How did you become a forecaster?
At some stage of my work in Microsoft, following one of the business reorganizations that happen regularly at large companies, I found myself in a rather nascent Azure organization that started to move from manual capacity planning into a more automated, better organized one. I was asked to forecast some of the capacity variables.
I started with learning about the classical time series algorithms, but soon realized that they were not good solutions for Azure time series: the series were growing fast, definitely faster than linear, but, on the other hand, slower than exponential. The series were also very variable, with large jumps up and down followed by quiet periods, unlikely to be modelled well with the Gaussian error. Fortunately, I got hold of prof. Hyndman’s book on exponential smoothing and as soon as I finished the chapter 2, I started experimenting with extending and generalizing the exponential smoothing models with Stan – a probabilistic programming language. This allowed me to build good models for Azure and I got hooked on forecasting.
What areas of forecasting interest you?
- Time series forecasting using neural networks and probabilistic programming.
NNs are great as they are very flexible, one can choose among many architectures, write own loss function, use on the fly preprocessing that is guided by the gradient descent, etc. There are still a lot of possibilities to explore like using multiple NNs concurrently, clustering, new architectures, evolutionary – gradient descent hybrids.
But NNs are data hungry, and when we have little data, Bayesian methods, facilitated by probabilistic programming languages, are the right choice. The tools become better and faster, so reasonably complicated hierarchical Bayesian models can be calculated quite quickly and with little programming effort.
- Long term forecasting, where steps are, say 10-20 years. It is very difficult of course, and I am an amateur here, but it is interesting.
How has the International Institute of Forecasters influenced you?
I became member of IIF and started attending ISF in 2015. Through the conferences I learned what is happening in the field, and also established personal relationship with some academics and practitioners.
What do you do in your free time?
I read books on various subjects including history, psychology, and parapsychology. I play table tennis almost daily and hike during weekends.