# Probabilistic Forecast Reconciliation with Kullback-Leibler Divergence Regularization

arXiv: https://arxiv.org/abs/2311.12279 · HTML: https://mlsanity.com/paper/2311.12279/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 3 of its 11 references that are in the map.
- First posted on arXiv 21 Nov 2023.

## Builds on (most cited first, 3 of 3)

- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [N-BEATS: Neural basis expansion analysis for interpretable time series forecasting](https://mlsanity.com/paper/1905.10437/) (2019)

## Abstract (arXiv)

As the popularity of hierarchical point forecast reconciliation methods increases, there is a growing interest in probabilistic forecast reconciliation. Many studies have utilized machine learning or deep learning techniques to implement probabilistic forecasting reconciliation and have made notable progress. However, these methods treat the reconciliation step as a fixed and hard post-processing step, leading to a trade-off between accuracy and coherency. In this paper, we propose a new approach for probabilistic forecast reconciliation. Unlike existing approaches, our proposed approach fuses the prediction step and reconciliation step into a deep learning framework, making the reconciliation step more flexible and soft by introducing the Kullback-Leibler divergence regularization term into the loss function. The approach is evaluated using three hierarchical time series datasets, which shows the advantages of our approach over other probabilistic forecast reconciliation methods.