Forecasting short term trucking rates - MIT · 12 Results and discussions NARX RESULTS FOR SPOT...
Transcript of Forecasting short term trucking rates - MIT · 12 Results and discussions NARX RESULTS FOR SPOT...
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Forecasting short term trucking rates
Xiwen Bai
Advised by Dr. Chris Caplice
22 May 2018
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IntroductionMOTIVATION
Transportation Trucking Forecasting
$1.5trillionspentin2015onlogisticsandtransportation
8%ofUSGDP
Upto50%oftotallogisticscostsaretransportationcost
Emphasizeonleanproductionandinventoryminimization
LifebloodoftheUSeconomy
Earned $726.4billionrevenuein2015
Represents81.5%ofUSfreighttransportationrevenue
Transportationbudgetplanning
Economicsorderquantity
Inventoryreplenishment
Facilitylocation
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IntroductionOBJECTIVE&SCOPE
Ø Objective:• Todevelopaforecastingmodelthatpredictsbothcontractandspotratesfordryvanonindividuallanesforthenextsevendays
Ø Scope:• Onehigh-volumetruckload(TL)laneasasamplelaneforforecasts
Ø ContractvsSpotmarket:• Contract:stabilityforshippers,lessflexibility• Spot:moreflexibility,higherratevolatility
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Trends in truck rate forecasting research
Ø Contractratesmorefrequentlystudiedthanspotrates
Ø Methodologyevolvement
Approximated
rate function
Regressionbasedmethod
Machinelearning
TL:distanceLTL:distance
weight
Market-Lane-specificvariable:
Origin/destinationTenderrejection
EconomicsofscaleFreightclass
NotoftenusedintruckingExceptBudak,etal.(2017)
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Research Gaps
Ø Moststudiesusinglinearregressionmethods
Ø Spotmarketrateshavebeenlessstudied
Ø Nostudyconsideringinteractions betweenspotandcontractrates,betweenratesforaparticularlaneanditsadjacentroutes,orbetweenratesandvolumes.
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Methodology
• NAR:Nonlinearautoregressive(NAR)
• NARX:NonlinearautoregressivewitheXogenous inputs
NeuralNetwork
• ARIMA:Autoregressiveintegratedmovingaverage
TimeSeriesModels
• Whentoupdatemodelwithnewinformation
Modelupdate
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MethodologyFORECASTINGMODELS:NEURALNETWORK&ARIMA
!" = $% + $'!"(' + ⋯+ $*!"(* + +" + ,'+"(' + ⋯+ ,-+"(-
! " + 1 = & ! " , … ! " − *+ + 1 ; - " , - " − 1 ,…- " − *. + 1
Ø NAR&NARXmodels• Hybridofneuralnetworkandtimeseriesmodels
Ø ARIMAmodel
ModelStructure
𝑢(𝑡) isexogenousinput;dy andduarememorydelays
Ø Abilitytofindcomplexandnonlinearassociationsbetweentheparameters
Ø Highertoleranceforerrors,robusttonoise
Ø Lessconcernedwithmulticollinearityissue
Ø Noneedforerrordistributionassumption
NeuralNetworkAdvantage
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MethodologyMODELUPDATEWITHNEWINFORMATION
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MethodologyDATA
Ø GeorgiaCentral(GA_C)toFloridaCentral(FL_C)dailyspotandcontractcostpermileoveraone-yearperiod(1Apr2016to31Mar2017);
Ø Training:Validation:Testset=70:15:15
LHDVODpairMap(Contract)
15,019 54,443
Avgvolume
Origdest
Destination
origin
2016Population
590,000to1,340,000
1,340,000to3,070,000
3,070,000to5,590,000
5,590,000to9,000,000
9,000,000to39,700,000
MapbasedonLngandLatandLat.ForpaneLat:ColorshowssumofAvgvolume.DetailsareshownforODPair.ForpaneLat
(2):ColorshowsdetailsaboutOrigdest.Mapcoloringshows2017PopulationbyState.ThedataisfilteredonAvgvolumeand
Ratetype.TheAvgvolumefilterrangesfrom15000to54443andkeepsNullvalues.TheRatetypefilterkeepsC.
0
1
2
3
4
5
6
Apr-16 Jul-16 Oct-16 Jan-17
Costperm
ile
CCPM
S-CPM
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MethodologyINPUTDECISIONVARIABLESANALYSIS
Autocorrelationandcross-correlationsbetweenGA_CtoFL_Ccontractrates andothervariables
Numberoflags
[Contract,Contract]
[Contract,Spot]
[Contract,ContractGA_C|FL_N]
[Contract,ContractGA_C|FL_S]
[Contract,ContractGA_C|SC_C]
[Contract,Volume]
0 1 0.25 0.05 0.5 0.08 -0.411 0.38 0.11 -0.11 0.23 0.12 -0.032 0.22 0.1 -0.05 0.16 0.13 0.233 0.04 0.13 -0.07 0.13 0.03 0.334 0.01 0.17 0.03 0.1 0.16 0.155 0.12 0.19 0.12 0.22 0.08 -0.056 0.21 0.16 0.02 0.26 0.07 -0.327 0.42 0.14 0.05 0.4 0.06 -0.34
Numberoflags [Spot,Spot] [Spot,
Contract][Spot,Volume]
0 1 0.25 -0.181 0.3 0.21 -0.092 0.28 0.23 -0.013 0.3 0.11 0.044 0.23 0.13 0.025 0.27 0.06 0.056 0.26 0.12 -0.087 0.23 0.14 -0.16
Autocorrelationandcross-correlationsbetweenGA_CtoFL_Cspotrates andothervariables
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Results and discussionsNARRESULTSFORSPOTRATES
Feedback delays (𝑑&) Hidden nodes (𝑁() MSE for validation set7 4 0.4948 2 0.5079 5 0.54310 2 0.52711 3 0.52612 4 0.53913 2 0.55814 2 0.5440.4
0.5
0.6
0.7
0.8
0.9
1
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
MSE
Noofhiddennodes
MSEforthevalidationsetwithdifferentnumbersofhiddennodes(Nh)(dy=7)
NARmodelresultsforspotrateswithdifferentfeedbackdelays(dy)
Thesamemodelforeachdu andNh isrun10timestogetstableresults.MSEsaretheaveragevaluesof10runs.
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Results and discussionsNARXRESULTSFORSPOTRATESWITHCONTRACTRATESASINPUTS
Inputdelays(𝑑)) Hiddennodes(𝑁() MSEforvalidationset1 6 0.5442 5 0.5133 4 0.5114 2 0.5525 3 0.5016 2 0.5307 2 0.559
Note:dy=7.Thesamemodelforeachdu andNh isrun10timestogetstableresults.MSEsaretheaveragevaluesof10runs.
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Results and discussionsMODELUPDATEWITHNEWINFORMATIONFORSPOTRATES
Ø Updatedmodelsdonotperformbetterthantheoriginalmodelinmostcases.
Ø Reason:parameters(numbersofhiddennodesandfeedbackdelays)trainedintheoriginalmodelnotstableduetohighlevelofvolatilityandnoiseintheoriginaldata
-120%
-80%
-40%
0%
40%
80%
1 2 3 4 5 6
%M
SEre
duction
Periodahead
ErrorreductionfromnewrollingwindowmodelErrorreductionfromnewcumulativemodel
MSEreductionsbyupdatingmodelswithnewinformationforspotrates
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Results and discussionsNARANDNARXRESULTSFORCONTRACTRATES
Inputvariables Inputdelay(𝑑))
Hiddennodes(𝑁()
MSEforvalidationset
CR 7 3 0.00239
CR,SR 7 3 0.00235CR,GA_C|FL_S 7 1 0.00205CR,Volume 7 2 0.00192CR,SR,GA_C|FL_S 7 2 0.00226CR,SR,Volume 7 1 0.00210CR,GA_C|FL_S,Volume 7 4 0.00211CR,SR,GA_C|FL_S,Volume 7 1 0.00200
Note:Feedbackdelay(dy)issetto7forallcases.CR standsforspotrates,SR forspotrates,GA_C|FL_SforcontractratesonGA_C|FL_S.Thesamemodelforeachdu andNh isrun10timestogetstableresults.MSEsaretheaveragedvaluesof10runs.
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Results and discussionsMODELUPDATEWITHNEWINFORMATIONFORCONTRACTRATES
Ø Updatedmodelperformsbetterthantheoriginalmodelfrom3-periodaheadonwards
Ø Rollingwindowmodelperformsbetterthanthecumulativemodel
MSEreductionsbyupdatingmodelswithnewinformationforcontractrates
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
1 2 3 4 5 6
%M
SEre
duction
Periodahead
ErrorreductionfromnewrollingwindowmodelErrorreductionfromnewcumulativemodel
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Results and discussionsRMSECOMPARISONBETWEENNAR(X)ANDARIMA
Ratetype Modeltype Bestmodel RMSEfor7days(rollingforecast)
SpotNAR(X) NARwith𝑑&=7 0.56511ARIMA ARIMA(6,0,2) 0.60167
%Difference -6%
ContractNAR(X) NARXwith𝑑&=7,𝑑)=7 0.03286ARIMA ARIMA(7,0,1) 0.03082
%Difference 7%
Note:%Differenceiscalculatedas(RMSENAR(X)- RMSEARIMA)/RMSEARIMA ,asawaytomeasurerelativeperformanceoftwotypesofmodels.
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ConclusionKEYFINDINGS
Spotrate:NARvsARIMAContractrate:NARvsARIMA1
2
3
4
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Contractrate:Addingvolume,ratesonadjacentroutes,retrainingofthemodelincreasesthemodel’sperformance
Muchhigheraccuracyandlessforecastingvariabilityforcontractthanspotrates
Noshort-terminformationtransmissionbetweenspotandcontractrates
Spotrate:Additionalinformation,suchaspastvaluesofcontractratesModelupdatewithnewinformationdoesnotimproveforecastingaccuracy
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Forecastingguidelineforpractitioners
• howtoselectinputvariables• whatmodeltouse• whentoupdatemodelwithnewinformation• whatforecastingerrorexpectedfrommodel
Aidsupplychaindecisionmaking
• Transportationbudgetplanning• Economicsorderquantity• Vehiclerouting• Facilitylocation
ConclusionCONTRIBUTION
1 2
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Thank You!