期刊
NEUROCOMPUTING
卷 360, 期 -, 页码 107-119出版社
ELSEVIER
DOI: 10.1016/j.neucom.2019.05.023
关键词
Multivariate time series prediction; Periodic; Convolutional neural network; Periodic feature
资金
- National Key R&D Program of China [2018YFB1003401]
- National Outstanding Youth Science Program of National Natural Science Foundation of China [61625202, 61772182, 61802032]
- International (Regional) Cooperation and Exchange Program of National Natural Science Foundation of China [61661146006, 61860206011]
- National Natural Science Foundation of China [61602350]
- Singapore-China NRF -NSFC [NRF2016NRF-NSFC001-111]
- Open Foundation of Hubei Province Key Laboratory of Intelligent Information Processing and Real-time Industrial System [znxx2018MS01]
Multivariate time series prediction, with a profound impact on human social life, has been attracting growing interest in machine learning research. However, the task of time series forecasting is very challenging because it is affected by many complex factors. For example, in predicting traffic and solar power generation, weather can bring great trouble. In particular, for strictly periodic time series, if the periodic information can be extracted from the historical sequence data to the maximum, the accuracy of the prediction will be greatly improved. At present, for time series prediction tasks, the sequence models based on RNN have made great progress. However, the sequence models has difficulty in capturing global information, failing to well highlight the periodic characteristics of the time series. But the this problem can be solved by CNN models. So in this paper, we propose a model called Multiple CNNs to solve the problem of periodic multivariate time series prediction. The working process of Multiple CNNs is analyzing the periodicity of time series, extracting the closeness and the long and short periodic information of the predicted target respectively, and finally integrating the characteristics of the three parts to make the prediction. Moreover, the model is highly flexible, which allows users to freely adjust the cycle span set in the model according to their own data characteristics. Tests on two large real-world datasets, show that our model has a strong advantage over other time series prediction methods. (C) 2019 Elsevier B.V. All rights reserved.
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