The cost of ensembling: is it always worth combining?

TL;DR

This paper evaluates the trade-offs between forecast accuracy and computational cost in ensemble learning for time series forecasting, highlighting practical strategies for balancing performance and efficiency.

Contribution

It provides empirical insights into how ensemble size, retraining frequency, and design choices affect accuracy and cost, offering guidelines for scalable forecasting systems.

Findings

Ensembles improve forecast accuracy, especially probabilistic ones.

Reducing retraining frequency maintains accuracy while lowering costs.

Small ensembles of 2-3 models often achieve near-optimal results.

Abstract

Given the continuous increase in dataset sizes and the complexity of forecasting models, the trade-off between forecast accuracy and computational cost is emerging as an extremely relevant topic, especially in the context of ensemble learning for time series forecasting. To asses it, we evaluated ten base models and eight ensemble configurations across two large-scale retail datasets (M5 and VN1), considering both point and probabilistic accuracy under varying retraining frequencies. We showed that ensembles consistently improve forecasting performance, particularly in probabilistic settings. However, these gains come at a substantial computational cost, especially for larger, accuracy-driven ensembles. We found that reducing retraining frequency significantly lowers costs, with minimal impact on accuracy, particularly for point forecasts. Moreover, efficiency-driven ensembles offer a strong balance, achieving competitive accuracy with considerably lower costs compared to accuracy-optimized combinations. Most importantly, small ensembles of two or three models are often sufficient to achieve near-optimal results. These findings provide practical guidelines for deploying scalable and cost-efficient forecasting systems, supporting the broader goals of sustainable AI in forecasting. Overall, this work shows that careful ensemble design and retraining strategy selection can yield accurate, robust, and cost-effective forecasts suitable for real-world applications.