Prophetを使った時系列データ予測と機械学習モデルとの比較 / prophet-vs-ml

Prophetを使った時系列データ予測と機械学習モデルとの比較 / prophet-vs-ml

時系列データにおいて, Prophetと3時間で作成した機械学習モデルとの精度比較

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Haruki Okuyama

October 27, 2019
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  1. ©2019 Wantedly, Inc. ProphetΛ࢖ͬͨ࣌ܥྻσʔλ༧ଌͱ ػցֶशϞσϧͱͷൺֱ ML for Beginners! MeetUp #1

    LTձ Oct 27, 2019 - Haruki Okuyama - @spring1018x
  2. ©2019 Wantedly, Inc. Self-Introduction •Haruki OkuyamaʢԞࢁ ݰكʣ •Chemistry Research (until

    March 2019) •Wantedly, Inc. (since April 2019) •Recommendation Team • Mainly, Data Analysis
  3. ©2019 Wantedly, Inc. ࿩͢͜ͱ ɾ౷ܭϞσϧͱػցֶशϞσϧͷ࣌ܥྻσʔλ༧ଌ ɾ࣌ܥྻ༧ଌϥΠϒϥϦProphetͷ঺հ ࿩͞ͳ͍͜ͱ ɾProphetͷৄࡉͳΞϧΰϦζϜ About this

    talk
  4. ©2019 Wantedly, Inc. ɾֶशσʔλ(աڈ)ͱςετσʔλ(ະདྷ)ͷ෼෍͕ҟͳΔ ɾτϨϯυ͕͋Δͱ2ͭͷ෼෍͕ҟͳΔͷ͸౰વ ɾػցֶशϞσϧΑΓ౷ܭϞσϧͷํ͕༧ଌਫ਼౓͕͍͍৔߹΋͋ͬͨΓ ͢ΔΒ͍͠* => ࣌ܥྻσʔλʹରͯ͠ػցֶशϞσϧͱ౷ܭϞσϧͷ༧ଌ݁ՌΛ ൺֱ͠,

    ײ৮Λ͔֬Ί͍ͨʂ ࣌ܥྻσʔλͷ༧ଌͷ೉͠͞ *https://tjo.hatenablog.com/entry/2019/09/18/190000 https://t.co/S3BpRgtxUW?amp=1
  5. ©2019 Wantedly, Inc. ɾػցֶशϞσϧ ϥάಛ௃ྔΛத৺ʹ15ݸͷಛ௃ྔΛ࡞੒͠, LightGBMͰֶश ɾ౷ܭϞσϧ Facebook੡OSSͷProphetΛ࢖༻ ໰୊: ͋Δࢦඪ͕དྷ݄͍ͭ͘ʹͳΔ͔Λ༧ଌ͢Δ

    * ͋Δ೔෇ͷ࣌఺Ͱ࣍ͷ݄ͷࢦඪΛ༧ଌ͍ͨ͠ ** 3࣌ؒ͘Β͍Ͱ༧ଌϞσϧΛ࡞੒͍ͨ͠
  6. ©2019 Wantedly, Inc. Prophetͬͯʁ 'BDFCPPL੡ͷ044ඇઢܗͳ࣌ܥྻσʔλΛقઅੑ΍ٳ೔ޮՌΛऔΓೖΕͯ༧ଌ͢Δ ɾτϨϯυ g(t) ɾقઅੑ(पظੑ) s(t) ɾٳ೔ɾॕ೔ޮՌ

    h(t) ɾΠϕϯτ΍Ωϟϯϖʔϯ Forecasting at Scale Sean J. Taylor∗† Facebook, Menlo Park, California, United States ࣌ܥྻσʔλΛ͜ΕΒͷཁૉͷ࿨ͱߟ͑Δ (*ࣗݾ૬ؔ͸ߟྀ͍ͯ͠ͳ͍)
  7. ©2019 Wantedly, Inc. model࡞੒ Time 2016-01-01 ~ 2019-06-30·ͰͷσʔλΛ࢖ֶͬͯश͠, modelΛ࡞੒ 2019-07-01

    ~ 2019-09-30ͰධՁ
  8. ©2019 Wantedly, Inc. modelධՁ Prophetͷํ͕ਫ਼౓͕ߴ͍ 2016-01-01 ~ 2019-06-30·ͰͷσʔλΛ࢖ֶͬͯश͠, modelΛ࡞੒ 2019-07-01

    ~ 2019-09-30ͰධՁ Prophet ML MAPE: 12.2% MAPE: 10.6%
  9. ©2019 Wantedly, Inc. ͜͜·Ͱͷ·ͱΊ ɾτϨϯυɾपظੑͷڧ͍࣌ܥྻσʔλʹରͯ͠, ػցֶशϞσϧͷ৔߹, ୹࣌ؒͰਫ਼౓Λग़͢ͷ͸೉͍͠ ɾ΋ͬͱ࣌ؒΛ͔͚ΒΕΔ৔߹͸ಛ௃ྔઃܭɾόϦσʔγϣϯͷ޻෉ͷ༨ ஍͕͋ΔͷͰ࣌ܥྻϞσϧʹউͯͦ͏

  10. ©2019 Wantedly, Inc. Prophet: ֤ཁૉͷӨڹ౓ ɾτϨϯυ g(t) ɾقઅੑ s(t) ɾٳ೔ɾॕ೔ޮՌ

    h(t) ɾΠϕϯτ΍Ωϟϯϖʔϯ ɾٳ೔΍ॕ೔͚ͩͰͳ͘, ೚ҙͷΠϕϯτ΍ΩϟϯϖʔϯͷޮՌ΋औΓೖΕΔ͜ͱ͕Ͱ͖Δ ɾ͞Βʹ, ֤ཁૉͷӨڹ౓΋ఆྔతʹࢉग़Ͱ͖Δ
  11. ©2019 Wantedly, Inc. Prophet: ֤ཁૉͷӨڹ౓ ੒௕τϨϯυ, ༵೔ɾ݄ͷӨڹ, ॕ೔ͷӨڹͷՄࢹԽ ॱௐʹ੒௕ ౔೔͸௿Լ

    3݄͸্ঢ trend holiday weekly yearly ॕ೔͸௿Լ
  12. ©2019 Wantedly, Inc. Prophetͷಛ௃ ɾτϨϯυɾपظੑͷڧ͍࣌ܥྻσʔλʹ޲͍͍ͯΔ ɾ֤੒෼ͷӨڹ౓͕ఆྔతʹ೺ѲͰ͖ΔͷͰઆ໌ੑ͕ߴ͍ ɾύϥϝʔλνϡʔχϯά͸ͦΕ΄Ͳඞཁͳ͍ ɾ໨తͱ͢ΔࢦඪͷυϝΠϯ஌ࣝ͑͋͞Ε͹Α͍. ྫ͑͹༵೔पظ͕͋Δ, ࿈ٳ͸௿Լ͢Δetc

  13. ©2019 Wantedly, Inc. ɾ࣌ܥྻσʔλ༧ଌʹ͓͚ΔػցֶशϞσϧͱProphetͷൺֱ ɾ໰୊ઃఆ΍͔͚ΒΕΔ࣌ؒΛߟྀͯ͠બ୒͢Δ ɾProphetʹΑΔ༧ଌ ɾखܰʹ࣌ܥྻ༧ଌ͕Մೳ ɾυϝΠϯ஌͕ࣝ͋Ε͹पظɾΠϕϯτޮՌͷઃఆʹΑΓਫ਼౓্͕͕Δ ɾσʔλΛߏ੒͢ΔཁૉͷӨڹ͕ఆྔతʹΘ͔Δ Summary