ORION: Online Regularized Multi-task Regression and Its Application to Ensemble Forecasting

Ensemble forecasting is a well-known numerical prediction technique for modeling the evolution of nonlinear dynamic systems. The ensemble member forecasts are generated from multiple runs of a computer model, where each run is obtained by perturbing the starting condition or using a different model representation of the dynamic system. The ensemble mean or median is typically chosen as the consensus point estimate of the aggregated forecasts for decision making purposes. These approaches are limited in that they assume each ensemble member is equally skill ful and do not consider their inherent correlations. In this paper, we cast the ensemble forecasting task as an online, multi-task regression problem and present a framework called ORION to estimate the optimal weights for combining the ensemble members. The weights are updated using a novel online learning with restart strategy as new observation data become available. Experimental results on seasonal soil moisture predictions from 12 major river basins in North America demonstrate the superiority of the proposed approach compared to the ensemble median and other baseline methods.