Evolving time-lagged feedforward neural networks for time series forecasting

• Main Author: Peralta Donate, Juan
• Publication Date: 2011
• Other Authors: Cortez, Paulo, Gutierrez Sanchez, German, Sanchis de Miguel, Araceli
• Language: eng
• Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
• Download full: http://hdl.handle.net/1822/14849
• topic: Connectionism and neural nets; Hybrid systems; artificial neural networks; estimation distribution algorithm; forecasting; time series

Time Series Forecasting (TSF) is an important tool to sup- port both individual and organizational decisions. In this work, we propose a novel automatic Evolutionary Time- Lagged Feedforward Network (ETLFN) approach for TSF, based on an Estimation Distribution Algorithm (EDA) that evolves not only Artificial Neural Network (ANN) parame- ters but also which set of time lags are fed into the fore- casting model. Such approach is compared with similar strategy that only selects ANN parameter and the conven- tional TSF ARIMA methodology. Several experiments were held by considering six time series from distinct domains. The obtained multi-step ahead forecasts were evaluated us- ing SMAPE error criteria. Overall, the proposed ETLFN method obtained the best forecasting results. Moreover, it favors simpler neural network models, thus requiring less computational effort.