Correcting Forecasts with Multifactor Neural Attention

Automatic forecasting of time series data is a challenging problem in many industries. Current forecast models adopted by businesses do not provide adequate means for including data representing external factors that may have a significant impact on the time series, such as weather, national events, local events, social media trends, promotions, etc. This paper introduces a novel neural network attention mechanism that naturally incorporates data from multiple external sources without the feature engineering needed to get other techniques to work. We demonstrate empirically that the proposed model achieves superior performance for predicting the demand of 20 commodities across 107 stores of one of America's largest retailers when compared to other baseline models, including neural networks, linear models, certain kernel methods, Bayesian regression, and decision trees. Our method ultimately accounts for a 23.9% relative improvement as a result of the incorporation of external data sources, and provides an unprecedented level of descriptive ability for a neural network forecasting model.