A reinforcement learning agent that matches the current forecast-error pattern to its closest historical match can select better forecasting models than simple averaging in M4 and SPF tests.
Reinforcement learning based dynamic model selection for short-term load forecasting
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Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach
A reinforcement learning agent that matches the current forecast-error pattern to its closest historical match can select better forecasting models than simple averaging in M4 and SPF tests.