Black-box explainer for time series forecasting

A system, comprising:

• one or more processors;
• and
• a computer-readable storage medium, coupled to the one or more processors, storing program instructions that, when executed by the one or more processors, cause the one or more processors to perform operations comprising:
• receiving a set of time series forecasting predictions, the set of time series forecasting predictions generated from a set of black-box models trained with an initial data set;
• generating a set of features based on at least a portion of the initial data set;
• training a set of surrogate models based on the set of time series forecasting predictions and at least a portion of the set of features;
• selecting a subset of surrogate models;
• and
• based on the subset of surrogate models, generating one or more explanation outputs for time series forecasting predictions of the set of black-box models.

A computer program product comprising a computer readable storage medium having program instructions embodied therewith, the program instructions being executable by one or more processors to cause the one or more processors to perform operations comprising:

• receiving a set of time series forecasting predictions, the set of time series forecasting predictions generated from a set of black-box models trained with an initial data set;
• generating a set of features based on at least a portion of the initial data set;
• training a set of surrogate models based on the set of time series forecasting predictions and at least a portion of the set of features;
• selecting a subset of surrogate models;
• and
• based on the subset of surrogate models, generating one or more explanation outputs for time series forecasting predictions of the set of black-box models.