A variational mode decompoisition approach for analysis and forecasting of economic and financial time series

The empirical mode decomposition (EMD) has been successfully applied to adaptively decompose economic and financial time series for forecasting purpose. Recently, the variational mode decomposition (VMD) has been proposed as an alternative to EMD to easily separate tones of similar frequencies in data where the EMD fails. The purpose of this study is to present a new time series forecasting model which integrates VMD and general regression neural network (GRNN). The performance of the proposed model is evaluated by comparing the forecasting results of VMD-GRNN with three competing prediction models; namely the EMD-GRNN model, feedforward neural networks (FFNN), and autoregressive moving average (ARMA) process on West Texas Intermediate (WTI), Canadian/US exchange rate (CANUS), US industrial production (IP) and the Chicago Board Options Exchange NASDAQ 100 Volatility Index (VIX) time series are used for experimentations. Based on mean absolute error (MAE), mean absolute percentage error (MAPE), and the root mean of squared errors (RMSE), the analysis results from forecasting demonstrate the superiority of the VMD-based method over the three competing prediction approaches. The practical analysis results suggest that VMD is an effective and promising technique for analysis and prediction of economic and financial time series.     

一种新型灰色预测模型在陀螺漂移预测中的应用研究

针对某型导弹的陀螺漂移趋势预测问题,提出1种基于经验模态分解（EMD）的新型灰色支持向量回归预测模型。该模型通过运用经验模态分解算法将陀螺漂移数据趋势项和随机项进行分离,然后分别运用灰色GM（1,1）和支持向量回归算法对这2种数据进行预测,最后将预测结果进行重构得出最终的预测值。给出了这种算法的具体步骤并将其应用到某型导弹陀螺漂移的预测中,仿真试验结果表明这种预测模型的有效性和可行性。     

基于经验模态分解的混合软件可靠性预测模型

基于经验模态分解结合支持向量回归算法与灰色系统理论提出一种混合软件可靠性预测模型,通过对原始软件失效数据使用经验模态分解方法进行预处理,将失效数据分解得到不同频段的本征模态分量和剩余分量,用支持向量回归算法对本征模态分量进行预测,用灰色系统模型GM（1,1）对剩余分量进行预测,然后将预测结果进行重构,得到最终软件可靠性预测值。为了验证所提混合预测模型的有效性,利用两组真实软件失效数据,与SVR可靠性预测模型和GM（1,1）可靠性预测模型进行实验对比分析,实验结果表明,所提混合预测模型较这两种可靠性预测模型具有更精确的预测精度。     

核k均值RBFNN的煤与瓦斯突出预测研究

针对BPNN模型在煤与瓦斯突出预测中存在收敛慢、误差较大等问题,建立了RBFNN模型对煤与瓦斯突出进行预测。采用对样本具有普适性的核k均值聚类算法来确定RBF的中心、梯度下降自适应算法优化网络宽度参数和递推最小二乘法算法调整网络权值。并用国内煤矿的煤与瓦斯突出实测数据对该混合算法及模型进行了验证。实验结果表明,本研究的方法在预测精度和收敛速度上均优于BPNN和基于经典k均值聚类算法的RBFNN,具有良好的实用性和有效性。     

计及光伏及风电并网的电力系统短期负荷预测

为提升光伏、风电等分布式能源大量接入电网后短期电力负荷的预测精度,促进电网消纳能力提升,本文对光伏出力及短期用电负荷采用小波——径向基函数(RBF)神经网络预测方法;对风力发电首先利用总体平均经验模态分解(EEMD)方法对其功率数据分解,再采用BP神经网络、RBF神经网络、小波神经网络、ELMAN神经网络四种神经网络预测方法进行预测,并用粒子群算法(PSO)和灰色关联度(GRA)修正。最后,利用等效负荷的概念,分析光伏、风力发电并网对于短期电力负荷预测的影响,并将三种模型有效结合,得到了考虑光伏及风力发电并网的电力系统短期负荷预测的等效负荷预测模型。实例分析表明,本文所提方法相较于其他方法在该预测项目上具有相对更高的预测精度。     

EMD与NARX神经网络的风电场总功率组合预测

探索构建对风电场总功率进行直接预测的高精度组合预测算法。考虑到风速的非平稳性导致风电总功率表现为非平稳时间序列,采用NARX神经网络作为初步预测模型,提出了经验模态分解与NARX神经网络相结合的混合预测模型。对风电场总功率非平稳时间序列进行经验模态分解,得到不同频带本征模式分量的平稳序列。对不同频带的平稳分量建立相应的NARX神经网络预测模型,并将各分量模型的预测值进行等权求和得到最终预测值。此外,为研究不同时间间隔对预测结果的影响,采用某大型风电场时间间隔为5 min与15 min的数据进行实验。预测结果表明,提出的组合预测模型适合于总功率预测,其预测效果比传统模型的效果更佳,且时间间隔为5 min的数据比时间间隔为15 min的数据预测精度更高。     

Forecasting wind speed using empirical mode decomposition and Elman neural network

Because of the chaotic nature and intrinsic complexity of wind speed, it is difficult to describe the moving tendency of wind speed and accurately forecast it. In our study, a novel EMD–ENN approach, a hybrid of empirical mode decomposition (EMD) and Elman neural network (ENN), is proposed to forecast wind speed. First, the original wind speed datasets are decomposed into a collection of intrinsic mode functions (IMFs) and a residue by EMD, yielding relatively stationary sub-series that can be readily modeled by neural networks. Second, both IMF components and residue are applied to establish the corresponding ENN models. Then, each sub-series is predicted using the corresponding ENN. Finally, the prediction values of the original wind speed datasets are calculated by the sum of the forecasting values of every sub-series. Moreover, in the ENN modeling process, the neuron number of the input layer is determined by a partial autocorrelation function. Four prediction cases of wind speed are used to test the performance of the proposed hybrid approach. Compared with the persistent model, back-propagation neural network, and ENN, the simulation results show that the proposed EMD–ENN model consistently has the minimum statistical error of the mean absolute error, mean square error, and mean absolute percentage error. Thus, it is concluded that the proposed approach is suitable for wind speed prediction.     

基于C# .NET与Matlab接口和BP网络的汽车产量预测

为了提高软件预测系统的开发效率和精度,研究了误差反向传播神经网络(Error Back Propagation Neural Network,BPNN)在Matlab 2006a环境下的实现方法,采用迭代法选择神经网络训练参数。探讨了Matlab与C# .NET开发平台的接口技术,能成功实现C# .NET对Matlab神经网络工具箱的调用。以汽车产量预测为应用案例,开发了基于C# .NET和Matlab接口的神经网络预测系统。实验结果表明,该预测系统对汽车产量预测有着良好性能,接口技术的应用提高了软件开发效率。     

基于FCGA和改进LSTM-BPNN的燃气负荷预测

准确的燃气负荷预测对于城市合理供应和调度能源起着非常重要的作用.由于燃气负荷数据本身具有周期性,随机性的复杂特点以及单阶段单预测模型的局限性,本文提出了一种基于模糊编码遗传算法(Fuzzy Coding of Genetic Algorithms,FCGA)和改进的LSTM-BPNN残差修正模型的多阶段混合模型.首先第一阶段先用LSTM进行燃气负荷初步预测,然后计算出燃气负荷残差值,第二阶段先用BPNN去预测残差值,然后用Adam自适应学习率算法在学习过程中自动调节LSTM-BPNN残差模型的学习率,加快拟合速度,接着用模糊编码遗传算法去优化BPNN的初始权重和阈值,以便寻找到全局最优解.最后把两阶段的预测值和作为最终的燃气负荷预测值.通过对比实验得出,本文模型比单模型,原始两阶段预测模型得到了更高的预测准确率.     

Developing and assessing an intelligent forex rolling forecasting and trading decision support system for online e‐service

An effective foreign exchange (forex) trading decision is usually dependent on effective forex forecasting. In this study, an intelligent system framework integrating forex forecasting and trading decision is first proposed. Based on this framework, an advanced intelligent decision support system (DSS) incorporating a back‐propagation neural network (BPNN)‐based forex forecasting subsystem and Web‐based forex trading decision support subsystem is developed, which has been used to predict the directional change of daily forex rates and provide intelligent online decision support for financial institutions and individual investors. This article describes the forex forecasting and trading decision method, the system architecture, main functions, and operation of the developed DSS system. A comparative study is conducted between our developed system and others commonly used in order to assess the overall performance of the developed system. The assessment results show that our developed DSS outperforms some commonly used forex forecasting and trading decision systems and can provide intelligent e‐service for forex traders to make useful trading decisions in the forex market. © 2007 Wiley Periodicals, Inc. Int J Int Syst 22: 475–499, 2007.     

基于EMD和LS-SVM的非平稳振动信号趋势预测

镇动信号的趋势预测是设备状态监测与故障诊断中的一个重要内容。随着运行设备的非线性、非平稳特点越来越明显,传统的数学建摸预报方法已不能满足设备的复杂化和现代化要求。提出了一种基于经验模式分解EMD（Empirical Mode Decomposition）和最小二乘支持向量机LS-SVM（Least Square Support Vector Machine）的新模型。首先,运用 EMD 将趋势时间序列自适应地分解成一系列不同尺度的本征模式分量IMF（intrinsic mode function）;其次,对每个本征模式分量,采用合适的核函数和超参数构造不同的LS-SVM 进行预测;最后对各分量的预测值进行拟合得到最终的预测值。仿真实验表明,此方法与单一的LS-SVM预测法相比,具有较高的精度和较强的推广能力。     

基于加权K-Means和局部BPNN的票房预测模型

电影作为典型的短周期、体验型产品,其票房收益受众多因素的共同影响,因此对其票房进行预测较为困难.本文主要构建了一种基于加权K-均值以及局部BP神经网络（BPNN）的票房预测模型对目前的票房预测模型存在的不足进行改进,从而提高票房预测的精度：（1）构建基于随机森林的影响因素影响力测量模型,并以此为依据对票房影响因素进行筛选,以此来简化后续预测模型的输入;（2）考虑到不同影响因素对票房的影响力不同的现实情况,为了解决以往研究中对影响因素权重平均分配的问题,本文构建了基于加权K-均值和局部BP神经网络的票房预测模型,以因素影响力为依据对样本数据进行加权的K-均值聚类,并基于子样本构建局部BP神经网络模型进行票房预测.实验证明,本文所构建的模型平均绝对百分比误差（MAPE）为8.49%,低于对比实验的10.39%,可以看出本文构建的基于加权K-均值以及局部BP神经网络的票房预测模型的预测结果要优于对比模型的预测结果.     

Short-term wind power prediction using differential EMD and relevance vector machine

As a renewable energy source, wind turbine generators are considered to be important generation alternatives in electric power systems because of their nonexhaustible nature. With the increase in wind power penetration, wind power forecasting is crucially important for integrating wind power in a conventional power grid. In this paper, a short-term wind power output prediction model is presented from raw data of wind farm, and prediction of short-term wind power is implemented using differential empirical mode decomposition (EMD) and relevance vector machine (RVM). The differential EMD method is used to decompose the wind farm power to several detail parts associated with high frequencies [intrinsic mode function (IMF)] and an approximate part associated with low frequencies (r). Then, RVM is used to predict both the IMF components and the r. Finally, the short-term wind farm power is forecasted by summing the RVM-based prediction of both the IMF components and the r. Simulation results have shown that the proposed short-term wind power prediction method has good performance.     

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.     

A self-adaptive data analysis for fault diagnosis of an automotive air-conditioner blower

This paper presents a fault diagnosis system for an automotive air-conditioner blower based on a noise emission signal using a self-adaptive data analysis technique. The proposed diagnosis system consists of feature extraction using the empirical mode decomposition (EMD) method and fault classification using the artificial neural network technique. The EMD method has been developed quite recently to adaptively decompose the non-stationary and non-linear signals. It sifts the complex signal of time series without losing its original properties and then obtains some useful intrinsic mode function (IMF) components. Calculating the energy of each component can reduce the computation dimensions and enhance classification performance. These energy features of various fault conditions are used as inputs to train the artificial neural network. In the fault classification, the probabilistic neural network (PNN) is used to verify the performance of the proposed system and compare with the traditional technique, back-propagation neural network (BPNN). The experimental results indicated the proposed technique performed well for quickly and accurately estimating fault conditions.     

支持向量机与神经网络相结合的板带凸度预测

为提高热轧生产过程中板带凸度的预测精度,提出了一种将粒子群优化算法(particle swarm optimization, PSO)、支持向量回归(support vector regression, SVR)和BP神经网络(back propagation neural network, BPNN)相结合的板带凸度预测模型。采用PSO算法优化SVR模型的参数,建立了PSO-SVR板带凸度预测模型,提出采用BPNN建立板带凸度偏差模型与PSO-SVR板带凸度模型相结合的方法对板带凸度进行预测。采用现场数据对模型的预测精度进行验证,并采用统计指标评价模型的综合性能。仿真结果表明,与PSO-SVR、SVR、BPNN和GA-SVR模型进行比较,PSO-SVR+BPNN模型具有较高的学习能力和泛化能力,并且比GA-SVR模型运算时间短。     

基于粒子群优化和支持向量机的花粉浓度预测模型

为了提高花粉浓度预报的准确率，解决现有花粉浓度预报准确率不高的问题，提出了一种基于粒子群优化（PSO）算法和支持向量机（SVM）的花粉浓度预报模型。首先，综合考虑气温、气温日较差、相对湿度、降水量、风力、日照时数等多种气象要素，选择与花粉浓度相关性较强的气象要素构成特征向量；其次，利用特征向量与花粉浓度数据建立SVM预测模型，并使用PSO算法找出最优参数；然后利用最优参数优化花粉浓度预测模型；最后，使用优化后的模型对花粉未来24 h浓度进行预测，并与未优化的SVM、多元线性回归法（MLR）、反向神经网络（BPNN）作对比。此外使用优化后的模型对某市南郊观象台和密云两个站点进行逐日花粉浓度预测。实验结果表明，相比其他预报方法，所提方法能有效提高花粉浓度未来24 h预测精度，并具有较高的泛化能力。     

Improving project-profit prediction using a two-stage forecasting system

Accurate project-profit prediction is a crucial issue because it can provide an early feasibility estimate for the project. In order to achieve accurate project-profit prediction, this study developed a novel two-stage forecasting system. In stage one, the proposed forecasting system adopts fuzzy clustering technology, fuzzy c-means (FCM) and kernel fuzzy c-means (KFCM), for the correct grouping of different projects. In stage two, least-squares support vector regression (LSSVR) technology is employed for forecasting the project-profit in different project groups, respectively. Moreover, genetic algorithms (GA) were simultaneously used to select the parameters of the LSSVR. The project data come from a real enterprise in Taiwan. In this study, some forecasting methodologies are also compared, for instance Generalized Regression Neural Network (GRNN), Radial Basis Function Neural Networks (RBFNN), and Back Propagation Neural Network (BPNN), to predict project-profit in this real case. Empirical results indicate that the two-stage forecasting system (FCM+LSSVR and KFCM+LSSVR) has superior performance in terms of forecasting accuracy, compared to other methods. Furthermore, in observing the results of the two-stage forecasting system, it can be seen that FCM+LSSVR can achieve superior performance, and KFCM+LSSVR can achieve consistently good performance. Therefore, based on the empirical results, the two-stage forecasting system was verified to efficiently provide credible predictions for project-profit forecasting.     

基于集成深度学习算法的燃气负荷预测方法

燃气负荷预测受到社会经济、天气因素、日期类型等多种复杂因素的影响,而多因素的共同作用则必然会导致燃气负荷序列变化趋势具有很大的随机性以及一定程度上的复杂性.为了有效提高燃气负荷预测的精度,本文提出了一种新型的集成深度算法来对燃气负荷进行多步预测.首先通过EEMD算法将非平稳非线性的负荷序列分解为若干个稳态且线性的本征模式分量及剩余项,有效的避免了传统EMD带来的模态混叠问题,然后将负荷数据的影响因素输入到AutoEncoder中进行特征提取并做非线性降维处理,再将EEMD分解得到的每个子序列分别与AutoEncoder提取到的特征序列组成不同的训练矩阵,最后针对不同的子序列对应的训练矩阵建立相应的LSTM预测模型,重构分量预测值得到最终预测结果.为了验证所提出算法的有效性和预测性能,使用上海燃气数据来进行上述模型的仿真实验,结果证明相较对比方法,预测精度有了明显的提高.     

Empirical Mode Decomposition based ensemble deep learning for load demand time series forecasting

Load demand forecasting is a critical process in the planning of electric utilities. An ensemble method composed of Empirical Mode Decomposition (EMD) algorithm and deep learning approach is presented in this work. For this purpose, the load demand series were first decomposed into several intrinsic mode functions (IMFs). Then a Deep Belief Network (DBN) including two restricted Boltzmann machines (RBMs) was used to model each of the extracted IMFs, so that the tendencies of these IMFs can be accurately predicted. Finally, the prediction results of all IMFs can be combined by either unbiased or weighted summation to obtain an aggregated output for load demand. The electricity load demand data sets from Australian Energy Market Operator (AEMO) are used to test the effectiveness of the proposed EMD-based DBN approach. Simulation results demonstrated attractiveness of the proposed method compared with nine forecasting methods.