Neural Network Ensembles for Time Series Prediction

Rapidly evolving businesses generate massive amounts of time-stamped data sequences and defy a demand for massively multivariate time series analysis. For such data the predictive engine shifts from the historical auto-regression to modelling complex non-linear relationships between multidimensional features and the time series outputs. In order to exploit these time-disparate relationships for the improved time series forecasting, the system requires a flexible methodology of combining multiple prediction models applied to multiple versions of the temporal data under significant noise component and variable temporal depth of predictions. In reply to this challenge a composite time series prediction model is proposed which combines the strength of multiple neural network (NN) regressors applied to the temporally varied feature subsets and the postprocessing smoothing of outputs developed to further reduce noise. The key strength of the model is its excellent adaptability and generalisation ability achieved through a highly diversified set of complementary NN models. The model has been evaluated within NISIS Competition 2006 and NN3 Competition 2007 concerning prediction of univariate and multivariate time-series. It showed the best predictive performance among 12 competitive models in the NISIS 2006 and is under evaluation within NN3 2007 Competition

Network Model Selection for Task-Focused Attributed Network Inference

Networks are models representing relationships between entities. Often these relationships are explicitly given, or we must learn a representation which generalizes and predicts observed behavior in underlying individual data (e.g. attributes or labels). Whether given or inferred, choosing the best representation affects subsequent tasks and questions on the network. This work focuses on model selection to evaluate network representations from data, focusing on fundamental predictive tasks on networks. We present a modular methodology using general, interpretable network models, task neighborhood functions found across domains, and several criteria for robust model selection. We demonstrate our methodology on three online user activity datasets and show that network model selection for the appropriate network task vs. an alternate task increases performance by an order of magnitude in our experiments