Feng Li

Li Li, Feng Li, Yanfei Kang · pku

In economics and many other forecasting domains, the real world problems are too complex for a single model that assumes a specific data generation process. The forecasting performance of different methods changes depending on the nature of the time series. When forecasting large collections of time series, two lines of approaches have been developed using time series features, namely feature-based model selection and feature-based model combination. This chapter discusses the state-of-the-art feature-based methods, with reference to open-source software implementations.

Yinuo Ren, Feng Li, Yanfei Kang et al. · pku

Forecast combination integrates information from various sources by consolidating multiple forecast results from the target time series. Instead of the need to select a single optimal forecasting model, this paper introduces a deep learning ensemble forecasting model based on the Dirichlet process. Initially, the learning rate is sampled with three basis distributions as hyperparameters to convert the infinite mixture into a finite one. All checkpoints are collected to establish a deep learning sub-model pool, and weight adjustment and diversity strategies are developed during the combination process. The main advantage of this method is its ability to generate the required base learners through a single training process, utilizing the decaying strategy to tackle the challenge posed by the stochastic nature of gradient descent in determining the optimal learning rate. To ensure the method's generalizability and competitiveness, this paper conducts an empirical analysis using the weekly dataset from the M4 competition and explores sensitivity to the number of models to be combined. The results demonstrate that the ensemble model proposed offers substantial improvements in prediction accuracy and stability compared to a single benchmark model.

Boyang Zuo, Xiao Zhang, Feng Li et al.

In the realm of sponsored search advertising, matching advertisements with the search intent of a user's query is crucial. Query-to-bidwords(i.e. bidding keywords) rewriting is a vital technique that has garnered significant attention. Recently, with the prevalence of LLMs, generative retrieval methods have proven effective in producing high-relevance rewrites. However, we have identified a significant limitation in existing approaches: While fine-tuning LLMs for specific domains enhances semantic relevance, these models have no perception of the intrinsic value of their generated outputs, such as commercial value. Therefore, after SFT, a RLHF phase is often employed to address this issue. Nevertheless, traditional preference alignment methods often face challenges in aligning fine-grained values and are susceptible to overfitting, which diminishes the effectiveness and quality of the generated results. To address these challenges, we propose VALUE(Value-Aware Large language model for qUery rewriting via wEighted trie), the first framework that ensures the generation of high-value and highly relevant bidwords. Our approach utilizes weighted trie, an innovative modification of the traditional trie data structure. By modulating the LLM's output probability distribution with value information from the trie during decoding process, we constrain the generation space and guide the trajectory of text production. Offline experiments demonstrate the effectiveness of our method in semantic matching and preference alignment, showing a remarkable improvement in the value attribute by more than fivefold. Online A/B tests further revealed that our Revenue Per Mille (RPM) metric increased by 1.64%. VALUE has been deployed on our advertising system since October 2024 and served the Double Eleven promotions, the biggest shopping carnival in China.

Xixi Li, Yanfei Kang, Feng Li

Feature-based time series representations have attracted substantial attention in a wide range of time series analysis methods. Recently, the use of time series features for forecast model averaging has been an emerging research focus in the forecasting community. Nonetheless, most of the existing approaches depend on the manual choice of an appropriate set of features. Exploiting machine learning methods to extract features from time series automatically becomes crucial in state-of-the-art time series analysis. In this paper, we introduce an automated approach to extract time series features based on time series imaging. We first transform time series into recurrence plots, from which local features can be extracted using computer vision algorithms. The extracted features are used for forecast model averaging. Our experiments show that forecasting based on automatically extracted features, with less human intervention and a more comprehensive view of the raw time series data, yields highly comparable performances with the best methods in the largest forecasting competition dataset (M4) and outperforms the top methods in the Tourism forecasting competition dataset.

Yanfei Kang, Rob J Hyndman, Feng Li

The explosion of time series data in recent years has brought a flourish of new time series analysis methods, for forecasting, clustering, classification and other tasks. The evaluation of these new methods requires either collecting or simulating a diverse set of time series benchmarking data to enable reliable comparisons against alternative approaches. We propose GeneRAting TIme Series with diverse and controllable characteristics, named GRATIS, with the use of mixture autoregressive (MAR) models. We simulate sets of time series using MAR models and investigate the diversity and coverage of the generated time series in a time series feature space. By tuning the parameters of the MAR models, GRATIS is also able to efficiently generate new time series with controllable features. In general, as a costless surrogate to the traditional data collection approach, GRATIS can be used as an evaluation tool for tasks such as time series forecasting and classification. We illustrate the usefulness of our time series generation process through a time series forecasting application.