Long memory time series forecasting by using genetic programming

Real-world time series have certain properties, such as stationarity, seasonality, linearity, among others, which determine their underlying behaviour. There is a particular class of time series called long-memory processes, characterized by a persistent temporal dependence between distant observations, that is, the time series values depend not only on recent past values but also on observations of much prior time periods. The main purpose of this research is the development, application, and evaluation of a computational intelligence method specifically tailored for long memory time series forecasting, with emphasis on many-step-ahead prediction. The method proposed here is a hybrid combining genetic programming and the fractionally integrated (long-memory) component of autoregressive fractionally integrated moving average (ARFIMA) models. Another objective of this study is the discovery of useful comprehensible novel knowledge, represented as time series predictive models. In this respect, a new evolutionary multi-objective search method is proposed to limit complexity of evolved solutions and to improve predictive quality. Using these methods allows for obtaining lower complexity (and possibly more comprehensible) models with high predictive quality, keeping run time and memory requirements low, and avoiding bloat and over-fitting. The methods are assessed on five real-world long memory time series and their performance is compared to that of statistical models reported in the literature. Experimental results show the proposed methods’ advantages in long memory time series forecasting.     

Case based time series prediction using biased time warp distance for electrical evoked potential forecasting in visual prostheses

Case based time series prediction (CTSP) is a machine learning technique to predict the future behavior of the current time series by referring similar old cases. To reduce the cost of the visual prostheses research, we devote to the investigation of predictive performance of CTSP in electrical evoked potential (EEP) prediction instead of doing numerous biological experiments. The heart of CTSP for EEP prediction is a similarity measure of training case for target electrical stimulus by using distance metric. As EEP experimental case consists of the stationary electrical stimulation values and time-varying EEP elicited values, this paper proposes a new distance metric which takes the advantage of point-to-point distance's efficient operation in stationary data and time series distance's high capability in temporal data, called as biased time warp distance (BTWD). In BTWD metric, stimulation set difference (Diff_I) and EEP sequence difference (Diff_II) are calculated respectively, and a time-dependent bias configuration is added to reflect the different influences of Diff_I and Diff_II to the numerical computation of BTWD. Similarity-related adaptation coefficient summation is employed to yield the predictive EEP values at given time point in principle of k nearest neighbors. The proposed predictor using BTWD was empirically tested with data collected from the electrophysiological EEP eliciting experiments. We statistically validated our results by comparing them with other predictor using classical point-to-point distances and time series distances. The empirical results indicated that our proposed method produces superior performance in EEP prediction in terms of predictive accuracy and computational complexity.     

复杂高炉炼铁过程的数据驱动建模及预测算法

高炉炼铁过程的控制意味着控制高炉铁水温度及成份在指定的范围. 本文以高炉炉内热状态的重要指示剂---高炉铁水硅含量为研究对象, 针对机理建模难以准确预测、控制高炉铁水硅含量的发展变化, 利用数据驱动建模的思想, 建立了基于多元时间序列的高炉铁水硅含量数据驱动预测模型. 实例分析表明, 建立的数据驱动预测模型能够很好地预测高炉铁水硅含量, 连续预测167炉高炉铁水硅含量, 命中率高达83.23%, 预测均方根误差为0.07260. 这些指标均优于基于单一硅时间序列所建立的数据驱动模型, 对实际生产具有很好的指导作用.     

内模统一预测控制的进一步分析

统一预测控制克服了一般预测控制器设计时难以比较每种控制器效果的缺点,将每 个问题的设计统一在一种框架下进行,设计费用也显著降低.对单输入单输出系统,统一预测 控制是一种优越的预测控制方法.采用内模结构就设计参数和模型匹配性对统一预测控制闭 环系统的跟踪性能和鲁棒性能的影响作更为详细的分析.从中可以看出内模结构在预测控制 中的独特优点.本文最后对一些结论给出了仿真结果.     

网络入侵检测系统的负载均衡方案

在高速网络环境下,数据流的高速化使得网络入侵检测系统往往会出现严重的漏报率,针对此性能瓶颈,提出了一种基于预测的并行入侵检测系统的负载均衡方案。该方案主动测量各探测器的负载为预测依据,采用混沌时间序列的全域预测法为预测手段,利用预测的负载值为负载均衡的根据。通过仿真实验,证明了该方案的可行性及有效性,它能有效地均衡负载、减少系统的丢包率。     

Nonlinear system identification for predictive control using continuous time recurrent neural networks and automatic differentiation

In this paper, a continuous time recurrent neural network (CTRNN) is developed to be used in nonlinear model predictive control (NMPC) context. The neural network represented in a general nonlinear state-space form is used to predict the future dynamic behavior of the nonlinear process in real time. An efficient training algorithm for the proposed network is developed using automatic differentiation (AD) techniques. By automatically generating Taylor coefficients, the algorithm not only solves the differentiation equations of the network but also produces the sensitivity for the training problem. The same approach is also used to solve the online optimization problem in the predictive controller. The proposed neural network and the nonlinear predictive controller were tested on an evaporation case study. A good model fitting for the nonlinear plant is obtained using the new method. A comparison with other approaches shows that the new algorithm can considerably reduce network training time and improve solution accuracy. The CTRNN trained is used as an internal model in a predictive controller and results in good performance under different operating conditions.     

基于ARIMA的存储优化算法设计与实现*

分析了SAN（storage area network）共享存储体系中I/O访问路径上可能存在的性能瓶颈,提出了采用ARIMA时间序列分析方法建立基于前馈的预测式控制机制,预测瓶颈发生趋势;通过改变存储子系统内的块映射关系来实现数据的迁移,减少I/O访问路径上发生性能瓶颈的可能性,有效提高了SAN的可靠性和可用性。     

Gradient radial basis function networks for nonlinear andnonstationary time series prediction

We present a method of modifying the structure of radial basis function (RBF) network to work with nonstationary series that exhibit homogeneous nonstationary behavior. In the original RBF network, the hidden node's function is to sense the trajectory of the time series and to respond when there is a strong correlation between the input pattern and the hidden node's center. This type of response, however, is highly sensitive to changes in the level and trend of the time series. To counter these effects, the hidden node's function is modified to one which detects and reacts to the gradient of the series. We call this new network the gradient RBF (GRBF) model. Single and multistep predictive performance for the Mackey-Glass chaotic time series were evaluated using the classical RBF and GRBF models. The simulation results for the series without and with a tine-varying mean confirm the superior performance of the GRBF predictor over the RBF predictor.     

基于VMD循环随机跳跃状态网络的时间序列长期预测

由于混沌系统的演化规律复杂,直接对混沌时间序列进行长期预测通常难以达到较好的效果.针对此问题,利用变分模态分解方法将混沌时间序列转化为一系列特征子序列,利用排列熵评估选取子序列个数的合理性,保证特征子序列包含了原序列长期演化趋势.此外,提出一种改进的确定性循环跳跃状态网络作为子序列的预测模型,该网络模型中的储备池采用单向环状连接和双向随机跳跃的拓扑结构,能够避免储备池确定连接结构造成的预测精度较低和随机连接造成网络的不稳定性问题.通过所提出模型对时间序列进行长期预测,采用多种评估手段对预测结果进行分析, 表明所提出模型对于长期预测具有较大的优势.     

二重趋势时间序列的灰色组合预测模型

神经网络、ARIMA等广泛应用于具有趋势变动性和周期波动性的二重趋势特征的时间序列预测,而这些单一的模型难以达到满意的预测效果。提出一种针对该特征的灰色组合模型,其基本思想是：从二重趋势时间序列中分离趋势变动项和周期波动项后,用灰色G（1,1）模型预测趋势变动项,引用BP网络和ARIMA的组合模型预测周期波动项,用乘积模型合成两部分预测值为灰色组合模型的最终预测值。实验表明：该灰色组合模型适应了二重趋势时间序列的特征,具有很好的预测效果。     

网络控制系统的自整定PID 控制器设计

结合广义预测控制（GPC）方法和PID反馈结构,设计了一种具有预测功能的PID控制器,PID参数根据未来时刻的预计输出误差进行整定.控制器导出多步控制序列,置于执行器端的延迟补偿器根据网络时延从控制序列中选择控制信息并作用于控制对象,从而对时延进行补偿,使控制性能得到极大改善.控制器结合了PID控制和预测控制的优点,具有较强的鲁棒性和工程意义.最后通过构造Lyapunov函数对闭环系统的稳定性进行了分析,并通过仿真验证了该算法的有效性.     

Generalized random shapelet forests

Shapelets are discriminative subsequences of time series, usually embedded in shapelet-based decision trees. The enumeration of time series shapelets is, however, computationally costly, which in addition to the inherent difficulty of the decision tree learning algorithm to effectively handle high-dimensional data, severely limits the applicability of shapelet-based decision tree learning from large (multivariate) time series databases. This paper introduces a novel tree-based ensemble method for univariate and multivariate time series classification using shapelets, called the generalized random shapelet forest algorithm. The algorithm generates a set of shapelet-based decision trees, where both the choice of instances used for building a tree and the choice of shapelets are randomized. For univariate time series, it is demonstrated through an extensive empirical investigation that the proposed algorithm yields predictive performance comparable to the current state-of-the-art and significantly outperforms several alternative algorithms, while being at least an order of magnitude faster. Similarly for multivariate time series, it is shown that the algorithm is significantly less computationally costly and more accurate than the current state-of-the-art.     

EMG-Based Motion Discrimination Using a Novel Recurrent Neural Network

This paper presents a pattern discrimination method for electromyogram (EMG) signals for application in the field of prosthetic control. The method uses a novel recurrent neural network based on the hidden Markov model. This network includes recurrent connections, which enable modeling time series, such as EMG signals. Weight coefficients in the network can be learned using a well-known back-propagation through time algorithm. Pattern discrimination experiments were conducted to demonstrate the feasibility and performance of the proposed method. We were able to successfully discriminate forearm motions using the EMG signals, and achieved considerably high discrimination performance compared with other discrimination methods.     

改进DMC在远程网络化过程测控系统中的应用研究

针对Internet网络测控系统的网络延时、时序错乱和数据丢包现象,引入时间序列分析方法,构建了DMC多步预测控制模型;采用时间序列排序与插值,解决时序错乱和数据丢包问题;对于系统的反馈通道延时,提出基于信息缺失下的改进DMC多步预测控制,减小其影响;对于系统的前向通道延时,在新的控制信息未到时,利用多步预测的第N步信息顺序控制。整个系统通过TRU-ETIME仿真,当网络延时在20倍采样周期内时,系统控制实时。结果表明改进DMC在减小网络延时、时序错乱和数据丢包对系统的影响是可行的。     

一种基于时序预报神经网络的故障预报方法及其应用

提出一种基于时序预报神经网络的工业过程故障预报方法,同时给出了描述神经网络预 报和外推能力的表达方式,并以氯碱电解工艺的现场数据验证了这种故障预报方法的有效性. 实验结果表明,该方法可成功地用以实现氯中含氢的24小时预报.     

Forecasting nonnegative option price distributions using Bayesian kernel methods

This paper proposes a novel Bayesian kernel model that can forecast the non-negative distribution of target option prices, which are constrained to be positive. The method utilizes a new transform measure that guarantees the non-negativity of option prices, and can be applied to Bayesian kernel models to provide predictive distributions of option prices. Simulations conducted on the model-generated option data and KOSPI 200 index option data show that the proposed method not only provide a predictive distribution of non-negative option prices, but also preserves the probabilistic distribution of large deviations. We also perform a very extensive empirical study on a large-scale time series of option prices to assess the prediction performance of the proposed method. We find that the method outperforms other state of the arts non-parametric methods in prediction accuracy and is statistically different.     

ChronoCorrelator: Enriching Events with Time Series

Event sequences and time series are widely recorded in many application domains; examples are stock market prices, electronic health records, server operation and performance logs. Common goals for recording are monitoring, root cause analysis and predictive analytics. Current analysis methods generally focus on the exploration of either event sequences or time series. However, deeper insights are gained by combining both. We present a visual analytics approach where users can explore both time series and event data simultaneously, combining visualization, automated methods and human interaction. We enable users to iteratively refine the visualization. Correlations between event sequences and time series can be found by means of an interactive algorithm, which also computes the presence of monotonic effects. We illustrate the effectiveness of our method by applying it to real world and synthetic data sets.     

Automatic time series analysis for electric load forecasting via support vector regression

In this work, a strategy for automatic lag selection in time series analysis is proposed. The method extends the ideas of feature selection with support vector regression, a powerful machine learning tool that can identify nonlinear patterns effectively thanks to the introduction of a kernel function. The proposed approach follows a backward variable elimination procedure based on gradient descent optimisation, iteratively adjusting the widths of an anisotropic Gaussian kernel. Experiments on four electricity demand forecasting datasets demonstrate the virtues of the proposed approach in terms of predictive performance and correct identification of relevant lags and seasonal patterns, compared to well-known strategies for time series analysis designed for energy load forecasting and state-of-the-art strategies for automatic model selection.     

Quantum minimization for adapting ANFIS outputs to its nonlinear generalized autoregressive conditional heteroscedasticity

Volatility clustering degrades the efficiency and effectiveness of time series prediction and gives rise to large residual errors. This is because volatility clustering suggests a time series where successive disturbances, even if uncorrelated, are yet serially dependent. Traditional time-series forecast model such as grey model (GM) or auto-regressive moving-average (ARMA) has often encountered the overshoot effect, thus leading to the deterioration of its predictive accuracy. To overcome the overshoot and volatility clustering problems at the same time, an adaptive neuro-fuzzy inference system (ANFIS) is combined with a nonlinear generalized autoregressive conditional heteroscedasticity (NGARCH) model that is adapted by quantum minimization (QM) so as to tackle the problem of overshooting situation and time-varying conditional variance residual errors. The proposed method significantly reduces large residual errors in forecasts because the overshoot and volatility clustering effects are regulated to trivial levels. Two experiments using real financial and geographic data series, respectively, compare the proposed method and a number of well-known alternative methods. Results show that forecasting performance by the proposed method produces superior results, with good speed of computation. Goodness of fit of the proposed method is tested by Ljung-Box Q-test. It is concluded that the ANFIS/NGARCH composite model adapted by QM performs very well for improved predictive accuracy of irregular non-periodic short-term time series forecast and will be of interest to the science of statistical prediction of time series.

基于渐进式分解架构的风电时间序列预测

准确预测风电机组各项指标对准确管控机组和调控电网的供需有着重要意义. 预测指标任务可抽象为风电时间序列预测任务. 目前时间序列预测模型主要采用深度学习模型, 但是风电时间序列具有较强的波动性和随机性, 导致绝大部分模型不能较好挖掘风电时间序列的复杂演化特性. 为解决上述问题, 提出了一种基于渐进式分解架构的风电时间序列预测方法, 该方法首先应用神经网络池化分解方法将复杂的依赖关系简化并应用注意力机制学习长期趋势, 然后运用多变量融合捕捉模块增强了网络整体的多变量关联挖掘能力, 最后, 融合趋势项和周期项对风电时间序列做出准确的预测. 实验结果表明, 该方法在风电时间序列的多步预测中均方误差相比基线模型至高可提升24%, 在多尺度预测长度下表现出预测性能稳定提升的同时, 计算效率显著优于同类模型.