Research on combined model based on multi-objective optimization and application in time series forecast

From a macro perspective, futures index of agricultural products can reflect the trend of macroeconomy and can also have an early warning effect on the possible crisis and provide a reference for the government’s economic forecast and macro control. Therefore, it is necessary to strengthen the research on early warning and prediction of agricultural futures price. For the prediction of futures price, there are two kinds of common models: one is the traditional classic time series model, and the other is the neural network model under the wave of artificial intelligence. This paper selects the 1976 closing data of agricultural futures index from January 10, 2012, to February 27, 2020, and uses the time series differential autoregressive integrated moving average model (ARIMA model) and long short-term memory model (LSTM model) to study this work, respectively, and compares the predicted effects of the two models in some metrics. Based on the predicted results of the two models, a simple trading strategy is established, and the trading effects of the two models are compared. The results show that the LSTM model has obvious advantage over ARIMA time series model in the price index prediction of agricultural futures market.

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“…The root mean square error is used to measure the effectiveness of the prediction model. The calculation formula is as follows [ 33 – 39 ]:

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Section: Resultsmentioning

confidence: 99%

[Retracted] Application of Improved LSTM Algorithm in Macroeconomic Forecasting

Chen

Han

Shen

2021

Computational Intelligence and Neuroscience

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“…These results shows that the approach considered as a heterogeneous ensemble of components is more accurate than other approaches that consider the same model for all IMF and residual, to forecast the number of meningitis cases one, two and three-month-ahead of time. According to Zhang et al [77] , this effectiveness is associated with the diversity used by the heterogeneous ensemble approach, which is an efficient and simple way to perfect forecasting accuracy and stability (lower standard deviation of the errors). Faced with this, it makes the predictive model more robust.…”

Section: Resultsmentioning

confidence: 99%

Multi-step ahead meningitis case forecasting based on decomposition and multi-objective optimization methods

Ribeiro

Mariani

Coelho

2020

Journal of Biomedical Informatics

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Epidemiological time series forecasting plays an important role in health public systems, due to its ability to allow managers to develop strategic planning to avoid possible epidemics. In this paper, a hybrid learning framework is developed to forecast multi-step-ahead (one, two, and three-month-ahead) meningitis cases in four states of Brazil. First, the proposed approach applies an ensemble empirical mode decomposition (EEMD) to decompose the data into intrinsic mode functions and residual components. Then, each component is used as the input of five different forecasting models, and, from there, forecasted results are obtained. Finally, all combinations of models and components are developed, and for each case, the forecasted results are weighted integrated (WI) to formulate a heterogeneous ensemble forecaster for the monthly meningitis cases. In the final stage, a multi-objective optimization (MOO) using the Non-Dominated Sorting Genetic Algorithm – version II is employed to find a set of candidates’ weights, and then the Technique for Order of Preference by similarity to Ideal Solution (TOPSIS) is applied to choose the adequate set of weights. Next, the most adequate model is the one with the best generalization capacity out-of-sample in terms of performance criteria including mean absolute error (MAE), relative root mean squared error (RRMSE), and symmetric mean absolute percentage error (sMAPE). By using MOO, the intention is to enhance the performance of the forecasting models by improving simultaneously their accuracy and stability measures. To access the model’s performance, comparisons based on metrics are conducted with: (i) EEMD, heterogeneous ensemble integrated by direct strategy, or simple sum; (ii) EEMD, homogeneous ensemble of components WI; (iii) models without signal decomposition. At this stage, MAE, RRMSE, and sMAPE criteria as well as Diebold–Mariano statistical test are adopted. In all twelve scenarios, the proposed framework was able to perform more accurate and stable forecasts, which showed, on 89.17% of the cases, that the errors of the proposed approach are statistically lower than other approaches. These results showed that combining EEMD, heterogeneous ensemble and WI with weights obtained by optimization can develop precise and stable forecasts. The modeling developed in this paper is promising and can be used by managers to support decision making.

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“…Even if the idea of classification is used to simplify the problem, these algorithms still need to calculate the GDOP value of each satellite subset from all possible subsets. 34 Besides, this classification thought can only roughly classify crucial values of each satellite subset to an approximate range.…”

Section: Related Workmentioning

confidence: 99%

A navigation satellite selection algorithm for optimized positioning based on Gibbs sampler

Xia

Zhi

et al. 2020

International Journal of Distributed Sensor Networks

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In various applications of satellite navigation and positioning, it is a key topic to select suitable satellites for positioning solutions to reduce the computational burden of the receiver in satellite selection system. Moreover, in order to reduce the processing burden of receivers, the satellite selection algorithm based on Gibbs sampler is proposed. First, the visible satellites are randomly sampled and divided into a group. The group is regarded as an initial combination selection scheme. Then, the geometric dilution of precision is chosen as an objective function to evaluate the scheme’s quality. In addition, the scheme is updated by the conditional probability distribution model of the Gibbs sampler algorithm, and it gradually approaches the global optimal solution of the satellite combination with better geometric distribution of the space satellite. Furthermore, an “adaptive perturbation” strategy is introduced to improve the global searching ability of the algorithm. Finally, the extensive experimental results demonstrate that when the number of selected satellite is more than 6, the time that the proposed algorithm with the improvement of “adaptive perturbation” takes to select satellite once is 43.7% of the time that the primitive Gibbs sampler algorithm takes. And its solutions are always 0.1 smaller than the related algorithms in geometric dilution of precision value. Therefore, the proposed algorithm can be considered as a promising candidate for satellite navigation application systems.

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Research on combined model based on multi-objective optimization and application in time series forecast

Cited by 16 publications

References 63 publications

[Retracted] Application of Improved LSTM Algorithm in Macroeconomic Forecasting

[Retracted] Application of Improved LSTM Algorithm in Macroeconomic Forecasting

Multi-step ahead meningitis case forecasting based on decomposition and multi-objective optimization methods

A navigation satellite selection algorithm for optimized positioning based on Gibbs sampler

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