Neural Multi-Quantile Forecasting for Optimal Inventory Management
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In this work we propose the use of quantile regression and dilated recurrent neural networks with temporal scaling (MQ-DRNN-s) and apply it to the inventory management task. This model showed a better performance of up to 3.2% over a statistical benchmark (the quantile autoregressive model with exogenous variables, QAR-X), being better than the MQ-DRNN without temporal scaling by 6%. The above on a set of 10,000 time series of sales of El Globo over a 53-week horizon using rolling windows of 7-day ahead each week.
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