Inverse forecasting: a new approach for predictive modelling

Gholam R. Amin*, Ali Emrouznejad

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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 is 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. © 2007 Elsevier Ltd. All rights reserved.

Original languageEnglish
Pages (from-to)491-498
Number of pages8
JournalComputers and Industrial Engineering
Volume53
Issue number3
DOIs
Publication statusPublished - Oct 2007

Keywords

  • forecasting
  • inverse linear programming
  • inverse optimization
  • predictive modeling

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