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| Title: | 隱藏狀態模型、貝氏估計與企業營運
Hidden States Models, Bayesian Estimation and Business Operations |
| Authors: | 黃紀維
Huang, Chi-Wei |
| Contributors: | 周彥君
莊皓鈞
Chou, Yen-Chun
Chuang, Hao-Chun
黃紀維
Huang, Chi-Wei |
| Keywords: | 離散時間序列
分布預測
隱藏馬可夫鏈模型
循環神經網路
貝氏估計
馬可夫鏈蒙地卡羅
Discrete Time Series
Distributional Forecast
Hidden Markov Model
Recurrent Neural Network
Bayesian Estimation
Markov chain Monte Carlo |
| Date: | 2023 |
| Issue Date: | 2023-08-02 14:06:09 (UTC+8) |
| Abstract: | 企業營運的情境中經常儲存大量的離散時間序列，利用用戶過去需求資料預測未來可能的情況對於企業營運中的規劃與決策舉足輕重。隱藏馬可夫鏈模型 (Hidden Markov Models, HMM) 是機器學習模型中具有能探討隱藏特徵與挖掘隱藏狀態與觀察值之間關係的模型，捕捉不可觀察的內在特徵預測未來長期與短期的模式。有別於HMM簡潔明晰的參數模型，新興的機器學習模型循環神經網路 (Recurrent Neural Networks, RNN) 較為複雜且更具彈性，DeepAR 同樣善於預測序列資料。本研究與先前研究不同，我們運用零售M5競賽資料集對HMM與RNN進行較完備的比較，M5資料集中存在過度分散與0的出現次數過高的問題，我們提出Poisson HMM、Generalized Poisson HMM和NB DeepAR進行需求分布預測。由於HMM模型參數估計不易，因此我們使用馬可夫鏈蒙地卡羅 (Markov Chain Monte Carlo, MCMC) 估計HMM參數。我們發現HMM預測M5資料集的分位數損失勝過DeepAR，Generalized Poisson HMM在預測較高的分位數損失有更好的表現，HMM相較DeepAR能更精準的預測前一期自我回歸係數較高的單品，DeepAR則是對於0的比例較高的單品序列中表現出色，至於GP1 HMM與Poisson HMM僅在Q值較大的分位數損失有明顯差異，這對於如罕見疾病藥物的需求預測具有重要意義。我們所設計的HMM面對數十萬筆的資料能兼顧運算成本與相當的精準度，同時解釋力佳的HMM能夠有效支援管理者於商業營運上的決策。
In the context of enterprise operations, storing large volumes of discrete time series and utilizing past customer demand to predict future scenarios is crucial for planning and decision-making. Hidden Markov Models (HMMs) are machine learning models that explore hidden features and uncover relationships between hidden states and observed values, capturing unobservable underlying patterns for long-term and short-term predictions. Unlike the concise and straightforward parameter model of HMMs, the emerging machine learning model Recurrent Neural Networks (RNNs) is more complex and flexible. DeepAR, in particular, excels in predicting sequential data. In this study, different from previous research, we conducted a comprehensive comparison between HMMs and RNNs using the retail M5 competition dataset. The M5 dataset presents challenges such as overdispersion and zero-inflation. To address these issues, we proposed Poisson HMM, Generalized Poisson HMM, and NB DeepAR for demand distributional forecast. Due to the challenging parameter estimation of HMMs, we employed Markov Chain Monte Carlo (MCMC) for HMM parameter estimation. We found that HMMs outperformed DeepAR in predicting quantile losses for the M5 dataset. The Generalized Poisson HMM demonstrated better performance in predicting higher quantile losses. DeepAR excels in handling single-item sequences with a high proportion of zeros. On the other hand, GP1 HMM and Poisson HMM exhibit significant differences only in terms of quantile losses at larger Q values. This finding holds particular significance for demand prediction in scenarios such as medications for rare diseases. The HMM we designed strikes a balance between computational costs and accuracy when handling hundreds of thousands of data. Additionally, the interpretability of HMMs effectively supports managers in making decisions for business operations. |
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| Description: | 碩士
國立政治大學
資訊管理學系
110356039 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110356039 |
| Data Type: | thesis |
| Appears in Collections: | [資訊管理學系] 學位論文
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