Asymmetric Peak-Aware Loss for Peak-Critical Time Series Forecasting
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Abstract (arXiv)
In many operational time-series forecasting applications, such as crowd demand forecasting, the risk related to under-prediction is substantially higher than that of over-prediction. Accurate prediction of rare demand spikes plays a critical role in downstream tasks. Yet most time-series forecasters are trained with symmetric objectives (e.g., MSE, MAE) and evaluated primarily on aggregate error, which can mask failures in extreme-values and peak-timing predictions. We introduce Asymmetric Peak-Aware Loss (APAL), a simple, model-agnostic objective that (i) penalizes under-predictions more heavily and (ii) increases the training weight of peak regions within each forecast window. We further propose a peak-critical evaluation protocol that complements MAE/MSE with channel-wise tail error (Top-10% and Top-1%) and peak metrics (precision, recall, F1 under timing tolerance, and peak timing error). We evaluate APAL on long-horizon multivariate forecasting across five state-of-the-art backbones, with a focus on pedestrian demand forecasting using (i) a production-ready subset of the City of Melbourne pedestrian hourly count dataset and (ii) a beach visitor count dataset. The generality of the loss function for time-series forecasting is tested on additional benchmarks. Across peak-critical datasets and settings, APAL improves tail accuracy and peak-prediction quality while exposing a controllable trade-off with aggregate error, making it a practical solution when peak-prediction failures are the dominant operational concern.
Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 16 of its 45 references that are in the map. First posted on arXiv 16 Jul 2026.
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References · 16
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- 2023TSMixer: Lightweight MLP-Mixer Model for Multivariate Time Series Forecastingcited by 136
- 2019Shape and Time Distortion Loss for Training Deep Time Series Forecasting Modelscited by 66
4 more
- 2025Patch-wise Structural Loss for Time Series Forecastingcited by 34
- 2015Forecaster's Dilemma: Extreme Events and Forecast Evaluationcited by 20
- 2022TILDE-Q: A Transformation Invariant Loss Function for Time-Series Forecastingcited by 8
- 2024Multi-Sample Dynamic Time Warping for Few-Shot Keyword Spottingcited by 1
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