Application of seasonal SVR with chaotic immune algorithm in traffic flow forecasting

Accurate forecasting of inter-urban traffic flow has been one of the most important issues globally in the research on road traffic congestion. Because the information of inter-urban traffic presents a challenging situation, the traffic flow forecasting involves a rather complex nonlinear data pattern, particularly during daily peak periods, traffic flow data reveals cyclic (seasonal) trend. In the recent years, the support vector regression model (SVR) has been widely used to solve nonlinear regression and time series problems. However, the applications of SVR models to deal with cyclic (seasonal) trend time series had not been widely explored. This investigation presents a traffic flow forecasting model that combines the seasonal support vector regression model with chaotic immune algorithm (SSVRCIA), to forecast inter-urban traffic flow. Additionally, a numerical example of traffic flow values from northern Taiwan is used to elucidate the forecasting performance of the proposed SSVRCIA model. The forecasting results indicate that the proposed model yields more accurate forecasting results than the seasonal autoregressive integrated moving average, back-propagation neural network, and seasonal Holt–Winters models. Therefore, the SSVRCIA model is a promising alternative for forecasting traffic flow.     

Traffic flow forecasting by seasonal SVR with chaotic simulated annealing algorithm

Accurate forecasting of inter-urban traffic flow has been one of the most important issues globally in the research on road traffic congestion. However, the information of inter-urban traffic presents a challenging situation; the traffic flow forecasting involves a rather complex nonlinear data pattern, particularly during daily peak periods, traffic flow data reveals cyclic (seasonal) trend. In the recent years, the support vector regression model (SVR) has been widely used to solve nonlinear regression and time series problems. However, the applications of SVR models to deal with cyclic (seasonal) trend time series have not been widely explored. This investigation presents a traffic flow forecasting model that combines the seasonal support vector regression model with chaotic simulated annealing algorithm (SSVRCSA), to forecast inter-urban traffic flow. Additionally, a numerical example of traffic flow values from northern Taiwan is employed to elucidate the forecasting performance of the proposed SSVRCSA model. The forecasting results indicate that the proposed model yields more accurate forecasting results than the seasonal autoregressive integrated moving average (SARIMA), back-propagation neural network (BPNN) and seasonal Holt-Winters (SHW) models. Therefore, the SSVRCSA model is a promising alternative for forecasting traffic flow.     

一种新型灰色预测模型在陀螺漂移预测中的应用研究

针对某型导弹的陀螺漂移趋势预测问题,提出1种基于经验模态分解（EMD）的新型灰色支持向量回归预测模型。该模型通过运用经验模态分解算法将陀螺漂移数据趋势项和随机项进行分离,然后分别运用灰色GM（1,1）和支持向量回归算法对这2种数据进行预测,最后将预测结果进行重构得出最终的预测值。给出了这种算法的具体步骤并将其应用到某型导弹陀螺漂移的预测中,仿真试验结果表明这种预测模型的有效性和可行性。     

Pricing currency options with support vector regression and stochastic volatility model with jumps

This paper presents an efficient currency option pricing model based on support vector regression (SVR). This model focuses on selection of input variables of SVR. We apply stochastic volatility model with jumps to SVR in order to account for sudden big changes in exchange rate volatility. We use forward exchange rate as the input variable of SVR, since forward exchange rate takes interest rates of a basket of currencies into account. Therefore, the inputs of SVR will include moneyness (spot rate/strike price), forward exchange rate, volatility of the spot rate, domestic risk-free simple interest rate, and the time to maturity. Extensive experimental studies demonstrate the ability of new model to improve forecast accuracy.     

基于ARIMA和LSTM混合模型的时间序列预测

由于现实中的时间序列通常同时具有线性和非线性特征,传统ARIMA模型在时间序列建模中常表现出一定局限性。对此,提出基于ARIMA和LSTM混合模型进行时间序列预测。应用线性ARIMA模型进行时间序列预测,用支持向量回归(SVR)模型对误差序列进行预测,采用深度LSTM模型对ARIMA模型和SVR模型的预测结果组合,并将贝叶斯优化算法用于选择深度LSTM模型的超参数。实验结果表明,与其他混合模型相比,该模型在五种不同时间序列预测中能够有效提高预测精度。     

Applying support vector regression to water quality modelling by remote sensing data

This article applies a nonlinear machine learning method, support vector regression (SVR), to construct empirical models retrieving water quality variables using remote sensing images. Based on in situ measurements and high-resolution multispectral SPOT-5 (Satellite Pour l'Observation de la Terre) data, a fittest nonlinear function between input and output was obtained from this method, and SVR model parameters were selected automatically using a genetic algorithm (GA). The relationship between water quality variables – permanganate index (COD_Mn), ammonia-nitrogen (NH₃–N) and chemical oxygen demand (COD) – and spectral components of SPOT-5 data for the Weihe River in China was constructed by the proposed method. Spatial distribution maps for the three water quality variables were also developed. The results show that SVR can implement any nonlinear mapping, and produce better predictions than the traditional statistical multiple regression method, especially when samples are limited. With further testing, SVR can also be extended to hyperspectral remote sensing applications in the management of land and water resources.     

A hybrid ANFIS model based on empirical mode decomposition for stock time series forecasting

Time series forecasting is an important and widely popular topic in the research of system modeling, and stock index forecasting is an important issue in time series forecasting. Accurate stock price forecasting is a challenging task in predicting financial time series. Time series methods have been applied successfully to forecasting models in many domains, including the stock market. Unfortunately, there are 3 major drawbacks of using time series methods for the stock market: (1) some models can not be applied to datasets that do not follow statistical assumptions; (2) most time series models that use stock data with a significant amount of noise involutedly (caused by changes in market conditions and environments) have worse forecasting performance; and (3) the rules that are mined from artificial neural networks (ANNs) are not easily understandable.To address these problems and improve the forecasting performance of time series models, this paper proposes a hybrid time series adaptive network-based fuzzy inference system (ANFIS) model that is centered around empirical mode decomposition (EMD) to forecast stock prices in the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Hang Seng Stock Index (HSI). To measure its forecasting performance, the proposed model is compared with Chen's model, Yu's model, the autoregressive (AR) model, the ANFIS model, and the support vector regression (SVR) model. The results show that our model is superior to the other models, based on root mean squared error (RMSE) values.     

一种免疫算法与SVR的Hilbert-Huang边界优化

Hilbert-Huang变换(Hilbert-Huang transform,HHT)在对信号进行经验模态分解(Empirical mode decomposition,EMD)和对各内禀模态函数(Intrinsic mode function,IMF)进行Hilbert变换时都会出现边界问题.为了克服该问题,本文提出了基于离散均匀免疫算法(Discrete uniform immune algorithm,DUIA)和支持向量回归(Support vector regression,SVR)的HHT边界优化方法.该方法采用DUIA优化SVR的参数,并利用SVR对数据廷拓,以有效分析HHT边界问题.通过对正弦叠加信号和实际信号的仿真分析表明:所提出的算法可有效解决HHT中存在的边界问题,且其效果优于SVR的数据延拓方法.     

基于核方法的非线性时间序列预测建模

提出了一种基于核的非线性时间序列预测建模方法。对非线性时间序列的相空间进行重构以确定其嵌入维数，并提出一种基于核主成分分析的非线性时间序列相空间重构方法，针对时间序列的时序特征，采用一种加权的支持向量回归模型对时间序列预测建模。在不同基准数据集上的实验结果表明，与通常的基于普通支持向量回归的建模方法相比，该文所提出的预测建模方法具有较高的精度，说明所提方法对非线性时间序列的预测建模是有效的。     

最小方差支撑向量回归

基于支撑向量回归(SVR)可以通过构建支撑向量机分类问题实现的基本思想,推广最小类方差支撑向量机(MCVSVMs)于回归估计,提出了最小方差支撑向量回归(MVSVR)算法.该方法继承了MCVSVMs鲁棒性和泛化能力强的优点,分析了MVSVR和标准SVR之间的关系,讨论了在散度矩阵奇异情况下该方法的求解问题,同时也讨论了MVSVR的非线性情况.实验表明,该方法是可行的,且表现出了更强的泛化能力.     

Nonlinearity in Forecasting of High-Frequency Stock Returns

Using high-frequency S&P 500 data, we examined intraday efficiency by comparing the ability of several nonlinear models to forecast returns for horizons of 5, 10, 30 and 60?min. Taking into account fat tails and volatility dynamics, we compared the forecasting performance of simple random walk and autoregressive models with Markov switching, artificial neural network and support vector machine regression models in terms of both statistical and economic criteria. Our empirical results for out-of-sample forecasts for high and low volatility samples at different time periods provide weak evidence of intraday predictability in terms of statistical criteria, but corroborate the superiority of nonlinear model predictability using economic criteria such as trading rule profitability and value-at-risk calculations.     

Support vector regression with chaos-based firefly algorithm for stock market price forecasting

Due to the inherent non-linearity and non-stationary characteristics of financial stock market price time series, conventional modeling techniques such as the Box–Jenkins autoregressive integrated moving average (ARIMA) are not adequate for stock market price forecasting. In this paper, a forecasting model based on chaotic mapping, firefly algorithm, and support vector regression (SVR) is proposed to predict stock market price. The forecasting model has three stages. In the first stage, a delay coordinate embedding method is used to reconstruct unseen phase space dynamics. In the second stage, a chaotic firefly algorithm is employed to optimize SVR hyperparameters. Finally in the third stage, the optimized SVR is used to forecast stock market price. The significance of the proposed algorithm is 3-fold. First, it integrates both chaos theory and the firefly algorithm to optimize SVR hyperparameters, whereas previous studies employ a genetic algorithm (GA) to optimize these parameters. Second, it uses a delay coordinate embedding method to reconstruct phase space dynamics. Third, it has high prediction accuracy due to its implementation of structural risk minimization (SRM). To show the applicability and superiority of the proposed algorithm, we selected the three most challenging stock market time series data from NASDAQ historical quotes, namely Intel, National Bank shares and Microsoft daily closed (last) stock price, and applied the proposed algorithm to these data. Compared with genetic algorithm-based SVR (SVR-GA), chaotic genetic algorithm-based SVR (SVR-CGA), firefly-based SVR (SVR-FA), artificial neural networks (ANNs) and adaptive neuro-fuzzy inference systems (ANFIS), the proposed model performs best based on two error measures, namely mean squared error (MSE) and mean absolute percent error (MAPE).     

多智能体粒子群优化的SVR 模型预测控制

参数的优化选择对支持向量回归机的预测精度和泛化能力影响显著,鉴于此,提出一种多智能体粒子群算法(MAPSO)寻优其参数的方法,并建立MAPSO支持向量回归模型,用于非线性系统的模型预测控制,推导出最优控制率.采用该算法对非线性系统进行仿真,并与基于粒子群算法、基于遗传算法优化支持向量回归机的模型预测控制方法和RBF神经网络的预测控制方法进行比较,结果表明,所提出的算法具有更好的控制性能,可以有效应用于非线性系统控制中.     

基于聚类和支持向量机的非线性时间序列故障预报

针对非线性时间序列故障预报问题,提出了一种基于聚类和支持向量机的方法．将正常的时间序列按照K-均值聚类算法进行聚类学习,同时利用支持向量机回归的时间序列预测算法获得预测序列,然后通过比较聚类所得的正常原型和预测序列的相似性实现故障预报．仿真结果表明:本文提出的方法更能满足实时性的要求,也更为准确．     

Implementing support vector regression with differential evolution to forecast motherboard shipments

In this study, we investigate the forecasting accuracy of motherboard shipments from Taiwan manufacturers. A generalized Bass diffusion model with external variables can provide better forecasting performance. We present a hybrid particle swarm optimization (HPSO) algorithm to improve the parameter estimates of the generalized Bass diffusion model. A support vector regression (SVR) model was recently used successfully to solve forecasting problems. We propose an SVR model with a differential evolution (DE) algorithm to improve forecasting accuracy. We compare our proposed model with the Bass diffusion and generalized Bass diffusion models. The SVR model with a DE algorithm outperforms the other models on both model fit and forecasting accuracy.     

A new hybrid correction method for short-term load forecasting based on ARIMA,SVR and CSA

Accurate load-forecasting problem is a significant and vital issue, especially in the new competitive electricity market. The models that are employed for forecasting purposes would determine how reliable the last forecasted results are. Therefore, this paper proposes a new hybrid correction method based on autoregressive integrated moving average (ARIMA) model, support vector regression (SVR) and cuckoo search algorithm (CSA) to achieve a more reliable forecasting model. The proposed method gets use of the autocorrelation function (ACF) and the partial ACF to search the stationary or non-stationary behaviour of the investigated time series. In the case of non-stationary data, it will be differenced one or more times to become stationary. After that, Akaike information criterion is utilised to find the appropriate ARIMA model such that the linear component of the data would be captured. Therefore, the ARIMA residuals would contain the non-linear components that should be modelled by use of the SVR model. The role of CSA as a successful optimisation algorithm is to find the optimal SVR parameters for more accurate forecasting. Meanwhile, a novel self-adaptive modification method based on CSA is proposed to empower the total search ability of the algorithm effectively. The proposed method is applied to the empirical peak load data of Fars Electrical Power Company in Iran.     

求解非线性回归问题的Newton算法

针对大规模非线性回归问题,提出基于静态储备池的Newton算法.利用储备池搭建高维特征空间,将原始问题转化成与储备池维数相关的线性支持向量回归问题,并应用Newton算法求解.鲁棒损失函数的应用可抑制异常点对预测结果的干扰.通过与SVR(Support Vector Regression)及储备池Tikhonov正则化方法比较,验证了所提方法的快速性、较高的预测精度和较好的鲁棒性.     

Incorporating feature selection method into support vector regression for stock index forecasting

Stock index forecasting is one of the most difficult tasks that financial organizations, firms and private investors have to face. Support vector regression (SVR) has become a popular alternative in stock index forecasting tasks due to its generalization capability in obtaining a unique solution. However, the major limitation of SVR is that it cannot capture the relative importance of independent variables to the dependent variable when many potential independent variables are considered. This study incorporates feature selection method and SVR for building stock index forecasting model. The proposed model uses multivariate adaptive regression splines (MARS), an effective nonlinear and nonparametric regression methodology, to identify important forecasting variables. The obtained significant predictor variables are then served as the inputs for the SVR model. Experimental results reveal that the obtained important variables from MARS can improve the forecasting performance of the SVR models. Moreover, the MARS results provide useful information about the relationship between the selected predictor variables and stock index through the obtained basis functions, important predictor variables and the MARS prediction function. Hence, the proposed stock index forecasting model can generate good forecasting performance and exhibits the capability of identifying significant predictor variables, which provide valuable information for further investment decisions/strategies.     

基于SVR的传感器Hammerstein模型辨识

提出一种基于支持向量回归机的非线性动态传感器Hammerstein模型辨识方法并给出了相关的数学理论及学习算法.在该模型中,用非线性静态子环节和线性动态子环节串联来描述传感器的非线性动态特性.再利用函数展开将模型的非线性传递函数转换为等价的线性中间模型,并通过SVR求取中间模型参数.最后,推导出中间模型参数与传感器Hammerstein模型参数之间的关系,并由该关系实现非线性静态环节和线性动态环节的同时辨识.用实际力传感器动态标定实验数据进行测试,结果表明与常规非线性传感器辨识方法不同,所提方法只需进行一次动态标定实验就能给出非线性动态模型的数学解析表达式.且建立的力传感器Hammerstein模型阶次为4,而线性动态系统模型则需要6阶才能达到相同的精度.因此该研究为传感器非线性动态系统辨识又提供了一种可选方法.     

马尔科夫模型改进的时间序列预测算法研究

时间序列的传统预测方法能够很好地拟合和预测平稳时间序列,对于非线性非平稳的时间序列数据预测效果不好。为解决该问题,文本提出一种改进的预测算法。通过小波分解和单边重构,原始时间序列被分解为一列低频数据和两列高频数据。低频数据采用传统的时间序列方法 GARCH模型预测,高频数据使用改进方法预测。通过马尔科夫模型预测出状态区间,结合指数平滑法,预测出高频结果。与低频数据结果叠加得到最终预测结果。经误差比较,改进算法预测精度有较大提升。