Forecasting Across Time Series Databases using Long Short-Term Memory Networks on Groups of Similar Series

With the advent of Big Data, nowadays in many applications databases containing large quantities of similar time series are available. Forecasting time series in these domains with traditional univariate forecasting procedures leaves great potentials for producing accurate forecasts untapped. Recurrent neural networks, and in particular Long Short Term Memory (LSTM) networks, have proven recently that they are able to outperform state-of-the-art univariate time series forecasting methods in this context, when trained across all available time series. However, if the time series database is heterogeneous accuracy may degenerate, so that on the way towards fully automatic forecasting methods in this space, a notion of similarity between the time series needs to be built into the methods. To this end, we present a prediction model using LSTMs on subgroups of similar time series, which are identified by time series clustering techniques. The proposed methodology is able to consistently outperform the baseline LSTM model, and it achieves competitive results on benchmarking datasets, in particular outperforming all other methods on the CIF2016 dataset.