For any financial organization, computing accurate quarterly forecasts for various products is one of the most critical operations. As the granularity at which forecasts are needed increases, traditional statistical time series models may not scale well. We apply deep neural networks in the forecasting domain by experimenting with techniques from Natural Language Processing (Encoder-Decoder LSTMs) and Computer Vision (Dilated CNNs), as well as incorporating transfer learning. A novel contribution of this paper is the application of curriculum learning to neural network models built for time series forecasting. We illustrate the performance of our models using Microsoft's revenue data corresponding to Enterprise, and Small, Medium & Corporate products, spanning approximately 60 regions across the globe for 8 different business segments, and totaling in the order of tens of billions of USD. We compare our models' performance to the ensemble model of traditional statistics and machine learning techniques currently used by Microsoft Finance. With this in-production model as a baseline, our experiments yield an approximately 30 improvement in overall accuracy on test data. We find that our curriculum learning LSTM-based model performs best, showing that it is reasonable to implement our proposed methods without overfitting on medium-sized data.
We next comment on how we have applied the concept of transfer learning in our work. While there has been work done on transfer learning across tasks for CNNs @cite_12 and RNNs @cite_2 , as well as research on meta-learning across time series @cite_17 , there has not yet been an extensively applied example showing the ability to ameliorate the missing data problem by forecasting one datarow using historical trends from (in our case) a different region, segment, or product. Prior work on similar transfer learning focuses on robustness of out-of-sample test results and testing predictions at different timesteps @cite_3 , which does not account for missing data and is relatively infeasible to reproduce given the much smaller size of the Microsoft data. We discuss implications at length in Section .
@cite_3 @cite_17 @cite_12 @cite_2
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This paper introduces a novel method to perform transfer learning across domains and tasks, formulating it as a problem of learning to cluster. The key insight is that, in addition to features, we can transfer similarity information and this is sufficient to learn a similarity function and clustering network to perform both domain adaptation and cross-task transfer learning. We begin by reducing categorical information to pairwise constraints, which only considers whether two instances belong to the same class or not. This similarity is category-agnostic and can be learned from data in the source domain using a similarity network. We then present two novel approaches for performing transfer learning using this similarity function. First, for unsupervised domain adaptation, we design a new loss function to regularize classification with a constrained clustering loss, hence learning a clustering network with the transferred similarity metric generating the training inputs. Second, for cross-task learning (i.e., unsupervised clustering with unseen categories), we propose a framework to reconstruct and estimate the number of semantic clusters, again using the clustering network. Since the similarity network is noisy, the key is to use a robust clustering algorithm, and we show that our formulation is more robust than the alternative constrained and unconstrained clustering approaches. Using this method, we first show state of the art results for the challenging cross-task problem, applied on Omniglot and ImageNet. Our results show that we can reconstruct semantic clusters with high accuracy. We then evaluate the performance of cross-domain transfer using images from the Office-31 and SVHN-MNIST tasks and present top accuracy on both datasets. Our approach doesn't explicitly deal with domain discrepancy. If we combine with a domain adaptation loss, it shows further improvement. We consider an interesting problem in this paper that uses transfer learning in two directions to compensate missing knowledge from the target domain. Transfer learning tends to be exploited as a powerful tool that mitigates the discrepancy between different databases used for knowledge transfer. It can also be used for knowledge transfer between different modalities within one database. However, in either case, transfer learning will fail if the target data are missing. To overcome this, we consider knowledge transfer between different databases and modalities simultaneously in a single framework, where missing target data from one database are recovered to facilitate recognition task. We referred to this framework as Latent Low-rank Transfer Subspace Learning method (L2TSL). We first propose to use a low-rank constraint as well as dictionary learning in a learned subspace to guide the knowledge transfer between and within different databases. We then introduce a latent factor to uncover the underlying structure of the missing target data. Next, transfer learning in two directions is proposed to integrate auxiliary database for transfer learning with missing target data. Experimental results of multi-modalities knowledge transfer with missing target data demonstrate that our method can successfully inherit knowledge from the auxiliary database to complete the target domain, and therefore enhance the performance when recognizing data from the modality without any training data. Transfer learning for deep neural networks is the process of first training a base network on a source dataset, and then transferring the learned features (the network’s weights) to a second network to be trained on a target dataset. This idea has been shown to improve deep neural network’s generalization capabilities in many computer vision tasks such as image recognition and object localization. Apart from these applications, deep Convolutional Neural Networks (CNNs) have also recently gained popularity in the Time Series Classification (TSC) community. However, unlike for image recognition problems, transfer learning techniques have not yet been investigated thoroughly for the TSC task. This is surprising as the accuracy of deep learning models for TSC could potentially be improved if the model is fine-tuned from a pre-trained neural network instead of training it from scratch. In this paper, we fill this gap by investigating how to transfer deep CNNs for the TSC task. To evaluate the potential of transfer learning, we performed extensive experiments using the UCR archive which is the largest publicly available TSC benchmark containing 85 datasets. For each dataset in the archive, we pre-trained a model and then fine-tuned it on the other datasets resulting in 7140 different deep neural networks. These experiments revealed that transfer learning can improve or degrade the models predictions depending on the dataset used for transfer. Therefore, in an effort to predict the best source dataset for a given target dataset, we propose a new method relying on Dynamic Time Warping to measure inter-datasets similarities. We describe how our method can guide the transfer to choose the best source dataset leading to an improvement in accuracy on 71 out of 85 datasets. Transferring the knowledge learned from large scale datasets (e.g., ImageNet) via fine-tuning offers an effective solution for domain-specific fine-grained visual categorization (FGVC) tasks (e.g., recognizing bird species or car make & model). In such scenarios, data annotation often calls for specialized domain knowledge and thus is difficult to scale. In this work, we first tackle a problem in large scale FGVC. Our method won first place in iNaturalist 2017 large scale species classification challenge. Central to the success of our approach is a training scheme that uses higher image resolution and deals with the long-tailed distribution of training data. Next, we study transfer learning via fine-tuning from large scale datasets to small scale, domain-specific FGVC datasets. We propose a measure to estimate domain similarity via Earth Mover's Distance and demonstrate that transfer learning benefits from pre-training on a source domain that is similar to the target domain by this measure. Our proposed transfer learning outperforms ImageNet pre-training and obtains state-of-the-art results on multiple commonly used FGVC datasets.