecast for an upper-level time series equals the sum of forecasts for corresponding lower-level time series. Previous methods for making coherent forecasts consist of two phases: first computing base (incoherent) forecasts and then reconciling those forecasts based on their inherent hierarchical structure. To improve time series predictions, we propose a structured regularization method for completing both phases simultaneously. The proposed method is based on a prediction model for bottom-level time series and uses a structured regularization term to incorporate upper-level forecasts into the prediction model. We also develop a backpropagation algorithm specialized for applying our method to artificial neural networks for time series prediction. Experimental results using synthetic and real-world datasets demonstrate that our method is comparable in terms of prediction accuracy and computational efficiency to other methods for time series prediction.

A Bayesian modelling method for post-processing daily sub-seasonal to seasonal rainfall forecasts from global climate models and evaluation for 12 Australian catchments

Rainfall forecasts are an integral part of hydrological forecasting systems at sub-seasonal to seasonal timescales. In seasonal forecasting, global climate models (GCMs) are now the go-to source for rainfall forecasts. For hydrological applications however, GCM forecasts are often biased and unreliable in uncertainty spread, and calibration is therefore required before use. There are sophisticated statistical techniques for calibrating monthly and seasonal aggregations of the forecasts. However, calibration of seasonal forecasts at the daily time step typically uses very simple statistical methods or climate analogue methods. These methods generally lack the sophistication to achieve unbiased, reliable and coherent forecasts of daily amounts and seasonal accumulated totals. In this study, we propose and evaluate a Rainfall Post-Processing method for Seasonal forecasts (RPP-S), which is based on the Bayesian joint probability modelling approach for calibrating daily forecasts and the Schaake Shuffle for connecting the daily ensemble members of different lead times. We apply the method to post-process ACCESS-S forecasts for 12 perennial and ephemeral catchments across Australia and for 12 initialisation dates. RPP-S significantly reduces bias in raw forecasts and improves both skill and reliability. RPP-S forecasts are also more skilful and reliable than forecasts derived from ACCESS-S forecasts that have been post-processed using quantile mapping, especially for monthly and seasonal accumulations. Several opportunities to improve the robustness and skill of RPP-S are identified. The new RPP-S post-processed forecasts will be used in ensemble sub-seasonal to seasonal streamflow applications.

A new method for post-processing daily sub-seasonal to seasonal rainfall forecasts from GCMs and evaluation for 12 Australian catchments

Rainfall forecasts are an integral part of hydrological forecasting systems at sub-seasonal to seasonal time scales. In seasonal forecasting, global climate models (GCMs) are now the go-to source for rainfall forecasts. However, for hydrological applications, GCM forecasts are often biased and unreliable in uncertainty spread, and therefore calibration is required before use. There are sophisticated statistical techniques for calibrating monthly and seasonal aggregations of the forecasts. However, calibration of seasonal forecasts at the daily time step typically uses very simple statistical methods or climate analogue methods. These methods generally lack the sophistication to achieve unbiased, reliable and coherent forecasts of daily amounts and seasonal accumulated totals. In this study, we propose and evaluate a Rainfall Post-Processing method for Seasonal forecasts (RPP-S) based on the Bayesian joint probability approach for calibrating daily forecasts and the Schaake Shuffle approach for connecting the daily ensemble members of different lead times. We apply the method to post-process ACCESS-S forecasts for 12 perennial and ephemeral catchments across Australia and for 12 initialisation dates. RPP-S significantly reduces bias in raw forecasts and improves both skill and reliability. RPP-S forecasts are more skilful and reliable than forecasts derived from ACCESS-S forecasts that have been post-processed using quantile mapping, especially for monthly and seasonal accumulations. Several opportunities to improve the robustness and skill of RPP-S are identified. The new RPP-S post-processed forecasts will be used in ensemble sub-seasonal to seasonal streamflow applications.

How Suitable is Quantile Mapping For Postprocessing GCM Precipitation Forecasts?

GCMs are used by many national weather services to produce seasonal outlooks of atmospheric and oceanic conditions and fluxes. Postprocessing is often a necessary step before GCM forecasts can be applied in practice. Quantile mapping (QM) is rapidly becoming the method of choice by operational agencies to postprocess raw GCM outputs. The authors investigate whether QM is appropriate for this task. Ensemble forecast postprocessing methods should aim to 1) correct bias, 2) ensure forecasts are reliable in ensemble spread, and 3) guarantee forecasts are at least as skillful as climatology, a property called “coherence.” This study evaluates the effectiveness of QM in achieving these aims by applying it to precipitation forecasts from the POAMA model. It is shown that while QM is highly effective in correcting bias, it cannot ensure reliability in forecast ensemble spread or guarantee coherence. This is because QM ignores the correlation between raw ensemble forecasts and observations. When raw forecasts are not significantly positively correlated with observations, QM tends to produce negatively skillful forecasts. Even when there is significant positive correlation, QM cannot ensure reliability and coherence for postprocessed forecasts. Therefore, QM is not a fully satisfactory method for postprocessing forecasts where the issues of bias, reliability, and coherence pre-exist. Alternative postprocessing methods based on ensemble model output statistics (EMOS) are available that achieve not only unbiased but also reliable and coherent forecasts. This is shown with one such alternative, the Bayesian joint probability modeling approach.

Development of an Environmental and Ship Motion Forecasting System

Military sea basing operations include mooring ships together offshore and transferring cargo and equipment between them. A newly developed Environmental and Ship Motion Forecasting (ESMF) System will facilitate these operations by providing predictions of ship motions in waves. Coherent forecasts of the ship motions are provided through remote sensing of the ambient waves and using these waves as input to a predictive ship motion simulation. Key technologies developed in support of the ESMF system include: a custom-built wave sensing radar; a least squares inverse wave retrieval algorithm; a ship motion model for performing rapid seakeeping simulations; and a robust peer-to-peer system architecture. The ESMF system was tested extensively in a demonstration aboard the R/V Melville with very good results, often achieving correlations of forecast-to-realized signals of better than 80% over 30 minute intervals.