125 resultados para Forecasting Volatility


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Extreme learning machine (ELM) is originally proposed for single- hidden layer feed-forward neural networks (SLFN). From the functional equivalence of fuzzy logic systems and SLFN, the fuzzy logic systems can be interpreted as a special case of SLFN under some mild conditions. Hence the fuzzy logic systems can be trained using SLFN's learning algorithms. Considering the same equivalence, ELM is utilized here to train interval type-2 fuzzy logic systems (IT2FLSs). Based on the working principle of the ELM, the parameters of the antecedent of IT2FLSs are randomly generated while the consequent part of IT2FLSs is optimized using Moore-Penrose generalized inverse of ELM. Application of the developed model to electricity load forecasting is another novelty of the research work. Experimental results shows better forecasting performance of the proposed model over the two frequently used forecasting models.

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Accurate and timely traffic flow prediction is crucial to proactive traffic management and control in data-driven intelligent transportation systems (D2ITS), which has attracted great research interest in the last few years. In this paper, we propose a Spatial-Temporal Weighted K-Nearest Neighbor model, named STW-KNN, in a general MapReduce framework of distributed modeling on a Hadoop platform, to enhance the accuracy and efficiency of short-term traffic flow forecasting. More specifically, STW-KNN considers the spatial-temporal correlation and weight of traffic flow with trend adjustment features, to optimize the search mechanisms containing state vector, proximity measure, prediction function, and K selection. urthermore, STW-KNN is implemented on a widely adopted Hadoop distributed computing platform with the MapReduce parallel processing paradigm, for parallel prediction of traffic flow in real time. inally, with extensive experiments on real-world big taxi trajectory data, STW-KNN is compared with the state-of-the-art prediction models including conventional K-Nearest Neighbor (KNN), Artificial Neural Networks (ANNs), Naïve Bayes (NB), Random orest (R), and C4.. The results demonstrate that the proposed model is superior to existing models on accuracy by decreasing the mean absolute percentage error (MAPE) value more than 11.9% only in time domain and even achieves 89.71% accuracy improvement with the MAPEs of between 4% and 6.% in both space and time domains, and also significantly improves the efficiency and scalability of short-term traffic flow forecasting over existing approaches.

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This paper presents a novel path planning method for minimizing the energy consumption of an autonomous underwater vehicle subjected to time varying ocean disturbances and forecast model uncertainty. The algorithm determines 4-Dimensional path candidates using Nonlinear Robust Model Predictive Control (NRMPC) and solutions optimised using A∗-like algorithms. Vehicle performance limits are incorporated into the algorithm with disturbances represented as spatial and temporally varying ocean currents with a bounded uncertainty in their predictions. The proposed algorithm is demonstrated through simulations using a 4-Dimensional, spatially distributed time-series predictive ocean current model. Results show the combined NRMPC and A∗ approach is capable of generating energy-efficient paths which are resistant to both dynamic disturbances and ocean model uncertainty.

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Electricity load forecasting has become one of the most functioning tools in energy efficiency and load management and utility companies which has been made very complex due to deregulation. Due to the importance of providing a secure and economic electricty for the consumers, having a reliable and robust enough forecast engine in short-term load management is very needful. Fuzzy inference system is one of primal branches of Artificial Intelligence techniques which has been widely used for different applications of decision making in complex systems. This paper aims to develop a Fuzzy inference system as a main forecast engine for Short term Load Forecasting (STLF) of a city in Iran. However, the optimization of this platform for this special case remains a basic problem. Hence, to address this issue, the Radial Movement Optimization (RMO) technique is proposed to optimize the whole Fuzzy platform. To support this idea, the accuracy of the proposed model is analyzed using MAPE index and an average error of 1.38% is obtained for the forecast load demand which represents the reliability of the proposed method. Finally, results achieved by this method, demonstrate that an adaptive two-stage hybrid system consisting of Fuzzy & RMO can be an accurate and robust enough choice for STLF problems.

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OBJECTIVE: Our study investigates different models to forecast the total number of next-day discharges from an open ward having no real-time clinical data.

METHODS: We compared 5 popular regression algorithms to model total next-day discharges: (1) autoregressive integrated moving average (ARIMA), (2) the autoregressive moving average with exogenous variables (ARMAX), (3) k-nearest neighbor regression, (4) random forest regression, and (5) support vector regression. Although the autoregressive integrated moving average model relied on past 3-month discharges, nearest neighbor forecasting used median of similar discharges in the past in estimating next-day discharge. In addition, the ARMAX model used the day of the week and number of patients currently in ward as exogenous variables. For the random forest and support vector regression models, we designed a predictor set of 20 patient features and 88 ward-level features.

RESULTS: Our data consisted of 12,141 patient visits over 1826 days. Forecasting quality was measured using mean forecast error, mean absolute error, symmetric mean absolute percentage error, and root mean square error. When compared with a moving average prediction model, all 5 models demonstrated superior performance with the random forests achieving 22.7% improvement in mean absolute error, for all days in the year 2014.

CONCLUSIONS: In the absence of clinical information, our study recommends using patient-level and ward-level data in predicting next-day discharges. Random forest and support vector regression models are able to use all available features from such data, resulting in superior performance over traditional autoregressive methods. An intelligent estimate of available beds in wards plays a crucial role in relieving access block in emergency departments.