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, Volume 16, Issue 2, pp 258–271 | Cite as

SIOPRED: a prediction and optimisation integrated system for demand

Original Paper

Abstract

This paper presents a forecasting support system based on the generalised Holt-Winters exponential smoothing scheme to forecast time series of levels of demand. It is conceived as an integrated tool which has been implemented in Visual Basic. For improving the accuracy of automatic forecasting it uses an optimisation-based scheme which unifies the stages of estimation of the parameters and model selection. Based on this scheme, suitable forecasts and prediction intervals are obtained. The performance of the proposed system is compared with a number of well-established automatic forecasting procedures with respect to the 3003 time series included in the M3-competition.

Keywords

Forecasting Holt-Winters method Non-linear optimisation Decision support systems 

Mathematics Subject Classification (2000)

62M10 62M20 62P30 90C30 

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Copyright information

© Sociedad de Estadística e Investigación Operativa 2008

Authors and Affiliations

  1. 1.Dpto. Estadística e Investigación OperativaUniversitat de ValènciaBurjassotSpain
  2. 2.Centro de Investigación OperativaUniversidad Miguel Hernández de ElcheElcheSpain

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