Probabilistic demand forecasting at scale

AbstractWe present a platform built on large-scale, data-centric machine learning (ML) approaches, whose particular focus is demand forecasting in retail. At its core, this platform enables the training and application of probabilistic demand forecasting models, and provides convenient abstractions and support functionality for forecasting problems. The platform comprises of a complex end-to-end machine learning system built on Apache Spark, which includes data preprocessing, feature engineering, distributed learning, as well as evaluation, experimentation and ensembling. Furthermore, it meets the demands of a production system and scales to large catalogues containing millions of items.We describe the challenges of building such a platform and discuss our design decisions. We detail aspects on several levels of the system, such as a set of general distributed learning schemes, our machinery for ensembling predictions, and a high-level dataflow abstraction for modeling complex ML pipelines. To the best of our knowledge, we are not aware of prior work on real-world demand forecasting systems which rivals our approach in terms of scalability.