Multi-step prediction method for time series based on chaotic operator network

Xiu Chun-Bo; Xu Meng

doi:10.7498/aps.59.7650

Abstract

Combining the phase space reconstruction theory and the time series analysis theory, a prediction network applied to time series multi-step prediction is proposed. The network is constructed in the weight-sum form of some chaotic operators. Constant connections are adopted among the units. The control parameters of chaotic operators are adjusted by chaos optimization algorithm. The training samples, constructed by known time series data, are used in the training process only once, which makes the dynamic characteristics of the network change and tend to the predicted system with the lapse of time. The validity of the network can be proved by computing the Lyapunov exponent of prediction data. The multi-step predictions for engineering data are also realized by the method. Simulation results prove that the method could validly predict time series when the predictive step is not too long.

Keywords:

Authors and contacts

1.
School of Electrical Engineering and Automation, Tianjin Polytechnic University, Tianjin 300160, China

References

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Cited By

[1]	Yamin S A 2008 Economics Letters 101 6
[2]	Bec F, Alain G 2008 Journal of Econometrics 142 94
[3]	Michael J D, Martin S, Fabio S 2007 Journal of Econometrics 141 517
[4]	Wen X J 2007 Journal of System Simulation 19 1639 (in Chinese) [温晓君 2007 系统仿真学报 19 1639]
[5]	Zhang L Q, Shao C 2006 Journal of System Simulation 18 1593 (in Chinese)[张立权、邵诚 2006 系统仿真学报 18 1593]
[6]	Zhang Y, Guan W 2009 Acta Phys. Sin. 58 756 (in Chinese) [张勇、关伟 2009 物理学报 58 756]
[7]	Zhang Q L, Wang S T 2009 Acta Phys. Sin. 58 107 (in Chinese) [张钦礼、王士同 2009 物理学报 58 107]
[8]	Yang Y F, Ren X M, Qin W Y, Wu Y F, Zhi X Z 2008 Acta Phys. Sin. 57 6139 (in Chinese) [杨永锋、任兴民、秦卫阳、〖9] Wang G L, Yang P C, Mao Y Q 2008 Acta Phys. Sin. 57 714 (in Chinese)[王革丽、杨培才、毛宇清 2008 物理学报 57 714]
[9]	Ma Q L, Zheng Q L, Peng H, Qin J W 2009 Acta Phys. Sin. 58 1410 (in Chinese) [马千里、郑启伦、彭宏、覃姜维 2009 物理学报 58 1410]
[10]	Wang Y S, Sun J, Wang C J, Fan H D 2008 Acta Phys. Sin. 57 6120 (in Chinese)[王永生、孙瑾、王昌金、范洪达 2008 物理学报 57 6120]
[11]	Zhang J F, Hu S S 2007 Acta Phys. Sin. 56 713 (in Chinese) [张军峰、胡寿松 2007 物理学报 56 713]
[12]	He T, Zhou Z O 2007 Acta Phys. Sin. 56 693 (in Chinese) [贺涛、周正欧 2007 物理学报 56 693]

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Catalog

Vol. 59, Issue 11 - 2010-06-05

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