arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2007.15159cs.LGstat.ML
收藏

层次时间序列的结构正则化预测及其在人工神经网络中的应用

Prediction of hierarchical time series using structured regularization and its application to artificial neural networks

University of Tsukuba(筑波大学);Fujitsu Laboratories Ltd.(富士通实验室有限公司)

Tomokaze Shiratori, Ken Kobayashi, Yuichi Takano

摘要:

本文讨论了层次时间序列的预测,其中每个上层时间序列是通过求和适当的下层时间序列计算的。对这种层次时间序列的预测应该是一致的,这意味着对上层时间序列的预测等于对相应下层时间序列的预测之和。以前的方法,使连贯的预测包括两个阶段:第一计算基础(不连贯)的预测,然后调和这些预测的基础上,其固有的层次结构。为了改善时间序列预测,我们提出了一种结构化正则化方法,同时完成这两个阶段。该方法基于底层时间序列的预测模型,并使用结构化正则化项将上层预测纳入预测模型。我们还开发了一个反向传播算法专门应用我们的方法,人工神经网络的时间序列预测。使用合成和真实世界的数据集的实验结果表明,我们的方法在预测精度和计算效率方面的优越性。

英文摘要:

This paper discusses the prediction of hierarchical time series, where each upper-level time series is calculated by summing appropriate lower-level time series. Forecasts for such hierarchical time series should be coherent, meaning that the forecast for an upper-level time series equals the sum of forecasts for corresponding lower-level time series. Previous methods for making coherent forecasts consist of two phases: first computing base (incoherent) forecasts and then reconciling those forecasts based on their inherent hierarchical structure. With the aim of improving time series predictions, we propose a structured regularization method for completing both phases simultaneously. The proposed method is based on a prediction model for bottom-level time series and uses a structured regularization term to incorporate upper-level forecasts into the prediction model. We also develop a backpropagation algorithm specialized for application of our method to artificial neural networks for time series prediction. Experimental results using synthetic and real-world datasets demonstrate the superiority of our method in terms of prediction accuracy and computational efficiency.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑