Adaptive Fine-Tuning via Pattern Specialization for Deep Time Series Forecasting

Time series forecasting poses significant challenges in non-stationary environments where underlying patterns evolve over time. In this work, we propose a novel framework that enhances deep neural network (DNN) performance by leveraging specialized model adaptation and selection. Initially, a base DNN is trained offline on historical time series data. A reserved validation subset is then segmented to extract and cluster the most dominant patterns within the series, thereby identifying distinct regimes. For each identified cluster, the base DNN is fine-tuned to produce a specialized version that captures unique pattern characteristics. At inference, the most recent input is matched against the cluster centroids, and the corresponding fine-tuned version is deployed based on the closest similarity measure. Additionally, our approach integrates a concept drift detection mechanism to identify and adapt to emerging patterns caused by non-stationary behavior. The proposed framework is generalizable across various DNN architectures and has demonstrated significant performance gains on both traditional DNNs and recent advanced architectures implemented in the GluonTS library.

SHAP-Guided Regularization in Machine Learning Models

Feature attribution methods such as SHapley Additive exPlanations (SHAP) have become instrumental in understanding machine learning models, but their role in guiding model optimization remains underexplored. In this paper, we propose a SHAP-guided regularization framework that incorporates feature importance constraints into model training to enhance both predictive performance and interpretability. Our approach applies entropy-based penalties to encourage sparse, concentrated feature attributions while promoting stability across samples. The framework is applicable to both regression and classification tasks. Our first exploration started with investigating a tree-based model regularization using TreeSHAP. Through extensive experiments on benchmark regression and classification datasets, we demonstrate that our method improves generalization performance while ensuring robust and interpretable feature attributions. The proposed technique offers a novel, explainability-driven regularization approach, making machine learning models both more accurate and more reliable.

Explainable Adaptive Tree-based Model Selection for Time Series Forecasting

Tree-based models have been successfully applied to a wide variety of tasks, including time series forecasting. They are increasingly in demand and widely accepted because of their comparatively high level of interpretability. However, many of them suffer from the overfitting problem, which limits their application in real-world decision-making. This problem becomes even more severe in online-forecasting settings where time series observations are incrementally acquired, and the distributions from which they are drawn may keep changing over time. In this context, we propose a novel method for the online selection of tree-based models using the TreeSHAP explainability method in the task of time series forecasting. We start with an arbitrary set of different tree-based models. Then, we outline a performance-based ranking with a coherent design to make TreeSHAP able to specialize the tree-based forecasters across different regions in the input time series. In this framework, adequate model selection is performed online, adaptively following drift detection in the time series. In addition, explainability is supported on three levels, namely online input importance, model selection, and model output explanation. An extensive empirical study on various real-world datasets demonstrates that our method achieves excellent or on-par results in comparison to the state-of-the-art approaches as well as several baselines.

AutoXPCR: Automated Multi-Objective Model Selection for Time Series Forecasting

Automated machine learning (AutoML) streamlines the creation of ML models. While most methods select the "best" model based on predictive quality, it's crucial to acknowledge other aspects, such as interpretability and resource consumption. This holds particular importance in the context of deep neural networks (DNNs), as these models are often perceived as computationally intensive black boxes. In the challenging domain of time series forecasting, DNNs achieve stunning results, but specialized approaches for automatically selecting models are scarce. In this paper, we propose AutoXPCR - a novel method for automated and explainable multi-objective model selection. Our approach leverages meta-learning to estimate any model's performance along PCR criteria, which encompass (P)redictive error, (C)omplexity, and (R)esource demand. Explainability is addressed on multiple levels, as our interactive framework can prioritize less complex models and provide by-product explanations of recommendations. We demonstrate practical feasibility by deploying AutoXPCR on over 1000 configurations across 114 data sets from various domains. Our method clearly outperforms other model selection approaches - on average, it only requires 20% of computation costs for recommending models with 90% of the best-possible quality.