Methods to combine predictions from ensemble learning in multivariate forecasting

Sammanfattning: Making predictions nowadays is of high importance for any company, whether small or large, as thanks to the possibility to analyze the data available, new market opportunities can be found, risks and costs can be reduced, among others. Machine learning algorithms for time series can be used for predicting future values of interest. However, choosing the appropriate algorithm and tuning its metaparameters require a great level of expertise. This creates an adoption barrier for small and medium enterprises which could not afford hiring a machine learning expert to their IT team. For these reasons, this project studies different possibilities to make good predictions based on machine learning algorithms, but without requiring great theoretical knowledge from the users. Moreover, a software package that implements the prediction process has been developed. The software is an ensemble method that first predicts a value taking into account different algorithms at the same time, and then it combines their results considering also the previous performance of each algorithm to obtain a final prediction of the value. Moreover, the solution proposed and implemented in this project can also predict according to a concrete objective (e.g., optimize the prediction, or do not exceed the real value) because not every prediction problem is subject to the same constraints. We have experimented and validated the implementation with three different cases. In all of them, a better performance has been obtained in comparison with each of the algorithms involved, reaching improvements of 45 to 95%.