Pattern sequence-based algorithm for multivariate big data time series forecasting: Application to electricity consumption

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Several interrelated variables typically characterize real-world processes, and a time series cannot be predicted without considering the influence that other time series might have on the target time series. This work proposes a novel algorithm to forecast multivariate big data time series. This new general-purpose approach consists first of a previous pattern recognition performed jointly using all time series that form the multivariate time series and then predicts the target time series by searching for similarities between pattern sequences. The proposed algorithm is designed to tackle multivariate time series forecasting problems within the context of big data. In particular, the algorithm has been developed with a distributed nature to enhance its efficiency in analyzing and processing large volumes of data. Moreover, the algorithm is straightforward to use, with only two parameters needing adjustment. Another advantage of the MV-bigPSF algorithm is its ability to perform multi-step forecasting, which is particularly useful in many practical applications. To evaluate the algorithm’s performance, real-world data from Uruguay’s power consumption has been utilized. Specifically, MV-bigPSF has been compared with both univariate and multivariate methods. Regarding the univariate ones, MV-bigPSF improved 12.8% in MAPE compared to the second-best method. Regarding the multivariate comparison, MV-bigPSF improved 44.8% in MAPE with respect to the second most accurate method. Regarding efficiency, the execution time of MV-bigPSF was 1.83 times faster than the second-fastest multivariate method, both in a single-core environment. Therefore, the proposed algorithm can be a valuable tool for practitioners and researchers working in multivariate time series forecasting, particularly in big data applications.
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