SIOPRED: a prediction and optimisation integrated system for demand

This paper presents a forecasting support system based on the generalised Holt-Winters exponential smoothing scheme to forecast time series of levels of demand. It is conceived as an integrated tool which has been implemented in Visual Basic. For improving the accuracy of automatic forecasting it uses an optimisation-based scheme which unifies the stages of estimation of the parameters and model selection. Based on this scheme, suitable forecasts and prediction intervals are obtained. The performance of the proposed system is compared with a number of well-established automatic forecasting procedures with respect to the 3003 time series included in the M3-competition.