Continuous ACO in a SVR Traffic Forecasting Model

2011 ◽  
pp. 410-417
Author(s):  
Wei-Chiang Samuelson Hong
Keyword(s):  
Time Series ◽  
Travel Time ◽  
Traffic Flow ◽  
Urban Traffic ◽  
Forecasting Model ◽  
Risk Minimization ◽  
Minimization Principle ◽  
Traffic Forecasting ◽  
Proposed Model ◽  
Fuel Costs

The effective capacity of inter-urban motorway networks is an essential component of traffic control and information systems, particularly during periods of daily peak flow. However, slightly inaccurate capacity predictions can lead to congestion that has huge social costs in terms of travel time, fuel costs and environment pollution. Therefore, accurate forecasting of the traffic flow during peak periods could possibly avoid or at least reduce congestion. Additionally, accurate traffic forecasting can prevent the traffic congestion as well as reduce travel time, fuel costs and pollution. However, the information of inter-urban traffic presents a challenging situation; thus, the traffic flow forecasting involves a rather complex nonlinear data pattern and unforeseen physical factors associated with road traffic situations. Artificial neural networks (ANNs) are attracting attention to forecast traffic flow due to their general nonlinear mapping capabilities of forecasting. Unlike most conventional neural network models, which are based on the empirical risk minimization principle, support vector regression (SVR) applies the structural risk minimization principle to minimize an upper bound of the generalization error, rather than minimizing the training errors. SVR has been used to deal with nonlinear regression and time series problems. This investigation presents a short-term traffic forecasting model which combines SVR model with continuous ant colony optimization (SVRCACO), to forecast inter-urban traffic flow. A numerical example of traffic flow values from northern Taiwan is employed to elucidate the forecasting performance of the proposed model. The simulation results indicate that the proposed model yields more accurate forecasting results than the seasonal autoregressive integrated moving average (SARIMA) time-series model.

scholarly journals A Neutrosophic Forecasting Model for Time Series Based on First-Order State and Information Entropy of High-Order Fluctuation

Entropy ◽  
2019 ◽  
Vol 21 (5) ◽  
pp. 455 ◽  
Author(s):  
Hongjun Guan ◽  
Zongli Dai ◽  
Shuang Guan ◽  
Aiwu Zhao
Keyword(s):  
Time Series ◽  
Information Entropy ◽  
Stock Exchange ◽  
Time Series Forecasting ◽  
High Order ◽  
Stock Index ◽  
Neutrosophic Set ◽  
Forecasting Model ◽  
Forecasting Models ◽  
Proposed Model

In time series forecasting, information presentation directly affects prediction efficiency. Most existing time series forecasting models follow logical rules according to the relationships between neighboring states, without considering the inconsistency of fluctuations for a related period. In this paper, we propose a new perspective to study the problem of prediction, in which inconsistency is quantified and regarded as a key characteristic of prediction rules. First, a time series is converted to a fluctuation time series by comparing each of the current data with corresponding previous data. Then, the upward trend of each of fluctuation data is mapped to the truth-membership of a neutrosophic set, while a falsity-membership is used for the downward trend. Information entropy of high-order fluctuation time series is introduced to describe the inconsistency of historical fluctuations and is mapped to the indeterminacy-membership of the neutrosophic set. Finally, an existing similarity measurement method for the neutrosophic set is introduced to find similar states during the forecasting stage. Then, a weighted arithmetic averaging (WAA) aggregation operator is introduced to obtain the forecasting result according to the corresponding similarity. Compared to existing forecasting models, the neutrosophic forecasting model based on information entropy (NFM-IE) can represent both fluctuation trend and fluctuation consistency information. In order to test its performance, we used the proposed model to forecast some realistic time series, such as the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), the Shanghai Stock Exchange Composite Index (SHSECI), and the Hang Seng Index (HSI). The experimental results show that the proposed model can stably predict for different datasets. Simultaneously, comparing the prediction error to other approaches proves that the model has outstanding prediction accuracy and universality.

scholarly journals A Novel Fuzzy Time Series Forecasting Model Based on Multiple Linear Regression and Time Series Clustering

2020 ◽  
Vol 2020 ◽  
pp. 1-17
Author(s):  
Yanpeng Zhang ◽  
Hua Qu ◽  
Weipeng Wang ◽  
Jihong Zhao
Keyword(s):  
Time Series ◽  
Linear Regression ◽  
Multiple Linear Regression ◽  
Time Series Forecasting ◽  
High Order ◽  
Fuzzy Time Series ◽  
Forecasting Model ◽  
Time Series Clustering ◽  
Proposed Model ◽  
High Order Time

Time series forecasting models based on a linear relationship model show great performance. However, these models cannot handle the the data that are incomplete, imprecise, and ambiguous as the interval-based fuzzy time series models since the process of fuzzification is abandoned. This article proposes a novel fuzzy time series forecasting model based on multiple linear regression and time series clustering for forecasting market prices. The proposed model employs a preprocessing to transform the set of fuzzy high-order time series into a set of high-order time series, with synthetic minority oversampling technique. After that, a high-order time series clustering algorithm based on the multiple linear regression model is proposed to cluster dataset of fuzzy time series and to build the linear regression model for each cluster. Then, we make forecasting by calculating the weighted sum of linear regression models’ results. Also, a learning algorithm is proposed to train the whole model, which applies artificial neural network to learn the weights of linear models. The interval-based fuzzification ensures the capability to deal with the uncertainties, and linear model and artificial neural network enable the proposed model to learn both of linear and nonlinear characteristics. The experiment results show that the proposed model improves the average forecasting accuracy rate and is more suitable for dealing with these uncertainties.

A Causal Time-Series Model Based on Multilayer Perceptron Regression for Forecasting Taiwan Stock Index

2019 ◽  
Vol 18 (06) ◽  
pp. 1967-1987
Author(s):  
Tai-Liang Chen ◽  
Ching-Hsue Cheng ◽  
Jing-Wei Liu
Keyword(s):  
Time Series ◽  
Multilayer Perceptron ◽  
Stock Prices ◽  
Performance Indicator ◽  
Time Series Model ◽  
Stock Index ◽  
Forecasting Model ◽  
Critical Factors ◽  
Causality Test ◽  
Proposed Model

Stock forecasting technology is always a popular research topic because accurate forecasts allow profitable investments and social change. We postulate, based on past research, three major drawbacks for using time series in forecasting stock prices as follows: (1) a simple time-series model provides insufficient explanations for inner and external interactions of the stock market; (2) the variables of a time series behave in strict stationarity, but economic time-series are usually in a nonlinear or nonstationary state and (3) the forecasting factors of multivariable time-series are selected based on researcher’s knowledge, and such a method is a “subjective” way to construct a forecasting model. Therefore, this paper proposes a causal time-series model to select forecasting factors and builds a machine learning forecast model. The “Granger causality test” is utilized first in the proposed model to select the critical factors from technical indicators and market indexes; next, a “multilayer perceptron regression (MLPR)” is employed to construct a forecasting model. This paper collected financial data over a 13-year period (from 2003 to 2015) of the Taiwan stock index (TAIEX) as experimental datasets. Furthermore, the root mean square error (RMSE) was used as a performance indicator, and we use five forecasting models as comparison models. The results reveal that the proposed model outperforms the comparison models in forecasting accuracy and performs well for three key indicators. LAG1, S&P500 and DJIA, are critical factors in all 11 of our time sliding windows (T1–T11). We offer these results to investors to aid in their decision-making processes.

scholarly journals Fuzzy Time Series Forecasting Model based on Frequency Density and Similarity Measure Approach

2018 ◽  
Vol 7 (4.30) ◽  
pp. 281
Author(s):  
Nazirah Ramli ◽  
Siti Musleha Ab Mutalib ◽  
Daud Mohamad
Keyword(s):  
Time Series ◽  
Similarity Measure ◽  
Fuzzy Numbers ◽  
Historical Data ◽  
Fuzzy Time Series ◽  
Forecasting Model ◽  
Forecasting Accuracy ◽  
Forecasting Error ◽  
Proposed Model ◽  
Fuzzy Forecast

This paper proposes an enhanced fuzzy time series (FTS) prediction model that can keep some information under a various level of confidence throughout the forecasting procedure. The forecasting accuracy is developed based on the similarity between the fuzzified historical data and the fuzzy forecast values. No defuzzification process involves in the proposed method. The frequency density method is used to partition the interval, and the area and height type of similarity measure is utilized to get the forecasting accuracy. The proposed model is applied in a numerical example of the unemployment rate in Malaysia. The results show that on average 96.9% of the forecast values are similar to the historical data. The forecasting error based on the distance of the similarity measure is 0.031. The forecasting accuracy can be obtained directly from the forecast values of trapezoidal fuzzy numbers form without experiencing the defuzzification procedure.

scholarly journals Forecasting Model for Stock Market Based on Probabilistic Linguistic Logical Relationship and Distance Measurement

Symmetry ◽  
2020 ◽  
Vol 12 (6) ◽  
pp. 954
Author(s):  
Aiwu Zhao ◽  
Junhong Gao ◽  
Hongjun Guan
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Exchange ◽  
Forecasting Model ◽  
Historical Time ◽  
Logical Relationship ◽  
Probabilistic Linguistic Term Set ◽  
Time Series Dataset ◽  
Proposed Model ◽  
Linguistic Term

The fluctuation of the stock market has a symmetrical characteristic. To improve the performance of self-forecasting, it is crucial to summarize and accurately express internal fluctuation rules from the historical time series dataset. However, due to the influence of external interference factors, these internal rules are difficult to express by traditional mathematical models. In this paper, a novel forecasting model is proposed based on probabilistic linguistic logical relationships generated from historical time series dataset. The proposed model introduces linguistic variables with positive and negative symmetrical judgements to represent the direction of stock market fluctuation. Meanwhile, daily fluctuation trends of a stock market are represented by a probabilistic linguistic term set, which consist of daily status and its recent historical statuses. First, historical time series of a stock market is transformed into a fluctuation time series (FTS) by the first-order difference transformation. Then, a fuzzy linguistic variable is employed to represent each value in the fluctuation time series, according to predefined intervals. Next, left hand sides of fuzzy logical relationships between currents and their corresponding histories can be expressed by probabilistic linguistic term sets and similar ones can be grouped to generate probabilistic linguistic logical relationships. Lastly, based on the probabilistic linguistic term set expression of the current status and the corresponding historical statuses, distance measurement is employed to find the most proper probabilistic linguistic logical relationship for future forecasting. For the convenience of comparing the prediction performance of the model from the perspective of accuracy, this paper takes the closing price dataset of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) as an example. Compared with the prediction results of previous studies, the proposed model has the advantages of stable prediction performance, simple model design, and an easy to understand platform. In order to test the performance of the model for other datasets, we use the prediction of the Shanghai Stock Exchange Composite Index (SHSECI) to prove its universality.

The Application of Adaptive Kalman Filter in Traffic Flow Forecasting

2013 ◽  
Vol 680 ◽  
pp. 495-500 ◽  
Author(s):  
Jun Wei Gao ◽  
Zi Wen Leng ◽  
Bin Zhang ◽  
Xin Liu ◽  
Guo Qiang Cai
Keyword(s):  
Kalman Filter ◽  
Traffic Flow ◽  
Kalman Filtering ◽  
Intelligent Transportation System ◽  
Urban Traffic ◽  
Forecasting Model ◽  
Adaptive Kalman Filter ◽  
Forecasting Accuracy ◽  
Traffic Flow Forecasting ◽  
Noise Covariance

The urban traffic usually has the characteristics of time-variation and nonlinearity, real-time and accurate traffic flow forecasting has become an important component of the Intelligent Transportation System (ITS). The paper gives a brief introduction of the basic theory of Kalman filter, and establishes the traffic flow forecasting model on the basis of the adaptive Kalman filter, while the traditional Kalman filtering model has the shortcomings of lower forecasting accuracy and easily running into filtering divergence. The Sage&Husa adaptive filtering algorithm will appropriately estimate and correct the unknown or uncertain noise covariance, so as to improve the dynamic characteristics of the model. The simulation results demonstrate that the adaptive Kalman filtering forecasting model has stronger tracking capability and higher forecasting precision, which is applicable to the traffic flow forecasting.

The Forecasting of the Elevator Traffic Flow Time Series Based on ARIMA and GP

2012 ◽  
Vol 588-589 ◽  
pp. 1466-1471 ◽  
Author(s):  
Jun Fang Li ◽  
Qun Zong
Keyword(s):  
Time Series ◽  
Traffic Flow ◽  
Linear Models ◽  
Moving Average ◽  
Arima Model ◽  
Flow Time ◽  
Forecasting Model ◽  
Autoregressive Integrated Moving Average ◽  
Hybrid Forecasting ◽  
Artificial Neural Network Ann

As one of the conventional statistical methods, the autoregressive integrated moving average (ARIMA) model has been one of the most widely used linear models in time series forecasting. However, the ARIMA model cannot easily capture the nonlinear patterns. Artificial neural network (ANN) can be utilized to construct more accurate forecasting model than ARIMA for nonlinear time series, but it is difficult to explain the meaning of the hidden layers of ANN and it does not produce a mathematical equation. In this study, by combining ARIMA with genetic programming (GP), a hybrid forecasting model will be used for elevator traffic flow time series which can improve the accuracy both the GP and the ARIMA forecasting models separately. At last, simulations are adopted to demonstrate the advantages of the proposed ARIMA-GP forecasting model.

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