Nonlinear reconciliation: Error reduction theorems

TMLR Paper5545 Authors

Abstract: Forecast reconciliation, an ex-post technique applied to forecasts that must satisfy constraints, has been a prominent topic in the forecasting literature over the past two decades. Recently, several efforts have sought to extend reconciliation methods to the probabilistic settings. Nevertheless, formal theorems demonstrating error reduction in nonlinear contexts, analogous to those presented in Panagiotelis et al., (2021), are still lacking. This paper addresses that gap by establishing such theorems for various classes of nonlinear hypersurfaces and vector-valued functions. Specifically, we derive an exact analog of Theorem 3.1 from Panagiotelis et al., (2021) for hypersurfaces with constant-sign curvature. Additionally, we provide an error reduction theorem for the broader case of hypersurfaces with non-constant-sign curvature and for general manifolds with codimension > 1. To support reproducibility and practical adoption, we release a JAX-based Python package, \emph{to be released upon publication}, implementing the presented theorems and reconciliation procedures.

Submission Length: Long submission (more than 12 pages of main content)

Changes Since Last Submission: We realized we didn't update some tables and pictures with the results using the new solver. As previously mentioned the results didn't change qualitatively. We took the opportunity to slightly improve the quality of the conceptual figure 1 and 2.

Assigned Action Editor: ~Samuel_Vaiter1

Submission Number: 5545