• Title/Summary/Keyword: time series prediction

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Evolvable Neural Networks for Time Series Prediction with Adaptive Learning Interval

  • Seo, Sang-Wook;Lee, Dong-Wook;Sim, Kwee-Bo
    • International Journal of Fuzzy Logic and Intelligent Systems
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    • v.8 no.1
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    • pp.31-36
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    • 2008
  • This paper presents adaptive learning data of evolvable neural networks (ENNs) for time series prediction of nonlinear dynamic systems. ENNs are a special class of neural networks that adopt the concept of biological evolution as a mechanism of adaptation or learning. ENNs can adapt to an environment as well as changes in the enviromuent. ENNs used in this paper are L-system and DNA coding based ENNs. The ENNs adopt the evolution of simultaneous network architecture and weights using indirect encoding. In general just previous data are used for training the predictor that predicts future data. However the characteristics of data and appropriate size of learning data are usually unknown. Therefore we propose adaptive change of learning data size to predict the future data effectively. In order to verify the effectiveness of our scheme, we apply it to chaotic time series predictions of Mackey-Glass data.

A Fuzzy Time-Series Prediction with Preprocessing (전처리과정을 갖는 시계열데이터의 퍼지예측)

  • Yoon, Sang-Hun;Lee, Chul-Hee
    • Proceedings of the KIEE Conference
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    • 2000.11d
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    • pp.666-668
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    • 2000
  • In this paper, a fuzzy prediction method is proposed for time series data having uncertainty and non-stationary characteristics. Conventional methods, which use past data directly in prediction procedure, cannot properly handle non-stationary data whose long-term mean is floating. To cope with this problem, a data preprocessing technique utilizing the differences of original time series data is suggested. The difference sets are established from data. And the optimal difference set is selected for input of fuzzy predictor. The proposed method based the Takigi-Sugeno-Kang(TSK or TS) fuzzy rule. Computer simulations show improved results for various time series.

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Evolvable Neural Networks for Time Series Prediction with Adaptive Learning Interval

  • Lee, Dong-Wook;Kong, Seong-G;Sim, Kwee-Bo
    • 제어로봇시스템학회:학술대회논문집
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    • 2005.06a
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    • pp.920-924
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    • 2005
  • This paper presents adaptive learning data of evolvable neural networks (ENNs) for time series prediction of nonlinear dynamic systems. ENNs are a special class of neural networks that adopt the concept of biological evolution as a mechanism of adaptation or learning. ENNs can adapt to an environment as well as changes in the environment. ENNs used in this paper are L-system and DNA coding based ENNs. The ENNs adopt the evolution of simultaneous network architecture and weights using indirect encoding. In general just previous data are used for training the predictor that predicts future data. However the characteristics of data and appropriate size of learning data are usually unknown. Therefore we propose adaptive change of learning data size to predict the future data effectively. In order to verify the effectiveness of our scheme, we apply it to chaotic time series predictions of Mackey-Glass data.

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Multiple Model Prediction System Based on Optimal TS Fuzzy Model and Its Applications to Time Series Forecasting (최적 TS 퍼지 모델 기반 다중 모델 예측 시스템의 구현과 시계열 예측 응용)

  • Bang, Young-Keun;Lee, Chul-Heui
    • Journal of Industrial Technology
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    • v.28 no.B
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    • pp.101-109
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    • 2008
  • In general, non-stationary or chaos time series forecasting is very difficult since there exists a drift and/or nonlinearities in them. To overcome this situation, we suggest a new prediction method based on multiple model TS fuzzy predictors combined with preprocessing of time series data, where, instead of time series data, the differences of them are applied to predictors as input. In preprocessing procedure, the candidates of optimal difference interval are determined by using con-elation analysis and corresponding difference data are generated. And then, for each of them, TS fuzzy predictor is constructed by using k-means clustering algorithm and least squares method. Finally, the best predictor which minimizes the performance index is selected and it works on hereafter for prediction. Computer simulation is performed to show the effectiveness and usefulness of our method.

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Combination Prediction for Nonlinear Time Series Data with Intervention (개입 분석 모형 예측력의 비교분석)

  • 김덕기;김인규;이성덕
    • The Korean Journal of Applied Statistics
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    • v.16 no.2
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    • pp.293-303
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    • 2003
  • Under the case that we know the period and the reason of external events, we reviewed the method of model identification, parameter estimation and model diagnosis with the former papers that have been studied about the linear time series model with intervention, and compared with nonlinear time series model such as ARCH, GARCH model that it has been used widely in economic models, and also we compared with the combination prediction method that Tong(1990) introduced.

Prediction of Baltic Dry Index by Applications of Long Short-Term Memory (Long Short-Term Memory를 활용한 건화물운임지수 예측)

  • HAN, Minsoo;YU, Song-Jin
    • Journal of Korean Society for Quality Management
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    • v.47 no.3
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    • pp.497-508
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    • 2019
  • Purpose: The purpose of this study is to overcome limitations of conventional studies that to predict Baltic Dry Index (BDI). The study proposed applications of Artificial Neural Network (ANN) named Long Short-Term Memory (LSTM) to predict BDI. Methods: The BDI time-series prediction was carried out through eight variables related to the dry bulk market. The prediction was conducted in two steps. First, identifying the goodness of fitness for the BDI time-series of specific ANN models and determining the network structures to be used in the next step. While using ANN's generalization capability, the structures determined in the previous steps were used in the empirical prediction step, and the sliding-window method was applied to make a daily (one-day ahead) prediction. Results: At the empirical prediction step, it was possible to predict variable y(BDI time series) at point of time t by 8 variables (related to the dry bulk market) of x at point of time (t-1). LSTM, known to be good at learning over a long period of time, showed the best performance with higher predictive accuracy compared to Multi-Layer Perceptron (MLP) and Recurrent Neural Network (RNN). Conclusion: Applying this study to real business would require long-term predictions by applying more detailed forecasting techniques. I hope that the research can provide a point of reference in the dry bulk market, and furthermore in the decision-making and investment in the future of the shipping business as a whole.

Chaotic Time Series Prediction using Extended Fuzzy Entropy Clustering (확장된 퍼지엔트로피 클러스터링을 이용한 카오스 시계열 데이터 예측)

  • 박인규
    • Proceedings of the IEEK Conference
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    • 2000.06c
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    • pp.5-8
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    • 2000
  • In this paper, we propose new algorithms for the partition of input space and the generation of fuzzy control rules. The one consists of Shannon and extended fuzzy entropy function, the other consists of adaptive fuzzy neural system with back propagation teaming rule. The focus of this scheme is to realize the optimal fuzzy rule base with the minimal number of the parameters of the rules, reducing the complexity of the system. The proposed algorithm is tested with the time series prediction problem using Mackey-Glass chaotic time series.

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A Study on the Demand Prediction Model for Repair Parts of Automotive After-sales Service Center Using LSTM Artificial Neural Network (LSTM 인공신경망을 이용한 자동차 A/S센터 수리 부품 수요 예측 모델 연구)

  • Jung, Dong Kun;Park, Young Sik
    • The Journal of Information Systems
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    • v.31 no.3
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    • pp.197-220
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    • 2022
  • Purpose The purpose of this study is to identifies the demand pattern categorization of repair parts of Automotive After-sales Service(A/S) and proposes a demand prediction model for Auto repair parts using Long Short-Term Memory (LSTM) of artificial neural networks (ANN). The optimal parts inventory quantity prediction model is implemented by applying daily, weekly, and monthly the parts demand data to the LSTM model for the Lumpy demand which is irregularly in a specific period among repair parts of the Automotive A/S service. Design/methodology/approach This study classified the four demand pattern categorization with 2 years demand time-series data of repair parts according to the Average demand interval(ADI) and coefficient of variation (CV2) of demand size. Of the 16,295 parts in the A/S service shop studied, 96.5% had a Lumpy demand pattern that large quantities occurred at a specific period. lumpy demand pattern's repair parts in the last three years is predicted by applying them to the LSTM for daily, weekly, and monthly time-series data. as the model prediction performance evaluation index, MAPE, RMSE, and RMSLE that can measure the error between the predicted value and the actual value were used. Findings As a result of this study, Daily time-series data were excellently predicted as indicators with the lowest MAPE, RMSE, and RMSLE values, followed by Weekly and Monthly time-series data. This is due to the decrease in training data for Weekly and Monthly. even if the demand period is extended to get the training data, the prediction performance is still low due to the discontinuation of current vehicle models and the use of alternative parts that they are contributed to no more demand. Therefore, sufficient training data is important, but the selection of the prediction demand period is also a critical factor.

Corporate Default Prediction Model Using Deep Learning Time Series Algorithm, RNN and LSTM (딥러닝 시계열 알고리즘 적용한 기업부도예측모형 유용성 검증)

  • Cha, Sungjae;Kang, Jungseok
    • Journal of Intelligence and Information Systems
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    • v.24 no.4
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    • pp.1-32
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    • 2018
  • In addition to stakeholders including managers, employees, creditors, and investors of bankrupt companies, corporate defaults have a ripple effect on the local and national economy. Before the Asian financial crisis, the Korean government only analyzed SMEs and tried to improve the forecasting power of a default prediction model, rather than developing various corporate default models. As a result, even large corporations called 'chaebol enterprises' become bankrupt. Even after that, the analysis of past corporate defaults has been focused on specific variables, and when the government restructured immediately after the global financial crisis, they only focused on certain main variables such as 'debt ratio'. A multifaceted study of corporate default prediction models is essential to ensure diverse interests, to avoid situations like the 'Lehman Brothers Case' of the global financial crisis, to avoid total collapse in a single moment. The key variables used in corporate defaults vary over time. This is confirmed by Beaver (1967, 1968) and Altman's (1968) analysis that Deakins'(1972) study shows that the major factors affecting corporate failure have changed. In Grice's (2001) study, the importance of predictive variables was also found through Zmijewski's (1984) and Ohlson's (1980) models. However, the studies that have been carried out in the past use static models. Most of them do not consider the changes that occur in the course of time. Therefore, in order to construct consistent prediction models, it is necessary to compensate the time-dependent bias by means of a time series analysis algorithm reflecting dynamic change. Based on the global financial crisis, which has had a significant impact on Korea, this study is conducted using 10 years of annual corporate data from 2000 to 2009. Data are divided into training data, validation data, and test data respectively, and are divided into 7, 2, and 1 years respectively. In order to construct a consistent bankruptcy model in the flow of time change, we first train a time series deep learning algorithm model using the data before the financial crisis (2000~2006). The parameter tuning of the existing model and the deep learning time series algorithm is conducted with validation data including the financial crisis period (2007~2008). As a result, we construct a model that shows similar pattern to the results of the learning data and shows excellent prediction power. After that, each bankruptcy prediction model is restructured by integrating the learning data and validation data again (2000 ~ 2008), applying the optimal parameters as in the previous validation. Finally, each corporate default prediction model is evaluated and compared using test data (2009) based on the trained models over nine years. Then, the usefulness of the corporate default prediction model based on the deep learning time series algorithm is proved. In addition, by adding the Lasso regression analysis to the existing methods (multiple discriminant analysis, logit model) which select the variables, it is proved that the deep learning time series algorithm model based on the three bundles of variables is useful for robust corporate default prediction. The definition of bankruptcy used is the same as that of Lee (2015). Independent variables include financial information such as financial ratios used in previous studies. Multivariate discriminant analysis, logit model, and Lasso regression model are used to select the optimal variable group. The influence of the Multivariate discriminant analysis model proposed by Altman (1968), the Logit model proposed by Ohlson (1980), the non-time series machine learning algorithms, and the deep learning time series algorithms are compared. In the case of corporate data, there are limitations of 'nonlinear variables', 'multi-collinearity' of variables, and 'lack of data'. While the logit model is nonlinear, the Lasso regression model solves the multi-collinearity problem, and the deep learning time series algorithm using the variable data generation method complements the lack of data. Big Data Technology, a leading technology in the future, is moving from simple human analysis, to automated AI analysis, and finally towards future intertwined AI applications. Although the study of the corporate default prediction model using the time series algorithm is still in its early stages, deep learning algorithm is much faster than regression analysis at corporate default prediction modeling. Also, it is more effective on prediction power. Through the Fourth Industrial Revolution, the current government and other overseas governments are working hard to integrate the system in everyday life of their nation and society. Yet the field of deep learning time series research for the financial industry is still insufficient. This is an initial study on deep learning time series algorithm analysis of corporate defaults. Therefore it is hoped that it will be used as a comparative analysis data for non-specialists who start a study combining financial data and deep learning time series algorithm.

A Study on the Prediction of Major Prices in the Shipbuilding Industry Using Time Series Analysis Model (시계열 분석 모델을 이용한 조선 산업 주요물가의 예측에 관한 연구)

  • Ham, Juh-Hyeok
    • Journal of the Society of Naval Architects of Korea
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    • v.58 no.5
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    • pp.281-293
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    • 2021
  • Oil and steel prices, which are major pricescosts in the shipbuilding industry, were predicted. Firstly, the error of the moving average line (N=3-5) was examined, and in all three error analyses, the moving average line (N=3) was small. Secondly, in the linear prediction of data through existing theory, oil prices rise slightly, and steel prices rise sharply, but in reality, linear prediction using existing data was not satisfactory. Thirdly, we identified the limitations of linear prediction methods and confirmed that oil and steel price prediction was somewhat similar to actual moving average line prediction methods. Due to the high volatility of major price flows, large errors were inevitable in the forecast section. Through the time series analysis method at the end of this paper, we were able to achieve not bad results in all analysis items relative to artificial intelligence (Prophet). Predictive data through predictive analysis using eight predictive models are expected to serve as a good research foundation for developing unique tools or establishing evaluation systems in the future. This study compares the basic settings of artificial intelligence programs with the results of core price prediction in the shipbuilding industry through time series prediction theory, and further studies the various hyper-parameters and event effects of Prophet in the future, leaving room for improvement of predictability.