Inverse forecasting: A new approach for predictive modeling

Inverse forecasting: A new approach for predictive modeling

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Article ID: iaor20082863
Country: Netherlands
Volume: 53
Issue: 3
Start Page Number: 491
End Page Number: 498
Publication Date: Oct 2007
Journal: Computers & Industrial Engineering
Authors: ,
Keywords: programming: linear
Abstract:

In the last two decades there have been substantial developments in the mathematical theory of inverse optimization problems, and their applications have expanded greatly. In parallel, time series analysis and forecasting have become increasingly important in various fields of research such as data mining, economics, business, engineering, medicine, politics, and many others. Despite the large uses of linear programming in forecasting models there is no a single application of inverse optimization reported in the forecasting literature when the time series data are available. Thus the goal of this paper is to introduce inverse optimization into forecasting field, and to provide a streamlined approach to time series analysis and forecasting using inverse linear programming. An application has been used to demonstrate the use of inverse forecasting developed in this study.

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