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Abstract
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In a business environment with strict competition among frms, accurate demand forecasting is not straightforward. In this paper, a forecasting method is proposed, which has a strong capability of predicting highly
fluctuating demand data. Therefore, in this paper we propose a demand forecasting method based on multi-layer
LSTM networks. The proposed method automatically selects the best forecasting model by considering different
combinations of LSTM hyperparameters for a given time series using the grid search method. It has the ability to
capture nonlinear patterns in time series data, while considering the inherent characteristics of non-stationary
time series data. The proposed method is compared with some well-known time series forecasting techniques
from both statistical and computational intelligence methods using demand data of a furniture company. These
methods include autoregressive integrated moving average (ARIMA), exponential smoothing (ETS), artifcial
neural network (ANN), K-nearest neighbors (KNN), recurrent neural network (RNN), support vector machines
(SVM) and single layer LSTM. The experimental results indicate that the proposed method is superior among the
tested methods in terms of performance measures.
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