# One Global Model, Many Behaviors: Stockout-Aware Feature Engineering and Dynamic Scaling for Multi-Horizon Retail Demand Forecasting with a Cost-Aware Ordering Policy (VN2 Winner Report)

arXiv: https://arxiv.org/abs/2601.18919 · HTML: https://mlsanity.com/paper/2601.18919/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 5 of its 29 references that are in the map.
- First posted on arXiv 26 Jan 2026.

## Builds on (most cited first, 5 of 5)

- [Optuna: A Next-generation Hyperparameter Optimization Framework](https://mlsanity.com/paper/1907.10902/) (2019)
- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [Smart "Predict, then Optimize"](https://mlsanity.com/paper/1710.08005/) (2017)
- [From Predictive to Prescriptive Analytics](https://mlsanity.com/paper/1402.5481/) (2014)
- [Criteria for Classifying Forecasting Methods](https://mlsanity.com/paper/2212.03523/) (2022)

## Abstract (arXiv)

Inventory planning for retail chains requires translating demand forecasts into ordering decisions, including asymmetric shortages and holding costs. The VN2 Inventory Planning Challenge formalizes this setting as a weekly decision-making cycle with a two-week product delivery lead time, where the total cost is defined as the shortage cost plus the holding cost. This report presents the winning VN2 solution: a two-stage predict-then-optimize pipeline that combines a single global multi-horizon forecasting model with a cost-aware ordering policy. The forecasting model is trained in a global paradigm, jointly using all available time series. A gradient-boosted decision tree (GBDT) model implemented in CatBoost is used as the base learner. The model incorporates stockout-aware feature engineering to address censored demand during out-of-stock periods, per-series scaling to focus learning on time-series patterns rather than absolute levels, and time-based observation weights to reflect shifts in demand patterns. In the decision stage, inventory is projected to the start of the delivery week, and a target stock level is calculated that explicitly trades off shortage and holding costs. Evaluated by the official competition simulation in six rounds, the solution achieved first place by combining a strong global forecasting model with a lightweight cost-aware policy. Although developed for the VN2 setting, the proposed approach can be extended to real-world applications and additional operational constraints.