Piecewise Time Series Prediction Based on Stacked Long Short-Term Memory and Genetic Algorithm

摘要

Time series prediction is an active area and attracts the attention of researchers from lots of fields. With the expansion of the application of time series forecasting in the real world, many traditional methods that predicted time series with a few data are no longer applicable. Motivated by the demand of accurate prediction, we come up with the piecewise time series prediction model combining stacked long short-term memory network with genetic algorithm. Stacked long short-term memory network (LSTM) is an advanced sequence learning technology. We divide the time series into several segments and then use the stacked LSTM trained on the previous segment to predict the next segment to realize online prediction. The parameters of the stacked LSTM for each segment prediction are optimized by improved genetic algorithm. For purpose of demonstrating the feasibility and effectivity of the proposed model, we carry out simulation experiments on basis of a hybrid benchmark chaotic time series and a real-world dataset of the hourly ozone concentration. Experimental results demonstrate that the proposed model can automatically select the proper structure according to the data, which avoids the structure being too redundant or too simple. Furthermore, it can improve the prediction accuracy of time series and has good practicability.