Demand Forecasting for Multiple Products Across Thousands of Stores
I was also in a similiar situation. I had a dataset with number of stores and product categories and I needed to predict weekly sales for each category. You may want to check gradient boosting alghorithm and random forest which give promising results in terms of forecast accuracy. Also, regardless of the method, the best thing to do is to create dummy variables as creating single time series is very time consuming.