Forecasting seasonal time series with computational intelligence: on recent methods and the potential of their combinations

Accurate time series forecasting is a key issue to support individual and or- ganizational decision making. In this paper, we introduce novel methods for multi-step seasonal time series forecasting. All the presented methods stem from computational intelligence techniques: evolutionary artificial neu- ral networks, support vector machines and genuine linguistic fuzzy rules. Performance of the suggested methods is experimentally justified on sea- sonal time series from distinct domains on three forecasting horizons. The most important contribution is the introduction of a new hybrid combination using linguistic fuzzy rules and the other computational intelligence methods. This hybrid combination presents competitive forecasts, when compared with the popular ARIMA method. Moreover, such hybrid model is more easy to interpret by decision-makers when modeling trended series.The research was supported by the European Regional Development Fund in the IT4Innovations Centre of Excellence project (CZ.1.05/1.1.00/02.0070). Furthermore, we gratefully acknowledge partial support of the project KON- TAKT II - LH12229 of MSˇMT CˇR

Forecasting seasonal time series with computational intelligence: contribution of a combination of distinct methods

Accurate time series forecasting are important for displaying the manner in which the past contin- ues to affect the future and for planning our day to day activities. In recent years, a large litera- ture has evolved on the use of computational in- telligence in many forecasting applications. In this paper, several computational intelligence techniques (genetic algorithms, neural networks, support vec- tor machine, fuzzy rules) are combined in a distinct way to forecast a set of referenced time series. Fore- casting performance is compared to the a standard and method frequently used in practice.Project DAR 1M0572 of the MŠMT ČR

Short-term wind speed forecasting by an adaptive network-based fuzzy inference system (ANFIS): an attempt towards an ensemble forecasting method

Accurate Wind speed forecasting has a vital role in efficient utilization of wind farms. Wind forecasting could be performed for long or short time horizons. Given the volatile nature of wind and its dependent on many geographical parameters, it is difficult for traditional methods to provide a reliable forecast of wind speed time series. In this study, an attempt is made to establish an efficient adaptive network-based fuzzy interference (ANFIS) for short-term wind speed forecasting. Using the available data sets in the literature, the ANFIS network is constructed, tested and the results are compared with that of a regular neural network, which has been forecasted the same set of dataset in previous studies. To avoid trial-and-error process for selection of the ANFIS input data, the results of autocorrelation factor (ACF) and partial auto correlation factor (PACF) on the historical wind speed data are employed. The available data set is divided into two parts. 50% for training and 50% for testing and validation. The testing part of data set will be merely used for assessing the performance of the neural network which guarantees that only unseen data is used to evaluate the forecasting performance of the network. On the other hand, validation data could be used for parameter-setting of the network if required. The results indicate that ANFIS could not outperform ANN in short-term wind speed forecasting though its results are competitive. The two methods are hybridized, though simply by weightage, and the hybrid methods shows slight improvement comparing to both ANN and ANFIS results. Therefore, the goal of future studies could be implementing ANFIS and ANNs in a more comprehensive ensemble method which could be ultimately more robust and accurat

Evolutionary optimization of sparsely connected and time-lagged neural networks for time series forecasting

Time Series Forecasting (TSF) is an important tool to support decision mak- ing (e.g., planning production resources). Artificial Neural Networks (ANN) are innate candidates for TSF due to advantages such as nonlinear learn- ing and noise tolerance. However, the search for the best model is a complex task that highly affects the forecasting performance. In this work, we propose two novel Evolutionary Artificial Neural Networks (EANN) approaches for TSF based on an Estimation Distribution Algorithm (EDA) search engine. The first new approach consist of Sparsely connected Evolutionary ANN (SEANN), which evolves more flexible ANN structures to perform multi-step ahead forecasts. The second one, consists of an automatic Time lag feature selection EANN (TEANN) approach that evolves not only ANN parameters (e.g., input and hidden nodes, training parameters) but also which set of time lags are fed into the forecasting model. Several experiments were held, using a set of six time series, from different real-world domains. Also, two error metrics (i.e., Mean Squared Error and Symmetric Mean Absolute Per- centage Error) were analyzed. The two EANN approaches were compared against a base EANN (with no ANN structure or time lag optimization) and four other methods (Autoregressive Integrated Moving Average method, Random Forest, Echo State Network and Support Vector Machine). Overall, the proposed SEANN and TEANN methods obtained the best forecasting results. Moreover, they favor simpler neural network models, thus requiring less computational effort when compared with the base EANN.The research reported here has been supported by the Spanish Ministry of Science and Innovation under project TRA2010-21371-C03-03 and FCT - Fundacao para a Ciencia e Tecnologia within the Project Scope PEst- OE/EEI/UI0319/2014. The authors want to thank specially Martin Stepnicka and Lenka Vavrickova for all their help. The authors also want to thank Ramon Sagarna for introducing the subject of EDA

Time Series from Clustering: An Approach to Forecast Crime Patterns

This chapter presents an approach to forecast criminal patterns that combines the time series from clustering method with a computational intelligence-based prediction. In this approach, clusters of criminal events are parametrized according to simple geometric prototypes. Cluster dynamics are captured as a set of time series. The size of this set corresponds to the number of clusters multiplied by the number of parameters per cluster. One of the main drawbacks of clustering is the difficulty of defining the optimal number of clusters. The paper also deals with this problem by introducing a validation index of dynamic partitions of crime events that relates the optimal number of clusters with the foreseeability of time series by means of non-linear analysis. The method as well as the validation index was tested over two cases of reported urban crime. Our results showed that crime clusters can be predicted by forecasting their representative time series using an evolutionary adaptive neural fuzzy inference system. Thus, we argue that the foreseeability of these series can be anticipated satisfactorily by means of the proposed index

Multi - objective cooperative neuro - evolution of recurrent neural networks for time series prediction

Cooperative coevolution is an evolutionary computation method which solves a problem by decomposing it into smaller subcomponents. Multi-objective optimization deals with conflicting objectives and produces multiple optimal solutions instead of a single global optimal solution. In previous work, a multi-objective cooperative co-evolutionary method was introduced for training feedforward neural networks on time series problems. In this paper, the same method is used for training recurrent neural networks. The proposed approach is tested on time series problems in which the different time-lags represent the different objectives. Multiple pre-processed datasets distinguished by their time-lags are used for training and testing. This results in the discovery of a single neural network that can correctly give predictions for data pre-processed using different time-lags. The method is tested on several benchmark time series problems on which it gives a competitive performance in comparison to the methods in the literature

Competition and collaboration in cooperative coevolution of Elman recurrent neural networks for time - series prediction

Collaboration enables weak species to survive in an environment where different species compete for limited resources. Cooperative coevolution (CC) is a nature-inspired optimization method that divides a problem into subcomponents and evolves them while genetically isolating them. Problem decomposition is an important aspect in using CC for neuroevolution. CC employs different problem decomposition methods to decompose the neural network training problem into subcomponents. Different problem decomposition methods have features that are helpful at different stages in the evolutionary process. Adaptation, collaboration, and competition are needed for CC, as multiple subpopulations are used to represent the problem. It is important to add collaboration and competition in CC. This paper presents a competitive CC method for training recurrent neural networks for chaotic time-series prediction. Two different instances of the competitive method are proposed that employs different problem decomposition methods to enforce island-based competition. The results show improvement in the performance of the proposed methods in most cases when compared with standalone CC and other methods from the literature

A comparison of performance of several artificial intelligence methods for forecasting monthly discharge time series

Author name used in this publication: Chun-Tian Cheng2009-2010 > Academic research: refereed > Publication in refereed journalAccepted ManuscriptPublishe

A Model for Stock Price Prediction Using the Soft Computing Approach

A number of research efforts had been devoted to forecasting stock price based on technical indicators which rely purely on historical stock price data. However, the performances of such technical indicators have not always satisfactory. The fact is, there are other influential factors that can affect the direction of stock market which form the basis of market experts’ opinion such as interest rate, inflation rate, foreign exchange rate, business sector, management caliber, investors’ confidence, government policy and political effects, among others. In this study, the effect of using hybrid market indicators such as technical and fundamental parameters as well as experts’ opinions for stock price prediction was examined. Values of variables representing these market hybrid indicators were fed into the artificial neural network (ANN) model for stock price prediction. The empirical results obtained with published stock data show that the proposed model is effective in improving the accuracy of stock price prediction. Also, the performance of the neural network predictive model developed in this study was compared with the conventional Box-Jenkins autoregressive integrated moving average (ARIMA) model which has been widely used for time series forecasting. Our findings revealed that ARIMA models cannot be effectively engaged profitably for stock price prediction. It was also observed that the pattern of ARIMA forecasting models were not satisfactory. The developed stock price predictive model with the ANN-based soft computing approach demonstrated superior performance over the ARIMA models; indeed, the actual and predicted value of the developed stock price predictive model were quite close

Groundwater level prediction using a multiple objective genetic algorithm-grey relational analysis based weighted ensemble of anfis models

Predicting groundwater levels is critical for ensuring sustainable use of an aquifer’s limited groundwater reserves and developing a useful groundwater abstraction management strategy. The purpose of this study was to assess the predictive accuracy and estimation capability of various models based on the Adaptive Neuro Fuzzy Inference System (ANFIS). These models included Differential Evolution-ANFIS (DE-ANFIS), Particle Swarm Optimization-ANFIS (PSO-ANFIS), and traditional Hybrid Algorithm tuned ANFIS (HA-ANFIS) for the one-and multi-week forward forecast of groundwater levels at three observation wells. Model-independent partial autocorrelation functions followed by frequentist lasso regression-based feature selection approaches were used to recognize appropriate input variables for the prediction models. The performances of the ANFIS models were evaluated using various statistical performance evaluation indexes. The results revealed that the optimized ANFIS models performed equally well in predicting one-week-ahead groundwater levels at the observation wells when a set of various performance evaluation indexes were used. For improving prediction accuracy, a weighted-average ensemble of ANFIS models was proposed, in which weights for the individual ANFIS models were calculated using a Multiple Objective Genetic Algorithm (MOGA). The MOGA accounts for a set of benefits (higher values indicate better model performance) and cost (smaller values indicate better model performance) performance indexes calculated on the test dataset. Grey relational analysis was used to select the best solution from a set of feasible solutions produced by a MOGA. A MOGA-based individual model ranking revealed the superiority of DE-ANFIS (weight = 0.827), HA-ANFIS (weight = 0.524), and HAANFIS (weight = 0.697) at observation wells GT8194046, GT8194048, and GT8194049, respectively. Shannon’s entropy-based decision theory was utilized to rank the ensemble and individual ANFIS models using a set of performance indexes. The ranking result indicated that the ensemble model outperformed all individual models at all observation wells (ranking value = 0.987, 0.985, and 0.995 at observation wells GT8194046, GT8194048, and GT8194049, respectively). The worst performers were PSO-ANFIS (ranking value = 0.845), PSO-ANFIS (ranking value = 0.819), and DE-ANFIS (ranking value = 0.900) at observation wells GT8194046, GT8194048, and GT8194049, respectively. The generalization capability of the proposed ensemble modelling approach was evaluated for forecasting 2-, 4-, 6-, and 8-weeks ahead groundwater levels using data from GT8194046. The evaluation results confirmed the useability of the ensemble modelling for forecasting groundwater levels at higher forecasting horizons. The study demonstrated that the ensemble approach may be successfully used to predict multi-week-ahead groundwater levels, utilizing previous lagged groundwater levels as inputs