4.7 Article

Adaptive neural network model for time-series forecasting

Journal

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 207, Issue 2, Pages 807-816

Publisher

ELSEVIER
DOI: 10.1016/j.ejor.2010.05.022

Keywords

Time-series; Forecasting; Adaptive metrics; Neural networks

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In this study, a novel adaptive neural network (ADNN) with the adaptive metrics of inputs and a new mechanism for admixture of outputs is proposed for time-series prediction. The adaptive metrics of inputs can solve the problems of amplitude changing and trend determination, and avoid the over-fitting of networks. The new mechanism for admixture of outputs can adjust forecasting results by the relative error and make them more accurate. The proposed ADNN method can predict periodical time-series with a complicated structure. The experimental results show that the proposed model outperforms the auto-regression (AR), artificial neural network (ANN), and adaptive k-nearest neighbors (AKN) models. The ADNN model is proved to benefit from the merits of the ANN and the AKN through its' novel structure with high robustness particularly for both chaotic and real time-series predictions. (C) 2010 Elsevier B.V. All rights reserved.

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