A hybrid simulation-adaptive network based fuzzy inference system for improvement of electricity consumption estimation

This paper presents a hybrid adaptive network based fuzzy inference system (ANFIS), computer simulation and time series algorithm to estimate and predict electricity consumption estimation. The difficulty with electricity consumption estimation modeling approach such as time series is the reason for proposing the hybrid approach of this study. The algorithm is ideal for uncertain, ambiguous and complex estimation and forecasting. Computer simulation is developed to generate random variables for monthly electricity consumption. Various structures of ANFIS are examined and the preferred model is selected for estimation by the proposed algorithm. Finally, the preferred ANFIS and time series models are selected by Granger–Newbold test. Monthly electricity consumption in Iran from 1995 to 2005 is considered as the case of this study. The superiority of the proposed algorithm is shown by comparing its results with genetic algorithm (GA) and artificial neural network (ANN). This is the first study that uses a hybrid ANFIS computer simulation for improvement of electricity consumption estimation.     

基于KNN-ANN算法的边际电价预测

在电力市场中,价格一直受到买卖双方的广泛关注。但是,电价影响因素的不确定性给电价的预测带来难度。针对该问题,提出一种通过结合人工神经网络和KNN算法来进行时间序列预测的模型,用KNN算法找出历史数据中相似的数据子序列集合(最近邻),并用人工神经网络来寻找这些最近邻的最优权重,得出预测的时间序列。以美国纽约州电力市场的电价数据进行实验分析,同时比较了利用ARIMA算法以及Naive I预测的结果,证明该方法简单、有效。     

A moving-average filter based hybrid ARIMA–ANN model for forecasting time series data

A suitable combination of linear and nonlinear models provides a more accurate prediction model than an individual linear or nonlinear model for forecasting time series data originating from various applications. The linear autoregressive integrated moving average (ARIMA) and nonlinear artificial neural network (ANN) models are explored in this paper to devise a new hybrid ARIMA–ANN model for the prediction of time series data. Many of the hybrid ARIMA–ANN models which exist in the literature apply an ARIMA model to given time series data, consider the error between the original and the ARIMA-predicted data as a nonlinear component, and model it using an ANN in different ways. Though these models give predictions with higher accuracy than the individual models, there is scope for further improvement in the accuracy if the nature of the given time series is taken into account before applying the models. In the work described in this paper, the nature of volatility was explored using a moving-average filter, and then an ARIMA and an ANN model were suitably applied. Using a simulated data set and experimental data sets such as sunspot data, electricity price data, and stock market data, the proposed hybrid ARIMA–ANN model was applied along with individual ARIMA and ANN models and some existing hybrid ARIMA–ANN models. The results obtained from all of these data sets show that for both one-step-ahead and multistep-ahead forecasts, the proposed hybrid model has higher prediction accuracy.     

Time-delay neural networks for time series prediction: an application to the monthly wholesale price of oilseeds in India

Agricultural price forecasting is one of the challenging areas of time series forecasting. The feed-forward time-delay neural network (TDNN) is one of the promising and potential methods for time series prediction. However, empirical evaluations of TDNN with autoregressive integrated moving average (ARIMA) model often yield mixed results in terms of the superiority in forecasting performance. In this paper, the price forecasting capabilities of TDNN model, which can model nonlinear relationship, are compared with ARIMA model using monthly wholesale price series of oilseed crops traded in different markets in India. Most earlier studies of forecast accuracy for TDNN versus ARIMA do not consider pretesting for nonlinearity. This study shows that the nonlinearity test of price series provides reliable guide to post-sample forecast accuracy for neural network model. The TDNN model in general provides better forecast accuracy in terms of conventional root mean square error values as compared to ARIMA model for nonlinear patterns. The study also reveals that the neural network models have clear advantage over linear models for predicting the direction of monthly price change for different series. Such direction of change forecasts is particularly important in economics for capturing the business cycle movements relating to the turning points.     

一种基于小波变换和ARIMA的短期电价混合预测模型

为在实时电价情况下预测未来24小时电价, 提出一种基于小波变换和差分自回归移动平均(ARIMA)的短期电价混合预测模型。该模型分别根据是否受到需求量影响使用ARIMA模型对多尺度小波变换分解后的时间序列进行预测。同时提出一种电价突变点发现和处理算法。使用澳大利亚新南威尔士州2012年真实数据验证表明, 相对ARIMA预测, 改进后的混合模型在不考虑需求量影响时预测精度更高; 电价突变点发现和处理算法能够准确处理电价异常点, 提高预测精度。     

The influence of ARIMA-GARCH parameters in feed forward neural networks prediction

The objective of this article is to find out the influence of the parameters of the ARIMA-GARCH models in the prediction of artificial neural networks (ANN) of the feed forward type, trained with the Levenberg–Marquardt algorithm, through Monte Carlo simulations. The paper presents a study of the relationship between ANN performance and ARIMA-GARCH model parameters, i.e. the fact that depending on the stationarity and other parameters of the time series, the ANN structure should be selected differently. Neural networks have been widely used to predict time series and their capacity for dealing with non-linearities is a normally outstanding advantage. However, the values of the parameters of the models of generalized autoregressive conditional heteroscedasticity have an influence on ANN prediction performance. The combination of the values of the GARCH parameters with the ARIMA autoregressive terms also implies in ANN performance variation. Combining the parameters of the ARIMA-GARCH models and changing the ANN’s topologies, we used the Theil inequality coefficient to measure the prediction of the feed forward ANN.     

周相似特性下交通流组合预测方法研究

根据交通流量具有周相似的特性,构造了周相似序列。用霍特指数平滑法对周相似序列进行预测,用人工神经网络对残差部分进行预测。将指数平滑法与神经网络法相结合,以便发挥每种方法的优势,获得比单个方法更好的预测结果。实例分析表明,比单独使用ARIMA或单独使用神经网络方法,使用组合方法的预测误差最小,适合于实时的交通流预测。     

Forecasting time series using a methodology based on autoregressive integrated moving average and genetic programming

The autoregressive integrated moving average (ARIMA), which is a conventional statistical method, is employed in many fields to construct models for forecasting time series. Although ARIMA can be adopted to obtain a highly accurate linear forecasting model, it cannot accurately forecast nonlinear time series. Artificial neural network (ANN) can be utilized to construct more accurate forecasting model than ARIMA for nonlinear time series, but explaining the meaning of the hidden layers of ANN is difficult and, moreover, it does not yield a mathematical equation. This study proposes a hybrid forecasting model for nonlinear time series by combining ARIMA with genetic programming (GP) to improve upon both the ANN and the ARIMA forecasting models. Finally, some real data sets are adopted to demonstrate the effectiveness of the proposed forecasting model.     

Improvement of time forecasting models using a novel hybridization of bootstrap and double bootstrap artificial neural networks

Hybrid models such as the Artificial Neural Network-Autoregressive Integrated Moving Average (ANN–ARIMA) model are widely used in forecasting. However, inaccuracies and inefficiency remain in evidence. To yield the ANN–ARIMA with a higher degree of accuracy, efficiency and precision, the bootstrap and the double bootstrap methods are commonly used as alternative methods through the reconstruction of an ANN–ARIMA standard error. Unfortunately, these methods have not been applied in time series-based forecasting models. The aims of this study are twofold. First, is to propose the hybridization of bootstrap model and that of double bootstrap mode called Bootstrap Artificial Neural Network-Autoregressive Integrated Moving Average (B-ANN–ARIMA) and Double Bootstrap Artificial Neural Network-Autoregressive Integrated Moving Average (DB-ANN–ARIMA), respectively. Second, is to investigate the performance of these proposed models by comparing them with ARIMA, ANN and ANN–ARIMA. Our investigation is based on three well-known real datasets, i.e., Wolf’s sunspot data, Canadian lynx data and, Malaysia ringgit/United States dollar exchange rate data. Statistical analysis on SSE, MSE, RMSE, MAE, MAPE and VAF is then conducted to verify that the proposed models are better than previous ARIMA, ANN and ANN–ARIMA models. The empirical results show that, compared with ARIMA, ANNs and ANN–ARIMA models, the proposed models generate smaller values of SSE, MSE, RMSE, MAE, MAPE and VAF for both training and testing datasets. In other words, the proposed models are better than those that we compare with. Their forecasting values are closer to the actual values. Thus, we conclude that the proposed models can be used to generate better forecasting values with higher degree of accuracy, efficiency and, precision in forecasting time series results becomes a priority.     

Modelling and forecasting tourism from East Asia to Thailand under temporal and spatial aggregation

Tourism is one of the key service industries in Thailand, with a 5.27% share of Gross Domestic Product in 2003. Since 2000, international tourist arrivals, particularly those from East Asia, to Thailand have been on a continuous upward trend. Tourism forecasts can be made based on previous observations, so that historical analysis of tourist arrivals can provide a useful understanding of inbound trips and the behaviour of trends in foreign tourist arrivals to Thailand. As tourism is seasonal, a good forecast is required for stakeholders in the industry to manage risk. Previous research on tourism forecasts has typically been based on annual and monthly data analysis, while few past empirical tourism studies using the Box–Jenkins approach have taken account of pre-testing for seasonal unit roots based on Franses [P.H. Franses, Seasonality, nonstationarity and the forecasting of monthly time series, International Journal of Forecasting 7 (1991) 199–208] and Beaulieu and Miron [J.J. Beaulieu, J.A. Miron, Seasonal unit roots in aggregate U.S. data, Journal of Econometrics 55 (1993) 305–328] framework. An analysis of the time series of tourism demand, specifically monthly tourist arrivals from six major countries in East Asia to Thailand, from January 1971 to December 2005 is examined. This paper analyses stationary and non-stationary tourist arrivals series by formally testing for the presence of unit roots and seasonal unit roots prior to estimation, model selection and forecasting. Various Box–Jenkins autoregressive integrated moving average (ARIMA) models and seasonal ARIMA models are estimated, with the tourist arrivals series showing seasonal patterns. The fitted ARIMA and seasonal ARIMA models forecast tourist arrivals from East Asia very well for the period 2006(1)–2008(1). Total monthly and annual forecasts can be obtained through temporal and spatial aggregation.     

Seasonal and trend time series forecasting based on a quasi-linear autoregressive model

Modeling and forecasting seasonal and trend time series is an important research topic in many areas of industrial and economic activity. In this study, we forecast the seasonal and trend time series using a quasi-linear autoregressive model. This quasi-linear autoregressive model belongs to a class of varying coefficient models in which its autoregressive coefficients are constructed by radial basis function networks. A combined genetic optimization and gradient-based optimization algorithm is applied for automatic selection of proper input variables and model-dependent variables, and optimizing the model parameters simultaneously. The model is tested by five monthly time series. We compare the results with those of other various methods, which show the effectiveness of the proposed approach for the seasonal time series.     

A meta-heuristic framework for forecasting household electricity consumption

It may be difficult to model household electricity consumption with conventional methods such as regression due to seasonal and monthly changes. This paper illustrates a flexible integrated meta-heuristic framework based on Artificial Neural Network (ANN) Multi Layer Perceptron (MLP), conventional regression and design of experiment (DOE) for forecasting household electricity consumption. Previous studies base their verification by the difference in error estimation, whereas this study uses various error estimation methods and design of experiment (DOE). Moreover, DOE is based on analysis of variance (ANOVA) and Duncan Multiple Range Test (DMRT). Furthermore, actual data is compared with ANN MLP and conventional regression model through ANOVA. If the null hypothesis is accepted, DMRT is used to select either ANN MLP or conventional regression. However, if the null hypothesis is accepted then the proposed framework selects either the MLP or regression model based on the average of Minimum Absolute Percentage Error (MAPE), Mean Square Error (MSE) and Mean Absolute Error (MAE). The significance of this study is the integration of ANN MLP, conventional regression and DOE for flexible modeling and improved processing, development and testing of household electricity consumption. Some of the previous studies assume that ANN MLP provide better estimation and others estimate electricity consumptions based on the conventional regression approach. However, this study presents a flexible integrated framework to locate the best model based on the actual data. Moreover, it would provide more reliable and precise forecasting for policy makers. To show the applicability and superiority of the integrated approach, annual household electricity consumption in Iran from 1974 to 2003 was collected for processing, training and testing purpose.     

区间时间序列的混合预测模型

提出一种基于自回归求和移动平均(ARIMA) 与人工神经网络(ANN) 的区间时间序列混合模型, 并用混合模型分别对区间中值序列和区间半径序列建模. 采用Monte Carlo 方法生成模拟区间序列, 分别用ARIMA、ANN和混合模型3 种方法进行建模和预测实验, 并用统计学方法检验模型误差. 最后分别采用3 种方法对H市轨道交通某号线牵引能耗区间序列进行了建模和预测, 实验结果表明混合模型的建模精度和预测性能均优于单一模型.

     

CERNET流量行为季节预测模型

网络流量行为预测是网络行为学的一个重要研究方向 .常规的网络流量预测大多采用的是 ARIMA时间序列模型 ,但普通时间序列预测模型的参数难以估计并且模型较难处理非平稳时间序列问题 .本文基于时间序列的神经网络模型研究 ,根据网络流量行为的季节性特点 ,提出了季节型神经网络模型 .用模型对 CERNET网络流量行为的预测分析表明 ,该模型预测效果较好 ,结果合理 ,对进行网络实时监控及网络管理都具有一定的理论和实践价值 .     

基于支持向量机的海量电力数据智能分类方法

针对电力公司海量数据分类问题,提出一种改进的k-means数据分类方法。在k-means算法的基础上,应用PCA对k-means算法进行降维处理,用canopy算法优化最佳簇集数、初始聚类中心。然后,应用改进的k-means算法对居民用户用电进行聚类;最后以该聚类结果为基础,建立LSTM预测模型。通过LSTM预测模型对某小区90户居民用电数据进行仿真实验,并对比分析了传统聚类、改进聚类和不适用聚类下LSTM三种模型的预测结果。结果表明,未使用任何聚类算法构建的LSTM模型在进行电力负荷预测时,预测结果的精度最低;应用改进的k-means算法构建的LSTM模型预测结果精度最佳。     

Model dissection from earthquake time series: A comparative analysis using modern non-linear forecasting and artificial neural network approaches

This study utilizes two non-linear approaches to characterize model behavior of earthquake dynamics in the crucial tectonic regions of Northeast India (NEI). In particular, we have applied a (i) non-linear forecasting technique to assess the dimensionality of the earthquake-generating mechanism using the monthly frequency earthquake time series (magnitude ?4) obtained from NOAA and USGS catalogues for the period 1960–2003 and (ii) artificial neural network (ANN) methods—based on the back-propagation algorithm (BPA) to construct the neural network model of the same data set for comparing the two. We have constructed a multilayered feed forward ANN model with an optimum input set configuration specially designed to take advantage of more completely on the intrinsic relationships among the input and retrieved variables and arrive at the feasible model for earthquake prediction. The comparative analyses show that the results obtained by the two methods are stable and in good agreement and signify that the optimal embedding dimension obtained from the non-linear forecasting analysis compares well with the optimal number of inputs used for the neural networks.The constructed model suggests that the earthquake dynamics in the NEI region can be characterized by a high-dimensional chaotic plane. Evidence of high-dimensional chaos appears to be associated with “stochastic seasonal” bias in these regions and would provide some useful constraints for testing the model and criteria to assess earthquake hazards on a more rigorous and quantitative basis.     

An integrated fuzzy regression-data envelopment analysis algorithm for optimum oil consumption estimation with ambiguous data

This study introduces an integrated fuzzy regression (FR) data envelopment analysis (DEA) algorithm for oil consumption estimation and optimization with uncertain and ambiguous data. This is quite important as oil consumption estimations deals with several uncertainties due to social, economic factors. Furthermore, DEA is integrated with FR because there is no clear cut as to which FR approach is superior for oil consumption estimation. The standard indicators used in this paper are population, cost of crude oil, gross domestic production (GDP) and annual oil production. Fifteen popular and most cited FR models are considered in the algorithm. Each FR model has different approach and advantages. The input data is divided into train and test data. The FR models have been tuned for all their parameters according to the train data, and the best coefficients are identified. Center of Average Method for defuzzification output process is applied. For determining the rate of error of FR models estimations, the rate of defuzzified output of each model is compared with its actual rate consumption in test data. The efficiency of 15 FR models is examined by the output-oriented Data Envelopment Analysis (DEA) model without inputs by considering three types of relative error: RMSE, MAE and MAPE. The applicability and superiority of the proposed algorithm is shown for monthly oil consumption of Canada, United States, Japan and Australia from 1990 to 2005.     

基于组合模型的非线性时间序列预测算法

为解决复杂系统中非线性时间序列预测模型构建效率低、预测精度低的问题,提出基于组合模型的HURST-EMD预测算法.采用EMD算法将非线性时间序列分解为代表原始序列特征的各个IMF,然后引入赫斯特(Hurst)指数将同类的IMF整合为新的分量,最后选用LS-SVR-ARIMA模型进行组合预测.在该算法中,设计了序列分类整合等过程,优化了建模的计算量,构建了高效精准的预测模型.为验证模型的有效性,采用上证指数公共数据集和真实交通流数据进行检验,实验结果表明,改进的基于组合模型的HURST-EMD预测算法在提高预测效率的同时具有更好的预测精度.     

基于VAR的电能表降维误差估计模型

为达到远程监控电能表状态并及时准确发现电能表异常的目的,本文提出了一种基于VAR的电能表降维误差估计模型,通过对于电能表电量数据的获取、分析及筛选,采用主成分分析方法（PCA）对于原始数据进行降维,通过向量自回归模型（VAR）提取时间序列中的特征,从而准确预测电能表使用电量并对比出用电异常电能表。其中PCA降维算法处理了实际模型的不可解性,VAR自回归算法提高了估计的稳定性和精度,相较于传统方法具有预测准确度高,所需数据量小的特点。为验证该方法的有效性和实用性,将该方法应用于实际台区中测试,通过对于台区中127块电表半年内的用电数据进行分析,准确定位出8个异常电能表。结果表明,该方法不需要提前独立计算网损,能够实时估计智能电表误差和网损率。     

季节性组合预测模型在医院门诊量中的应用研究

医院门诊量是一个具有复杂的非线性组合特征的季节性时问序列。为解决传统时间序列预测大多数都是使用单一模型，以致影响预测精度等问题，采用了最优加权组合预测方法将季节性ARIMA乘积模型和季节性神经网络模型进行组合优化。结果表示，季节性组合预测模型在拟合精度和预测准确性方面优于任何单一预测方法，为季节性时间序列预测提供了一种新的实用方法。