Sas Institute Inc.

Sounak Paul

Youngjin Park

Mahesh V Joshi

Iman Vasheghani Farahani

A system and method include tuning hyperparameters for an ARIMA model using a derivative free approach by determining a set of initial hyperparameter values, fitting an ARIMA model to the set of initial hyperparameter values, selecting a tuning method for the set of hyperparameters, responsive to selecting a single-objective method, computing a first objective function value from time-series data applied to the ARIMA model based on the set of initial hyperparameter values, or responsive to selecting a multi-objective method, computing at least a second objective function value and a third objective function value from the time-series data applied to the ARIMA model based on the set of initial hyperparameter values, determining whether a stopping criterion for tuning the set of hyperparameters has reached, responsive to determining that the stopping criteria has reached, outputting a set of tuned hyperparameter values.

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Raleigh, NC, United States of America

Sounak Paul