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.     

人工神经网络在EPDM硫化胶性能预测中的应用

该文将人工神经网络方法应用于EPDM硫化胶的性能预测，用按回归通用旋转组合设计方法设计的EPDM硫化胶20次性能试验数据作为人工神经网络的样本数据，利用MATLAB 6．5软件包中的神经网络工具箱，构造BP神经网络，优选最佳的神经网络参数，通过训练后，用于预测EPDM硫化胶的氧指数、扯断强度和伸长率性能。结果表明，训练好的神经网络可准确地预测EPDM硫化胶的有关性能，基于MATLAB 6．5的人工神经网络是分析EPDM配方各组分对硫化胶性能影响的一种快捷、可靠的新方法。     

基于人工神经网络的多模型综合预报方法

根据天气系统非线性变化及天气变化受大气多种内外因素综合影响的特点，文中提出了用ANN的前馈网络(BP算法)串入竞争自组织映射网络(SOM网络)方法对同一预报量进行不同结构类型的MOS模型、动力诊断模型和人工智能模型的综合预报。利用这一系统对样本进行了先聚类后训练的预报。结果表明，BP SOM网络实现多模型(异型)综合预报系统具有很好的应用前景。     

基于粗糙神经网络的航空电子设备故障预测研究

为降低装备全寿命周期费用、提高经济可承受性、预防灾难性事故的发生,开展了航空电子设备故障预测技术研究;采用粗糙集理论改进神经元结构,以粗糙变量为神经元的输入,每个神经元的上近似元和下近似元分别代表粗糙集的上下近似,以交叉连接方式构造粗糙神经网络,用以实际设备特征参数的跟踪预测;研究结果表明,粗糙神经网络可以较准确地预测故障发生的时间,且较BP神经网络预测性能有较大改善;该方法对于航空电子设备的维护保障具有一定的理论价值和现实意义。     

Evolving Recurrent Neural Network using Cartesian Genetic Programming to Predict The Trend in Foreign Currency Exchange Rates

Forecasting the foreign exchange rate is an uphill task. Numerous methods have been used over the years to develop an efficient and reliable network for forecasting the foreign exchange rate. This study utilizes recurrent neural networks (RNNs) for forecasting the foreign currency exchange rates. Cartesian genetic programming (CGP) is used for evolving the artificial neural network (ANN) to produce the prediction model. RNNs that are evolved through CGP have shown great promise in time series forecasting. The proposed approach utilizes the trends present in the historical data for its training purpose. Thirteen different currencies along with the trade-weighted index (TWI) and special drawing rights (SDR) is used for the performance analysis of recurrent Cartesian genetic programming-based artificial neural networks (RCGPANN) in comparison with various other prediction models proposed to date. The experimental results show that RCGPANN is not only capable of obtaining an accurate but also a computationally efficient prediction model for the foreign currency exchange rates. The results demonstrated a prediction accuracy of 98.872 percent (using 6 neurons only) for a single-day prediction in advance and, on average, 92% for predicting a 1000 days’ exchange rate in advance based on ten days of data history. The results prove RCGPANN to be the ultimate choice for any time series data prediction, and its capabilities can be explored in a range of other fields.     

Flow forecast by SWAT model and ANN in Pracana basin,Portugal

This study provides a unique opportunity to analyze the issue of flow forecast based on the soil and water assessment tool (SWAT) and artificial neural network (ANN) models. In last two decades, the ANNs have been extensively applied to various water resources system problems. In this study, the ANNs were applied to the daily flow of the Pracana basin in Portugal. The comparison of ANN models and a process-based model SWAT was established based on their prediction accuracy. The ANN model was found to be more successful than the SWAT in relation to better forecast of peak flow. Nevertheless the SWAT model results revealed a better value of mean squared error. The results of this study, in general, showed that ANNs can be powerful tools in daily flow forecasts.     

Currency hedging strategies using dynamic multivariate GARCH

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of futures and spot exchange rates of three major international currencies, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging effectiveness resulting from using two different maturity currency contracts, near-month and next-to-near-month contract. We estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging effectiveness index suggests that the best results in terms of reducing the variance of the portfolio are for the USD/GBP exchange rate. The empirical results show that futures hedging strategies are slightly more effective when the near-month future contract is used for the USD/GBP and USD/JPY currencies. Moreover, the CCC and AGARCH models provide similar hedging effectiveness, which suggests that dynamic asymmetry may not be crucial empirically, although some differences appear when the DCC and BEKK models are used.     

Performance of radial basis and LM-feed forward artificial neural networks for predicting daily watershed runoff

This study investigated the effects of upstream stations’ flow records on the performance of artificial neural network (ANN) models for predicting daily watershed runoff. As a comparison, a multiple linear regression (MLR) analysis was also examined using various statistical indices. Five streamflow measuring stations on the Cahaba River, Alabama, were selected as case studies. Two different ANN models, multi layer feed forward neural network using Levenberg–Marquardt learning algorithm (LMFF) and radial basis function (RBF), were introduced in this paper. These models were then used to forecast one day ahead streamflows. The correlation analysis was applied for determining the architecture of each ANN model in terms of input variables. Several statistical criteria (RMSE, MAE and coefficient of correlation) were used to check the model accuracy in comparison with the observed data by means of K-fold cross validation method. Additionally, residual analysis was applied for the model results. The comparison results revealed that using upstream records could significantly increase the accuracy of ANN and MLR models in predicting daily stream flows (by around 30%). The comparison of the prediction accuracy of both ANN models (LMFF and RBF) and linear regression method indicated that the ANN approaches were more accurate than the MLR in predicting streamflow dynamics. The LMFF model was able to improve the average of root mean square error (RMSE_ave) and average of mean absolute percentage error (MAPE_ave) values of the multiple linear regression forecasts by about 18% and 21%, respectively. In spite of the fact that the RBF model acted better for predicting the highest range of flow rate (flood events, RMSE_ave/RBF = 26.8 m³/s vs. RMSE_ave/LMFF = 40.2 m³/s), in general, the results suggested that the LMFF method was somehow superior to the RBF method in predicting watershed runoff (RMSE/LMFF = 18.8 m³/s vs. RMSE/RBF = 19.2 m³/s). Eventually, statistical differences between measured and predicted medians were evaluated using Mann-Whitney test, and differences in variances were evaluated using the Levene's test.     

中长期电力负荷预测相关影响因素优化选择

为了更好地反映各种相关因素对负荷的影响,采用人工神经网络进行中长期负荷预测.基于人工神经网络原理,设计了一个由输入层、隐含层和输出层组成的三层BP网络模型,利用神经网络高度非线性建模能力,选取国内生产总值、重工业生产总值、轻工业生产总值、农业生产总值、第一产业、第二产业和第三产业等七个因素作为神经网络的输入变量.采用排除法对这些输入变量进行优化选择,并对预测精度的影响进行了探讨.仿真结果证明利用排除法后预测精度明显提高,故提出的方法是可行和有效的.     

Financial time series prediction using polynomial pipelined neural networks

This paper proposes a novel type of higher-order pipelined neural network: the polynomial pipelined neural network. The proposed network is constructed from a number of higher-order neural networks concatenated with each other to predict highly nonlinear and nonstationary signals based on the engineering concept of divide and conquer. The polynomial pipelined neural network is used to predict the exchange rate between the US dollar and three other currencies. In this application, two sets of experiments are carried out. In the first set, the input data are pre-processed between 0 and 1 and passed to the neural networks as nonstationary data. In the second set of experiments, the nonstationary input signals are transformed into one step relative increase in price. The network demonstrates more accurate forecasting and an improvement in the signal to noise ratio over a number of benchmarked neural networks.     

Semiparametric ARX neural-network models with an application toforecasting inflation

We examine semiparametric nonlinear autoregressive models with exogenous variables (NLARX) via three classes of artificial neural networks: the first one uses smooth sigmoid activation functions; the second one uses radial basis activation functions; and the third one uses ridgelet activation functions. We provide root mean squared error convergence rates for these ANN estimators of the conditional mean and median functions with stationary β-mixing data. As an empirical application, we compare the forecasting performance of linear and semiparametric NLARX models of US inflation. We find that all of our semiparametric models outperform a benchmark linear model based on various forecast performance measures. In addition, a semiparametric ridgelet NLARX model which includes various lags of historical inflation and the GDP gap is best in terms of both forecast mean squared error and forecast mean absolute deviation error     

人工神经网络在煤氧化性预测方面的研究

提出了利用人工神经网络技术进行煤氧化速率定量预测的新方法．根据对煤自燃的实际特点和基本规律的综合考虑，研究了影响因素的选取、煤氧化速率预测模型的建立等问题。采用BP神经网络算法对煤氧化速率进行了建模。结果表明，用神经网络模型对煤氧化速率进行模拟预测，具有理论上的可行性和现实意义，说明人工神经网络技术在煤氧化速率预计领域中具有实用价值。     

Forecast Combination by Using Artificial Neural Networks

One of the efficient ways for obtaining accurate forecasts is usage of forecast combination method. This approach consists of combining different forecast values obtained from different forecasting models. Also artificial neural networks and fuzzy time series approaches have proved their success in the field of forecasting. In this study, a new forecast combination approach based on artificial neural networks is proposed. The forecasts obtain from different fuzzy time series models are combined by utilizing artificial neural networks. The proposed method is applied to index of Istanbul stock exchange (IMKB) time series and the results are compared to other forecast combination methods available in the literature. As a result of the implementation, it is seen that the proposed forecast combination approach produces better forecasts than those produced by other methods.     

基于人工神经网络组合预测油田产量

油田原油产量的准确预测可以对油田的生产管理进行合理的指导。该文探讨了应用神经网络组合方法预测油田产量，对开井数、含水率、动用储量以及往年产量同未来产量之间的复杂关系建立模型。采用了两层预测系统：第一层包含两个神经网络，一个多层前馈网络和一个函数链接网络；第二层是把第一层的两个网络输出进行组合。研究了五种不同的组合算法：平均法、最小平方回归法、模糊逻辑法、自适应前馈神经网络法和自适应函数链接神经网络法。根据油品类型分为稀油、热采稠油、常规稠油和总产量四组数据，对上述方法进行了测试，结果表明应用人工神经网络的组合预测方法优于其他的预测方法，而且适用范围广。     

基于递归神经网络的风暴潮增水预测

风暴潮增水的准确预测能极大地减少人员伤害和经济损失,具有重要的实用价值。传统的风暴潮预报方法主要包括经验和数值预报,很难建立起相对准确的模型。现有的基于机器学习风暴潮预报方法大都只提取出静态数据间的关系,并没有充分挖掘出风暴潮数据背后的时序关联特性。文中提出了一种基于递归神经网络的风暴潮增水预测方法。本文对风暴潮时序数据进行特定的处理,并设计合适结构的递归神经网络,从而完成时序数据的预测。相较于传统的BP神经网络,递归神经网络能更好地应对时序数据的预测问题。将该方法用于潍坊水站的增水预测中,结果表明,相对于BP神经网络,递归神经网络能得到更好的预测结果,误差更小。     

基于径向基神经网络的月降水量预测模型研究

针对月降水量高度非线性的特点,以合肥20年的月降水量为时间序列,综合运用径向基函数（RBF）神经网络,建立了一种基于径向基函数的神经网络预测模型。首先对RBF神经网络进行介绍,并将该网络应用于月降水量预测,应用归一化方法对原始数据进行预处理;然后运用MATLABR2008神经网络工具箱函数建立月降水量预测模型;最后进行仿真实验与分析,将RBF神经网络与传统的BP网络训练预测结果进行比较。结果显示,RBF神经网络模型训练的迭代次数和训练时间、预测结果明显好于传统BP神经网络。     

Robust feedforward and recurrent neural network based dynamic weighted combination models for software reliability prediction

Traditional parametric software reliability growth models (SRGMs) are based on some assumptions or distributions and none such single model can produce accurate prediction results in all circumstances. Non-parametric models like the artificial neural network (ANN) based models can predict software reliability based on only fault history data without any assumptions. In this paper, initially we propose a robust feedforward neural network (FFNN) based dynamic weighted combination model (PFFNNDWCM) for software reliability prediction. Four well-known traditional SRGMs are combined based on the dynamically evaluated weights determined by the learning algorithm of the proposed FFNN. Based on this proposed FFNN architecture, we also propose a robust recurrent neural network (RNN) based dynamic weighted combination model (PRNNDWCM) to predict the software reliability more justifiably. A real-coded genetic algorithm (GA) is proposed to train the ANNs. Predictability of the proposed models are compared with the existing ANN based software reliability models through three real software failure data sets. We also compare the performances of the proposed models with the models that can be developed by combining three or two of the four SRGMs. Comparative studies demonstrate that the PFFNNDWCM and PRNNDWCM present fairly accurate fitting and predictive capability than the other existing ANN based models. Numerical and graphical explanations show that PRNNDWCM is promising for software reliability prediction since its fitting and prediction error is much less relative to the PFFNNDWCM.     

Volatility of main metals forecasted by a hybrid ANN-GARCH model with regressors

In this article, we analyze volatility forecasts associated with the price of gold, silver, and copper, three of the most important metals in the world market. First, a group of GARCH models are used to forecast volatility, including explanatory variables like the US Dollar-Euro and US Dollar-Yen exchange rates, the oil price, and the Chinese, Indian, British, and American stock market indexes. Subsequently, these model predictions are used as inputs for a neural network in order to analyze the increase in hybrid predictive power. The results obtained show that for these three metals, using the hybrid neural network model increases the forecasting power of out-of-sample volatility. In order to optimize the results, we conducted a series of sensitizations of the artificial neural network architecture and analyses for different cases, finding that the best models to forecast the price return volatility of these main metals are the ANN-GARCH model with regressors. Due to the heteroscedasticity in the financial series, the loss function used is Heteroskedasticity-adjusted Mean Squared Error (HMSE), and to test the superiority of the models, the Model Confidence Set is used.     

Static, Dynamic, and Hybrid Neural Networks in Forecasting Inflation

The back-propagation neural network (BPN) model has been the most popular form of artificial neural network model used for forecasting, particularly in economics and finance. It is a static (feed-forward) model which has a learning process in both hidden and output layers. In this paper we compare the performance of the BPN model with that of two other neural network models, viz., the radial basis function network (RBFN) model and the recurrent neural network (RNN) model, in the context of forecasting inflation. The RBFN model is a hybrid model with a learning process that is much faster than the BPN model and that is able to generate almost the same results as the BPN model. The RNN model is a dynamic model which allows feedback from other layers to the input layer, enabling it to capture the dynamic behavior of the series. The results of the ANN models are also compared with those of the econometric time series models.     

Applications of artificial neural networks to the nonlinear combination of forecasts

Abstract: This paper proposes artificial neural networks (ANN) as a tool for nonlinear combination of forecasts. In this study, three forecasting models are used for individual forecasts, and then two linear combining methods are used to compare with the ANN combining method. The comparative experiment using real-world data shows that the prediction by the ANN method outperforms those by linear combining methods. The paper suggests that the ANN method can be used as an alternative to conventional linear combining methods to achieve greater forecasting accuracy.