Benchmark machine learning approaches with classical time series approaches on the blood glucose level prediction challenge

There is a growing trend of applying machine learning techniques in time series prediction tasks. In the meanwhile, the classic autoregression models has been widely used in time series prediction for decades. In this paper, experiments are conducted to compare the performances of multiple popular machine learning algorithms including two major types of deep learning approaches, with the classic autoregression with exogenous inputs (ARX) model on this particular Blood Glucose Level Prediction (BGLP) Challenge. We tried two types of methods to perform multi-step prediction: recursive method and direct method. The recursive method needs future input feature information. The results show there is no significant difference between the machine learning models and the classic ARX model. In fact, the ARX model achieved the lowest average Root Mean Square Error (RMSE) across subjects in the test data when recursive method was used for multi-step prediction.