ANFIS_unfolded_in_time for multivariate time series forecasting

摘要

This paper proposes a temporal neuro-fuzzy system named ANFIS_unfolded_in_time which is designed to provide an environment that keeps temporal relationships between the variables and to forecast the future behavior of data by using fuzzy rules. It is a modification of ANFIS neuro-fuzzy model. The rule base of ANFIS_unfolded_in_time contains temporal TSK(Takagi-Sugeno-Kang) fuzzy rules. In the training phase, back-propagation learning algorithm is used. The system takes the multivariate data and the number of lags needed to construct the unfolded model in order to describe a variable and predicts the future behavior. Computer simulations are performed by using real multivariate data and a benchmark problem (Gas Furnace Data). Experimental results show that the proposed model achieves online learning and prediction on temporal data. The results are compared with the results of ANFIS.