Pseudo-Label-Triggered Retraining from Forecast Errors for Online Time Series Forecasting
TL;DR
PILOT (Pseudo-label-Informed Learned Online Trigger), an online retraining framework that learns when to retrain from forecast-error dynamics, achieves state-of-the-art average-rank performance among retraining policies while maintaining a favorable performance--efficiency trade-off.
Abstract
Real-world time series forecasting systems operate under non-stationary data streams, where forecasting performance may degrade over time. Although retraining can recover the performance, it incurs non-trivial computational and operational costs. Under limited deployment resources, the key challenge is therefore not only how to retrain but also when to retrain. While existing retraining policies often rely on indirect indicators such as drift alarms or model staleness, we instead use realized forecast errors as direct deployment feedback. In this paper, we propose PILOT (Pseudo-label-Informed Learned Online Trigger), an online retraining framework that learns when to retrain from forecast-error dynamics. Since ground-truth retraining labels are unavailable, PILOT constructs a pseudo-label from future increases in forecast error and trains a lightweight scorer to predict it from observed error states. At deployment, PILOT uses only completed forecast errors and serves as a plug-in module for arbitrary forecasting backbones without architectural modification. We evaluate PILOT under standard multivariate forecasting settings across eight benchmarks with three representative backbones---DLinear, iTransformer, and TimesNet. Across all three backbones, PILOT achieves state-of-the-art average-rank performance among retraining policies while maintaining a favorable performance--efficiency trade-off.
