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Section: New Results

Advances in the application of individual sequences to operational forecasting

Participants : Sébastien Gerchinovitz, Gilles Stoltz.

The results of two MSc internships that took place in 2008 (Sébastien Gerchinovitz) and 2009 (Marie Devaine) were revisited and written up this year in the articles [17] and [23] by Gilles Stoltz and his co-authors.

The first paper is a survey paper that covers the methodology behind the on-line aggregation of predictors for individual sequences and explains the two target applications considered in our project, namely, the prediction of air quality and the forecasting of electricity consumption. It in particular shows that the Lasso is an efficient tool to combine the forecasts of many experts when the number of prediction rounds is small.

The second paper summarizes the empirical results obtained in 2009 during the internship of Marie Devaine at EDF R&D. Its context is to be able to deal efficiently with specialized experts (that only provide predictions in some scenarios, e.g., refrain from predicting during week-ends when they are designed to be efficient for the working days only), while abiding by some operational constraints.

A new collaboration started with economists, see [25] ; the mid-term application would be the forecasting of currency exchanges by aggregating the forecasts of some experts (e.g., the ones provided by newspapers).


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