doi:10.1016/j.csda.2006.02.010
Copyright © 2006 Elsevier B.V. All rights reserved.
A decision support system methodology for forecasting of time series based on soft computing
J.D. Bermúdeza, J.V. Segurab and E. Verchera,
, 
aDpto. Estadística e Investigación Operativa,Universitat de València, C/ Dr. Moliner 50, 46100-Burjassot, Valencia, Spain
bCentro de Investigación Operativa, Universidad Miguel Hernández de Elche, Avd. del Ferrocarril s/n, 03202-Elche, Alicante, Spain
Available online 2 March 2006.
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Abstract
Exponential procedures are widely used as forecasting techniques for inventory control and business planning. A number of modifications to the generalized exponential smoothing (Holt–Winters) approach to forecasting univariate time series is presented, which have been adapted into a tool for decision support systems. This methodology unifies the phases of estimation and model selection into just one optimization framework which permits the identification of robust solutions. This procedure may provide forecasts from different versions of exponential smoothing by fitting the updated formulas of Holt–Winters and selects the best method using a fuzzy multicriteria approach. The elements of the set of local minima of the non-linear programming problems allow us to build the membership functions of the conflicting objectives. It is compared to other forecasting methods on the 111 series from the M-competition.
Keywords: Forecasting; Exponential smoothing; Holt–Winters method; Multiple criteria evaluation; Fuzzy mathematical programming
Fig. 1. Champagne monthly series from January 1962 to April 1969, data in bottles per month.
Fig. 2. Membership functions of the three fuzzy objectives based on Table 4, for the champagne data.
Fig. 3. Average MAPE across different forecast horizons using each seasonal subset of series, for the 111 series.
Fig. 4. Average MAPE across different forecast horizons for all 111 series: a comparison of our method (both in its additive and multiplicative version) with some of the best methods in the M-competition.
Table 1.
Best-practice solutions (χ,ζ) obtained applying Stage I (SMAPE, SRMSE and SMAD) and Stage II (SNLP), for the champagne data

Table 2.
Model fitting errors for the best-practice solutions described in Table 1, for the champane data

Table 3.
Post-sample accuracy for the solutions in Table 1 and the solution provided by Chatfield and Yar (1991), for the champagne data

Table 4.
Shape and tolarence parameters of the membership functions of the fitting, for the champane data

Table 5.
Parametric solutions of the (FP) problem and fitting errors for different degrees of global satisfaction, for the champagne data

Table 6.
Average MAPE for all 111 series across different forecasting horizons, using multiplicative seasonality: a comparison of four initial solutions

Table 7.
Average MAPE for all 111 series across different forecasting horizons, using additive seasonality: a comparison of four initial solutions

Table 8.
Some sample percentiles of the average MAPE for each one of the 111 series, using multiplicative seasonality only: a comparison of four criteria to calculate initial values

Table 9.
Average MAPE fit for all 111 series, and for each seasonal subset of series

Table 10.
Average MAPE across some forecast horizons, using all 111 series and for each subset of series

Table 11.
Average MAPE across different forecast horizons for all 111 series, comparing our method (including both its additive and multiplicative version) with some of the best methods in the M-competition
