Pavithra Harsha

Arindam Jati, Vijay Ekambaram, Shaonli Pal et al. · ibm-research

Selecting the right set of hyperparameters is crucial in time series forecasting. The classical temporal cross-validation framework for hyperparameter optimization (HPO) often leads to poor test performance because of a possible mismatch between validation and test periods. To address this test-validation mismatch, we propose a novel technique, H-Pro to drive HPO via test proxies by exploiting data hierarchies often associated with time series datasets. Since higher-level aggregated time series often show less irregularity and better predictability as compared to the lowest-level time series which can be sparse and intermittent, we optimize the hyperparameters of the lowest-level base-forecaster by leveraging the proxy forecasts for the test period generated from the forecasters at higher levels. H-Pro can be applied on any off-the-shelf machine learning model to perform HPO. We validate the efficacy of our technique with extensive empirical evaluation on five publicly available hierarchical forecasting datasets. Our approach outperforms existing state-of-the-art methods in Tourism, Wiki, and Traffic datasets, and achieves competitive result in Tourism-L dataset, without any model-specific enhancements. Moreover, our method outperforms the winning method of the M5 forecast accuracy competition.

Pavithra Harsha, Shivaram Subramanian, Ali Koc et al. · ibm-research

We introduce a new class of data-driven and distribution-free optimistic-robust bimodal inventory optimization (BIO) strategy to effectively allocate inventory across a retail chain to meet time-varying, uncertain omnichannel demand. The bimodal nature of BIO stems from its ability to balance downside risk, as in traditional Robust Optimization (RO), which focuses on worst-case adversarial demand, with upside potential to enhance average-case performance. This enables BIO to remain as resilient as RO while capturing benefits that would otherwise be lost due to endogenous outliers. Omnichannel inventory planning provides a suitable problem setting for analyzing the effectiveness of BIO's bimodal strategy in managing the tradeoff between lost sales at stores and cross-channel e-commerce fulfillment costs, factors that are inherently asymmetric due to channel-specific behaviors. We provide structural insights about the BIO solution and how it can be tuned to achieve a preferred tradeoff between robustness and the average-case performance. Using a real-world dataset from a large American omnichannel retail chain, a business value assessment during a peak period indicates that BIO outperforms pure RO by 27% in terms of realized average profitability and surpasses other competitive baselines under imperfect distributional information by over 10%. This demonstrates that BIO provides a novel, data-driven, and distribution-free alternative to traditional RO that achieves strong average performance while carefully balancing robustness.

Amadou Ba, Pavithra Harsha, Chitra Subramanian

Modern web services adopt cloud-native principles to leverage the advantages of microservices. To consistently guarantee high Quality of Service (QoS) according to Service Level Agreements (SLAs), ensure satisfactory user experiences, and minimize operational costs, each microservice must be provisioned with the right amount of resources. However, accurately provisioning microservices with adequate resources is complex and depends on many factors, including workload intensity and the complex interconnections between microservices. To address this challenge, we develop a model that captures the relationship between an end-to-end latency, requests at the front-end level, and resource utilization. We then use the developed model to predict the end-to-end latency. Our solution leverages the Temporal Fusion Transformer (TFT), an attention-based architecture equipped with interpretability features. When the prediction results indicate SLA non-compliance, we use the feature importance provided by the TFT as covariates in Kernel Ridge Regression (KRR), with the response variable being the desired latency, to learn the parameters associated with the feature importance. These learned parameters reflect the adjustments required to the features to ensure SLA compliance. We demonstrate the merit of our approach with a microservice-based application and provide a roadmap to deployment.

Rares Cristian, Pavithra Harsha, Clemente Ocejo et al. · ibm-research

Time series forecasting is an important task in many fields ranging from supply chain management to weather forecasting. Recently, Transformer neural network architectures have shown promising results in forecasting on common time series benchmark datasets. However, application to supply chain demand forecasting, which can have challenging characteristics such as sparsity and cross-series effects, has been limited. In this work, we explore the application of Transformer-based models to supply chain demand forecasting. In particular, we develop a new Transformer-based forecasting approach using a shared, multi-task per-time series network with an initial component applying attention across time series, to capture interactions and help address sparsity. We provide a case study applying our approach to successfully improve demand prediction for a medical device manufacturing company. To further validate our approach, we also apply it to public demand forecasting datasets as well and demonstrate competitive to superior performance compared to a variety of baseline and state-of-the-art forecast methods across the private and public datasets.

Rares Cristian, Pavithra Harsha, Georgia Perakis et al. · ibm-research

Many of the observations we make are biased by our decisions. For instance, the demand of items is impacted by the prices set, and online checkout choices are influenced by the assortments presented. The challenge in decision-making under this setting is the lack of counterfactual information, and the need to learn it instead. We introduce an end-to-end method under endogenous uncertainty to train ML models to be aware of their downstream, enabling their effective use in the decision-making stage. We further introduce a robust optimization variant that accounts for uncertainty in ML models -- specifically by constructing uncertainty sets over the space of ML models and optimizing actions to protect against worst-case predictions. We prove guarantees that this robust approach can capture near-optimal decisions with high probability as a function of data. Besides this, we also introduce a new class of two-stage stochastic optimization problems to the end-to-end learning framework that can now be addressed through our framework. Here, the first stage is an information-gathering problem to decide which random variable to poll and gain information about before making a second-stage decision based off of it. We present several computational experiments for pricing and inventory assortment/recommendation problems. We compare against existing methods in online learning/bandits/offline reinforcement learning and show our approach has consistent improved performance over these. Just as in the endogenous setting, the model's prediction also depends on the first-stage decision made. While this decision does not affect the random variable in this setting, it does affect the correct point forecast that should be made.

Pavithra Harsha, Ashish Jagmohan, Jayant Kalagnanam et al.

We present a Reinforcement Learning (RL) based framework for optimizing long-term discounted reward problems with large combinatorial action space and state dependent constraints. These characteristics are common to many operations management problems, e.g., network inventory replenishment, where managers have to deal with uncertain demand, lost sales, and capacity constraints that results in more complex feasible action spaces. Our proposed Programmable Actor Reinforcement Learning (PARL) uses a deep-policy iteration method that leverages neural networks (NNs) to approximate the value function and combines it with mathematical programming (MP) and sample average approximation (SAA) to solve the per-step-action optimally while accounting for combinatorial action spaces and state-dependent constraint sets. We show how the proposed methodology can be applied to complex inventory replenishment problems where analytical solutions are intractable. We also benchmark the proposed algorithm against state-of-the-art RL algorithms and commonly used replenishment heuristics and find it considerably outperforms existing methods by as much as 14.7% on average in various complex supply chain settings. We find that this improvement of PARL over benchmark algorithms can be directly attributed to better inventory cost management, especially in inventory constrained settings. Furthermore, in the simpler setting where optimal replenishment policy is tractable or known near optimal heuristics exist, we find that the RL approaches can learn near optimal policies. Finally, to make RL algorithms more accessible for inventory management researchers, we also discuss the development of a modular Python library that can be used to test the performance of RL algorithms with various supply chain structures and spur future research in developing practical and near-optimal algorithms for inventory management problems.