scholarly journals Prediction Method of Multiple Related Time Series Based on Generative Adversarial Networks

Information ◽  
2021 ◽  
Vol 12 (2) ◽  
pp. 55
Author(s):  
Weijie Wu ◽  
Fang Huang ◽  
Yidi Kao ◽  
Zhou Chen ◽  
Qi Wu
Keyword(s):  
Time Series ◽  
Short Term Memory ◽  
Time Series Prediction ◽  
Interaction Matrix ◽  
Generative Adversarial Networks ◽  
Multiple Time ◽  
Adversarial Networks ◽  
Prediction Problems ◽  
Related Time Series ◽  
Temporal Dependencies

In multiple related time series prediction problems, the key is capturing the comprehensive influence of the temporal dependencies within each time series and the interactional dependencies between time series. At present, most time series prediction methods are difficult to capture the complex interaction between time series, which seriously affects the prediction results. In this paper, we propose a novel deep learning model Multiple Time Series Generative Adversarial Networks (MTSGAN) based on generative adversarial networks to solve this problem. MTSGAN is mainly composed of three components: interaction matrix generator, prediction generator, and time series discriminator. In our model, graph convolutional networks are used to extract interactional dependencies, and long short-term memory networks are used to extract temporal dependencies. Through the adversarial training between the generator and the discriminator, we enable the final prediction generator to generate prediction values that are very close to the true values. At last, we compare the prediction performance of the MTSGAN with other benchmarks on different datasets to prove the effectiveness of our proposed model, and we find that MTSGAN model consistently outperforms other state-of-the-art methods in the multiple related time series prediction problems.

scholarly journals Financial Time Series Prediction Based on XGBoost and Generative Adversarial Networks

2022 ◽  
Vol 16 ◽  
pp. 637-645
Author(s):  
Jialing Xu ◽  
Jingxing He ◽  
Jinqiang Gu ◽  
Huayang Wu ◽  
Lei Wang ◽  
...  
Keyword(s):  
Time Series ◽  
Prediction Accuracy ◽  
Financial Time Series ◽  
Time Series Prediction ◽  
Generative Adversarial Networks ◽  
Gradient Boosting ◽  
Financial Time ◽  
Adversarial Networks ◽  
Extreme Gradient Boosting ◽  
Gp Model

Considering the problems of the model collapse and the low forecast precision in predicting the financial time series of the generative adversarial networks (GAN), we apply the WGAN-GP model to solve the gradient collapse. Extreme gradient boosting (XGBoost) is used for feature extraction to improve prediction accuracy. Alibaba stock is taken as the research object, using XGBoost to optimize its characteristic factors, and training the optimized characteristic variables with WGAN-GP. We compare the prediction results of WGAN-GP model and classical time series prediction models, long short term memory (LSTM) and gate recurrent unit (GRU). In the experimental stage, root mean square error (RMSE) is chosen as the evaluation index. The results of different models show that the RMSE of WGAN-GP model is the smallest, which are 61.94% and 47.42%, lower than that of LSTM model and GRU model respectively. At the same time, the stock price data of Google and Amazon confirm the stability of WGAN-GP model. WGAN-GP model can obtain higher prediction accuracy than the classical time series prediction model.

scholarly journals LSTM-Based VAE-GAN for Time-Series Anomaly Detection

Sensors ◽  
2020 ◽  
Vol 20 (13) ◽  
pp. 3738
Author(s):  
Zijian Niu ◽  
Ke Yu ◽  
Xiaofei Wu
Keyword(s):  
Time Series ◽  
Anomaly Detection ◽  
Short Term Memory ◽  
Generative Adversarial Networks ◽  
Short Term ◽  
Term Memory ◽  
Adversarial Networks ◽  
Time Space ◽  
Detection Stage ◽  
Long Short Term Memory

Time series anomaly detection is widely used to monitor the equipment sates through the data collected in the form of time series. At present, the deep learning method based on generative adversarial networks (GAN) has emerged for time series anomaly detection. However, this method needs to find the best mapping from real-time space to the latent space at the anomaly detection stage, which brings new errors and takes a long time. In this paper, we propose a long short-term memory-based variational autoencoder generation adversarial networks (LSTM-based VAE-GAN) method for time series anomaly detection, which effectively solves the above problems. Our method jointly trains the encoder, the generator and the discriminator to take advantage of the mapping ability of the encoder and the discrimination ability of the discriminator simultaneously. The long short-term memory (LSTM) networks are used as the encoder, the generator and the discriminator. At the anomaly detection stage, anomalies are detected based on reconstruction difference and discrimination results. Experimental results show that the proposed method can quickly and accurately detect anomalies.

scholarly journals Predictive Error Compensating Wavelet Neural Network Model for Multivariable Time Series Prediction

TEM Journal ◽  
2021 ◽  
pp. 1955-1963
Author(s):  
Ajla Kulaglic ◽  
B. Berk Ustundag
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Time Series ◽  
Short Term Memory ◽  
Time Series Prediction ◽  
Wavelet Neural Network ◽  
Training Dataset ◽  
Lorenz Attractor ◽  
Predictive Error ◽  
Prediction Problems

Multivariable machine learning (ML) models are increasingly used for time series predictions. However, avoiding the overfitting and underfitting in ML-based time series prediction requires special consideration depending on the size and characteristics of the available training dataset. Predictive error compensating wavelet neural network (PEC-WNN) improves the time series prediction accuracy by enhancing the orthogonal features within a data fusion scheme. In this study, time series prediction performance of the PEC-WNNs have been evaluated on two different problems in comparison to conventional machine learning methods including the long short-term memory (LSTM) network. The results have shown that PECNET provides significantly more accurate predictions. RMSPE error is reduced by more than 60% with respect to other compared ML methods for Lorenz Attractor and wind speed prediction problems.

scholarly journals 2-D Convolutional Deep Neural Network for the Multivariate Prediction of Photovoltaic Time Series

Energies ◽  
2021 ◽  
Vol 14 (9) ◽  
pp. 2392
Author(s):  
Antonello Rosato ◽  
Rodolfo Araneo ◽  
Amedeo Andreotti ◽  
Federico Succetti ◽  
Massimo Panella
Keyword(s):  
Time Series ◽  
Short Term Memory ◽  
Time Series Prediction ◽  
Short Term ◽  
Neural Architecture ◽  
Network Layers ◽  
Learning Scheme ◽  
World Energy ◽  
Multivariate Prediction ◽  
Long Short Term Memory

Here, we propose a new deep learning scheme to solve the energy time series prediction problem. The model implementation is based on the use of Long Short-Term Memory networks and Convolutional Neural Networks. These techniques are combined in such a fashion that inter-dependencies among several different time series can be exploited and used for forecasting purposes by filtering and joining their samples. The resulting learning scheme can be summarized as a superposition of network layers, resulting in a stacked deep neural architecture. We proved the accuracy and robustness of the proposed approach by testing it on real-world energy problems.

scholarly journals Anomaly Detection for Time Series with Difference Rate Sample Entropy and Generative Adversarial Networks

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-13
Author(s):  
Keke Gao ◽  
Wenbin Feng ◽  
Xia Zhao ◽  
Chongchong Yu ◽  
Weijun Su ◽  
...  
Keyword(s):  
Time Series ◽  
Anomaly Detection ◽  
Normal Mode ◽  
Coal Mine ◽  
Spontaneous Combustion ◽  
Sample Entropy ◽  
Generative Adversarial Networks ◽  
Detection Accuracy ◽  
Gas Concentration ◽  
Adversarial Networks

The spontaneous combustion of residual coals in the mined-out area tends to cause an explosion, which is one kind of severe thermodynamic compound disaster of coal mines and leads to serious losses to people's lives and production safety. The prediction and early warning of coal mine thermodynamic disasters are mainly determined by the changes of the index gas concentration pattern in coal mine mined-out areas collected continuously. The time series anomaly pattern detection method is mainly used to reach the state change of gas concentration pattern. The change of gas concentration follows a certain rule as time changes. A great change in the gas concentration indicates the possibility of coal spontaneous combustion and other disasters. To emphasize the features of collected maker gas and overcome the low anomaly detection accuracy caused by the inadequate learning of the normal mode, this paper adopted a method of anomaly detection for time series with difference rate sample entropy and generative adversarial networks. Because the difference rate entropy feature of abnormal data was much larger than that of normal mode, this paper improved the calculation method of the abnormal score by giving different weights to the detection points to enhance the detection rate. To verify the effectiveness of the proposed method, this paper employed simulation models of the mined-out area and adopted coal samples from Dafosi Coal Mine to carry out experiments. Preliminary testing was performed using monitoring data from a coal mine. The experiment compared the entropy results of different time series with the detection results of generative adversarial networks and automatic encoders and showed that the method proposed in this paper had relatively high detection accuracy.

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