The Transactions of the Korean Institute of Electrical Engineers D (대한전기학회논문지:시스템및제어부문D)

The Korean Institute of Electrical Engineers (대한전기학회)
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Predicting Nonstationary Time Series with Fuzzy Learning Based on Consecutive Data

연속된 데이터의 퍼지학습에 의한 비정상 시계열 예측

  • 김인택 (명지대 전기정보제어공학부)
  • Published : 2001.05.01
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Abstract

This paper presents a time series prediction method using a fuzzy rule-based system. Extracting fuzzy rules by performing a simple one-pass operation on the training data is quite attractive because it is easy to understand, verify, and extend. The simplest method is probably to relate an estimate, x(n+k), with past data such as x(n), x(n-1), ..x(n-m), where k and m are prefixed positive integers. The relation is represented by fuzzy if-then rules, where the past data stand for premise part and the predicted value for consequence part. However, a serious problem of the method is that it cannot handle nonstationary data whose long-term mean is varying. To cope with this, a new training method is proposed, which utilizes the difference of consecutive data in a time series. In this paper, typical previous works relating time series prediction are briefly surveyed and a new method is proposed to overcome the difficulty of prediction nonstationary data. Finally, computer simulations are illustrated to show the improved results for various time series.

Keywords

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