Lightweight Online Adaption for Time Series Foundation Model Forecasts

Abstract: Foundation models (FMs) have emerged as a promising approach for time series forecasting. While effective, FMs typically remain fixed during deployment due to the high computational costs of learning them online. Consequently, deployed FMs fail to adapt their forecasts to current data characteristics, despite the availability of online feedback from newly arriving data. This raises the question of whether FM performance can be enhanced by the efficient usage of this feedback. We propose AdapTS to answer this question. AdapTS is a lightweight mechanism for the online adaption of FM forecasts in response to online feedback. AdapTS consists of two parts: a) the AdapTS-Forecaster which is used to learn the current data distribution; and b) the AdapTS-Weighter which is used to combine the forecasts of the FM and the AdapTS-Forecaster. We evaluate the performance of AdapTS in conjunction with several recent FMs across a suite of standard time series datasets. In all of our experiments we find that using AdapTS improves performance. This work demonstrates how efficient usage of online feedback can be used to improve FM forecasts.