Forecasting time series by means of evolutionary algorithms

Abstract

Proceeding of: 8th International Conference in Parallel Problem Solving from Nature - PPSN VIII , Birmingham, UK, September 18-22, 2004.The time series forecast is a very complex problem, consisting in predicting the behaviour of a data series with only the information of the previous sequence. There is many physical and artificial phenomenon that can be described by time series. The prediction of such phenomenon could be very complex. For instance, in the case of tide forecast, unusually high tides, or sea surges, result from a combination of chaotic climatic elements in conjunction with the more normal, periodic, tidal systems associated with a particular area. Too much variables influence the behaviour of the water level. Our problem is not only to find prediction rules, we also need to discard the noise and select the representative data. Our objective is to generate a set of prediction rules. There are many methods tying to achieve good predictions. In most of the cases this methods look for general rules that are able to predict the whole series. The problem is that usually the time series has local behaviours that dont allow a good level of prediction when using general rules. In this work we present a method for finding local rules able to predict only some zones of the series but achieving better level prediction. This method is based on the evolution of set of rules genetically codified, and following the Michigan approach. For evaluating the proposal, two different domains have been used: an artificial domain widely use in the bibliography (Mackey-Glass series) and a time series corresponding to a natural phenomenon, the water level in Venice Lagoon.Investigation supported by the Spanish Ministry of Science and Technology through the TRACER project under contract TIC2002-04498-C05-