Error-feedback stochastic modeling strategy for time series forecasting
with convolutional neural networks
- URL: http://arxiv.org/abs/2002.00717v2
- Date: Fri, 11 Feb 2022 14:02:34 GMT
- Title: Error-feedback stochastic modeling strategy for time series forecasting
with convolutional neural networks
- Authors: Xinze Zhang, Kun He, Yukun Bao
- Abstract summary: We propose a novel Error-feedback Modeling (ESM) strategy to construct a random Convolutional Network (ESM-CNN) Neural time series forecasting task.
The proposed ESM-CNN not only outperforms the state-of-art random neural networks, but also exhibits stronger predictive power and less computing overhead in comparison to trained state-of-art deep neural network models.
- Score: 11.162185201961174
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: Despite the superiority of convolutional neural networks demonstrated in time
series modeling and forecasting, it has not been fully explored on the design
of the neural network architecture and the tuning of the hyper-parameters.
Inspired by the incremental construction strategy for building a random
multilayer perceptron, we propose a novel Error-feedback Stochastic Modeling
(ESM) strategy to construct a random Convolutional Neural Network (ESM-CNN) for
time series forecasting task, which builds the network architecture adaptively.
The ESM strategy suggests that random filters and neurons of the error-feedback
fully connected layer are incrementally added to steadily compensate the
prediction error during the construction process, and then a filter selection
strategy is introduced to enable ESM-CNN to extract the different size of
temporal features, providing helpful information at each iterative process for
the prediction. The performance of ESM-CNN is justified on its prediction
accuracy of one-step-ahead and multi-step-ahead forecasting tasks respectively.
Comprehensive experiments on both the synthetic and real-world datasets show
that the proposed ESM-CNN not only outperforms the state-of-art random neural
networks, but also exhibits stronger predictive power and less computing
overhead in comparison to trained state-of-art deep neural network models.
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