GEFCOM 2014 - Probabilistic Electricity Price Forecasting

Energy price forecasting is a relevant yet hard task in the field of multi-step time series forecasting. In this paper we compare a well-known and established method, ARMA with exogenous variables with a relatively new technique Gradient Boosting Regression. The method was tested on data from Global Energy Forecasting Competition 2014 with a year long rolling window forecast. The results from the experiment reveal that a multi-model approach is significantly better performing in terms of error metrics. Gradient Boosting can deal with seasonality and auto-correlation out-of-the box and achieve lower rate of normalized mean absolute error on real-world data.Comment: 10 pages, 5 figures, KES-IDT 2015 conference. The final publication is available at Springer via http://dx.doi.org/10.1007/978-3-319-19857-6_

Ensemble of heterogeneous flexible neural trees using multiobjective genetic programming

Machine learning algorithms are inherently multiobjective in nature, where approximation error minimization and model's complexity simplification are two conflicting objectives. We proposed a multiobjective genetic programming (MOGP) for creating a heterogeneous flexible neural tree (HFNT), tree-like flexible feedforward neural network model. The functional heterogeneity in neural tree nodes was introduced to capture a better insight of data during learning because each input in a dataset possess different features. MOGP guided an initial HFNT population towards Pareto-optimal solutions, where the final population was used for making an ensemble system. A diversity index measure along with approximation error and complexity was introduced to maintain diversity among the candidates in the population. Hence, the ensemble was created by using accurate, structurally simple, and diverse candidates from MOGP final population. Differential evolution algorithm was applied to fine-tune the underlying parameters of the selected candidates. A comprehensive test over classification, regression, and time-series datasets proved the efficiency of the proposed algorithm over other available prediction methods. Moreover, the heterogeneous creation of HFNT proved to be efficient in making ensemble system from the final population

Knowledge management overview of feature selection problem in high-dimensional financial data: Cooperative co-evolution and Map Reduce perspectives

The term big data characterizes the massive amounts of data generation by the advanced technologies in different domains using 4Vs volume, velocity, variety, and veracity-to indicate the amount of data that can only be processed via computationally intensive analysis, the speed of their creation, the different types of data, and their accuracy. High-dimensional financial data, such as time-series and space-Time data, contain a large number of features (variables) while having a small number of samples, which are used to measure various real-Time business situations for financial organizations. Such datasets are normally noisy, and complex correlations may exist between their features, and many domains, including financial, lack the al analytic tools to mine the data for knowledge discovery because of the high-dimensionality. Feature selection is an optimization problem to find a minimal subset of relevant features that maximizes the classification accuracy and reduces the computations. Traditional statistical-based feature selection approaches are not adequate to deal with the curse of dimensionality associated with big data. Cooperative co-evolution, a meta-heuristic algorithm and a divide-And-conquer approach, decomposes high-dimensional problems into smaller sub-problems. Further, MapReduce, a programming model, offers a ready-To-use distributed, scalable, and fault-Tolerant infrastructure for parallelizing the developed algorithm. This article presents a knowledge management overview of evolutionary feature selection approaches, state-of-The-Art cooperative co-evolution and MapReduce-based feature selection techniques, and future research directions