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.     

Forecasting holiday daily tourist flow based on seasonal support vector regression with adaptive genetic algorithm

Accurate holiday daily tourist flow forecasting is always the most important issue in tourism industry. However, it is found that holiday daily tourist flow demonstrates a complex nonlinear characteristic and obvious seasonal tendency from different periods of holidays as well as the seasonal nature of climates. Support vector regression (SVR) has been widely applied to deal with nonlinear time series forecasting problems, but it suffers from the critical parameters selection and the influence of seasonal tendency. This article proposes an approach which hybridizes SVR model with adaptive genetic algorithm (AGA) and the seasonal index adjustment, namely AGA-SSVR, to forecast holiday daily tourist flow. In addition, holiday daily tourist flow data from 2008 to 2012 for Mountain Huangshan in China are employed as numerical examples to validate the performance of the proposed model. The experimental results indicate that the AGA-SSVR model is an effective approach with more accuracy than the other alternative models including AGA-SVR and back-propagation neural network (BPNN).     

基于SVR的电梯交通流时间序列预测

为了使电梯群控系统更好地跟踪电梯交通流的变化以提高群控系统的性能,提出了基于支持向量回归(Support Vector Regression,SVR)的电梯交通流预测方法.针对电梯交通流时间序列小样本的特性,考虑了电梯交通流的横向和纵向变化趋势,采用SVR算法建立了电梯交通流时间序列的预测模型.给出了预测的评价指标,研...     

Short-Term Wind Speed Prediction Using Signal Preprocessing Technique and Evolutionary Support Vector Regression

Short-term wind speed prediction is beneficial to guarantee the safety of wind power utilization and reduce the cost of wind power generation. As a kind of the powerful artificial intelligent algorithms, support vector regression (SVR) has been successfully employed in solving forecasting problems. However, due to the intrinsic complexity and multi-patterns of wind speed fluctuations, it is regarded as one of the most challenging applications for wind speed prediction. To alleviate the influence of complexity and capture these different patterns, this study proposes a novel approach named SIE–WDA–GA–SVR for short-term wind speed prediction, which applies the seasonal information extraction (SIE) and wavelet decomposition algorithm (WDA) into hybrid model that integrates the genetic algorithm (GA) into SVR. First, the proposed approach uses SIE to decompose the original wind speed into seasonal and trend components, and the seasonal indices are calculated by SIE. Second, the proposed approach uses WDA to decompose the trend component into both the approximate and the detailed scales. Third, the proposed approach uses GA–SVR to forecast the approximated and detailed scales, respectively. Then, the prediction values of the trend component can be obtained by integrating the prediction values of the approximated scale into the prediction values of the detailed scale. By integrating the seasonal indices into the prediction values of trend component, we can obtain the final forecasting results of the original wind speed. Moreover, the partial autocorrelation function is used to determine the number of input dimension for the SVR, and the GA is used to select the parameters of the SVR. Four real wind speed datasets are used as test samples to verify the proposed approach. Experimental results indicate that the proposed approach outperforms other benchmark models in four statistical error measures, and can improve the forecasting accuracy of wind speed.     

Improving prediction of exchange rates using Differential EMD

Volatility is a key parameter when measuring the size of errors made in modelling returns and other financial variables such as exchanged rates. The autoregressive moving-average (ARMA) model is a linear process in time series; whilst in the nonlinear system, the generalised autoregressive conditional heteroskedasticity (GARCH) and Markov switching GARCH (MS-GARCH) have been widely applied. In statistical learning theory, support vector regression (SVR) plays an important role in predicting nonlinear and nonstationary time series variables. In this paper, we propose a new algorithm, differential Empirical Mode Decomposition (EMD) for improving prediction of exchange rates under support vector regression (SVR). The new algorithm of Differential EMD has the capability of smoothing and reducing the noise, whereas the SVR model with the filtered dataset improves predicting the exchange rates. Simulations results consisting of the Differential EMD and SVR model show that our model outperforms simulations by a state-of-the-art MS-GARCH and Markov switching regression (MSR) models.     

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。     

A model updating strategy for predicting time series with seasonal patterns

Traditional methodologies for time series prediction take the series to be predicted and split it into training, validation, and test sets. The first one serves to construct forecasting models, the second set for model selection, and the third one is used to evaluate the final model. Different time series approaches such as ARIMA and exponential smoothing, as well as regression techniques such as neural networks and support vector regression, have been successfully used to develop forecasting models. A problem that has not yet received proper attention, however, is how to update such forecasting models when new data arrives, i.e. when a new event of the considered time series occurs.This paper presents a strategy to update support vector regression based forecasting models for time series with seasonal patterns. The basic idea of this updating strategy is to add the most recent data to the training set every time a predefined number of observations takes place. This way, information in new data is taken into account in model construction. The proposed strategy outperforms the respective static version in almost all time series studied in this work, considering three different error measures.     

基于深度学习的短时交通流预测

针对现有预测方法未能充分揭示交通流内部的本质规律,提出了一种基于深度学习的短时交通流预测方法。该方法结合深度信念网路模型（DBN）与支持向量回归分类器（SVR）作为预测模型,利用差分去除交通流数据的趋势向,用深度信念网络模型进行交通流特征学习,在网络顶层连接支持向量回归模型进行流量预测。实际交通流数据测试结果表明：文中提出的预测模型与传统预测模型相比,具有更高的预测精度,预测性能提高了18.01%,是一种有效的交通流预测方法。     

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。     

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 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.     

中国科技园区经济发展智能预测

指出了中国科技园区的经济发展呈现出高度的非线性特征，常规的经济预测手段很难对其作出准确的预测。支持向量回归实现了样本数据从数据空间到特征空间的映射，具备较强的非线性数据处理能力。提出了基于支持向量回归算法的中国科技园区经济发展预测思路，并建立了相应的数学模型。最后，对中国科技园区未来5年的发展状况作出了预测。     

Electromechanical equipment state forecasting based on genetic algorithm – support vector regression

Prediction of electromechanical equipments state nonlinear and non-stationary condition effectively is significant to forecast the lifetime of electromechanical equipments. In order to forecast electromechanical equipments state exactly, support vector regression optimized by genetic algorithm is proposed to forecast electromechanical equipments state. In the model, genetic algorithm is employed to choose the training parameters of support vector machine, and the SVR forecasting model of electromechanical equipments state with good forecasting ability is obtained. The proposed forecasting model is applied to the state forecasting for industrial smokes and gas turbine. The experimental results demonstrate that the proposed GA-SVR model provides better prediction capability. Therefore, the method is considered as a promising alternative method for forecasting electromechanical equipments state.     

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.     

网络流量的非线性组合预测模型应用研究

研究网络优化管理问题,网络流量具有趋势性、周期性和非线性,传统预测模型只能反映网络流量变化的片段信息,难以获得高精度的网络流量预测结果。为提高网络流量预测结果,提出一种非线性组合的网络流量预测模型。首先采用单一模型ARIMA、ARMA、GM(1,1)对网络流量各特征进行预测,然后将三种预测结果输入到支持向量机进行融合,得到网络流量的最终预测结果。仿真结果表明,与传统网络流量预测模型相比,改进的非线性组合预测模型能够较好的反映网络流量的复杂变化规律,从而提高了网络流量的预测精度。     

An efficient CMAC neural network for stock index forecasting

Stock index forecasting is one of the major activities of financial firms and private investors in making investment decisions. Although many techniques have been developed for predicting stock index, building an efficient stock index forecasting model is still an attractive issue since even the smallest improvement in prediction accuracy can have a positive impact on investments. In this paper, an efficient cerebellar model articulation controller neural network (CAMC NN) is proposed for stock index forecasting. The traditional CAMC NN scheme has been successfully used in robot control due to its advantages of fast learning, reasonable generalization capability and robust noise resistance. But, few studies have been reported in using a CMAC NN scheme for forecasting problems. To improve the forecasting performance, this paper presents an efficient CMAC NN scheme. The proposed CMAC NN scheme employs a high quantization resolution and a large generalization size to reduce generalization error, and uses an efficient and fast hash coding to accelerate many-to-few mappings. The forecasting results and robustness evaluation of the proposed CMAC NN scheme were compared with those of a support vector regression (SVR) and a back-propagation neural network (BPNN). Experimental results from Nikkei 225 and Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) closing indexes show that the performance of the proposed CMAC NN scheme was superior to the SVR and BPNN models.     

Forecasting output of integrated circuit industry by support vector regression models with marriage honey-bees optimization algorithms

Integrated circuit (IC) is a vital component of most electronic commodity. IC manufacturing in Taiwan is booming, with revenues from the ICs industry having grown significantly in the recent years. Given the nature of technology, capital intensity and high value-added, accurate forecasting of IC the industry output can improve the competitivity of IC cooperation. Support vector regression (SVR) is an emerging forecasting scheme that has been successfully adopted in many time-series forecasting areas. Additionally, the data preprocessing procedure and the determination of SVR parameters significantly impact the forecasting accuracy of SVR models. Thus, this work develops a support vector regression model with scaling preprocessing and marriage in honey-bee optimization (SVRSMBO) model to accurately forecast IC industry output. The scaling preprocessing procedure is utilized to lower the fluctuation of input data, and the marriage in honey-bees optimization (MBO) algorithm is adopted to determine the three parameters of the SVR model. Numerical data collected from the previous literature are used to demonstrate the performance of the proposed SVRSMBO model. Simulation results indicate that the SVRSMBO model outperforms other forecasting models. Hence, the SVRSMBO model is a promising means of forecasting IC industry output.     

基于SVR的金融时间序列预测

介绍了支持向量回归的建模原理及常用版本,详细探讨了利用支持向量回归方法建立金融时间序列预测模型,进行单步预测和多步预测的步骤。将它们应用到我国上证180指数预测中,并且比较了它们的预测性能。数值实验表明,SVR方法对非平稳的金融时间序列具有良好的建模和泛化能力。特别是LS-SVR用等式约束代替传统支持向量机中不等式约束,使求解过程从解QP问题变成解一组等式方程,因此学习速度更快,并具有更好的预测效果。     

Combining seasonal ARIMA models with computational intelligence techniques for time series forecasting

Seasonal autoregressive integrated moving average (SARIMA) models form one of the most popular and widely used seasonal time series models over the past three decades. However, in several researches it has been argued that they have two basic limitations that detract from their popularity for seasonal time series forecasting tasks. SARIMA models assume that future values of a time series have a linear relationship with current and past values as well as with white noise; therefore, approximations by SARIMA models may not be adequate for complex nonlinear problems. In addition, SARIMA models require a large amount of historical data to produce desired results. However, in real situations, due to uncertainty resulting from the integral environment and rapid development of new technology, future situations must be forecasted using small data sets over a short span of time. Using hybrid models or combining several models has become a common practice to overcome the limitations of single models and improve forecasting accuracy. In this paper, a new hybrid model, which combines the seasonal autoregressive integrated moving average (SARIMA) and computational intelligence techniques such as artificial neural networks and fuzzy models for seasonal time series forecasting is proposed. In the proposed model, these two techniques are applied to simultaneously overcome the linear and data limitations of SARIMA models and yield more accurate results. Empirical results of forecasting two well-known seasonal time series data sets indicate that the proposed model exhibits effectively improved forecasting accuracy, so that it can be used as an appropriate seasonal time series model.     

基于AR_SVR模型的时间序列预测算法的研究

掌握农产品未来价格变化趋势,有利于正确引导农业生产,提出一种基于自回归与支持向量回归(auto regressive and support vector regression,AR_SVR)模型的非平稳时间序列预测方法.首先,利用AR模型对非平稳时间序列进行季节差分和差分,使其具有平稳性,然后给平稳序列定阶,最后用SVR模型拟合平稳序列,回推得出原始序列的预测值.实验结果表明,AR_SVR模型预测值与真实值很接近,具有较好的预测效果.