Global tree forecasters collapse at the hierarchical aggregate: a five-panel failure characterization

Abstract:Global forecasting models pool many series and learn one shared function. Gradient-boosted trees are their most common form. We measure a failure of this design that has not, to our knowledge, been documented. Train a global tree on the individual series of a hierarchy, then ask it for the hierarchical aggregate. The aggregate sits far outside the model's training range, and the forecast collapses. The model under-predicts the total by 30-50x in our production deployment, and by up to 496x in a public M5 reconstruction. The mechanism is known: beyond its training range, a tree predicts a constant. It surfaces at the aggregate because the total dwarfs every training series. The cure is not new. Per-series scaling, the preprocessing step that Montero-Manso and Hyndman (2021) recommend, prevents the collapse. So do a weighted aggregate-level training row and seasonal differencing. Our contribution is the characterization. The collapse reproduces on five panels: a production business-to-business marketplace, a synthetic hierarchy, M5, Australian Tourism, and a public business-buyer panel. It holds on three tree libraries, is invariant across training seeds, and is statistically significant. Its onset is immediate and tracks a simple support bound: a scale gap of only 1.15x already costs a third of the total. No standard configuration change prevents it: pooling every hierarchy level into training fails at scale, and the one knob that fits linear models in the leaves softens it without curing it. Rolling the forecasts forward recursively separates the cures: the aggregate-row cure re-collapses, per-series scaling degrades but stays low, and only seasonal differencing keeps its one-step accuracy unchanged. We close with a three-step procedure for diagnosing and preventing the failure in deployed systems.

Machine Learning (cs.LG); Econometrics (econ.EM); Applications (stat.AP)

arXiv:2609.27912 [cs.LG]

(or arXiv:2609.27912v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2609.27912 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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