Skip to main content
Log in

Coevolution of lags and RBFNs for time series forecasting: L-Co-R algorithm

  • Original Paper
  • Published:
Soft Computing Aims and scope Submit manuscript

Abstract

This paper introduces Lags COevolving with Rbfns (L-Co-R), a coevolutionary method developed to face time-series forecasting problems. L-Co-R simultaneously evolves the model that provides the forecasted values and the set of time lags the model must use in the prediction process. Coevolution takes place by means of two populations that evolve at the same time, cooperating between them; the first population is composed of radial basis function neural networks; the second one contains the individuals representing the sets of lags. Thus, the final solution provided by the method comprises both the neural net and the set of lags that better approximate the time series. The method has been tested across 34 different time series datasets, and the results compared to 6 different methods referenced in literature, and with respect to 4 different error measures. The results show that L-Co-R outperforms the rest of methods, as the statistical analysis carried out indicates.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Fig. 1
Fig. 2
Fig. 3
Fig. 4
Fig. 5
Fig. 6
Fig. 7
Fig. 8

Similar content being viewed by others

Notes

  1. National Statistics Institute (http://www.ine.es/).

  2. National Statistics Institute (http://www.ine.es/).

  3. The General Direction of Traffic (http://www.dgt.es/).

  4. http://www.neural-forecasting-competition.com/NN3/datasets.htm.

  5. The Ministry of Culture (http://www.mcu.es/).

  6. Available from http://pacific.commerce.ubc.ca/xr/data.html, thanks to the work done by Prof. Werner Antweiler, from the University of British Columbia, Vancouver, Canada.

  7. Spanish Association of Automobile and Truck Manufacturers (http://www.anfac.com/).

  8. The Ministry of Industry, Tourism and Trade (http://www.mityc.es/).

  9. The Ministry of Labour and Immigration (http://www.mtin.es/).

  10. The Ministry of Housing (http://www.mviv.es/).

  11. http://www.fomento.es/.

References

  • Alcalá-Fdez J, Sánchez L, García S, del Jesus MJ, Ventura S, Garrell JM, Otero J, Romero C, Bacardit J, Rivas VM, Fernández JC, Herrera F (2009) Keel: a software tool to assess evolutionary algorithms for data mining problems. Soft Comput Fusion Found Methodol Appl 13:307–318. doi:10.1007/s00500-008-0323-y

    Google Scholar 

  • Arizmendi CM, Sanchez J, Ramos NE, Ramos GI (1993) Time series predictions with neural nets: Application to airborne pollen forecasting. Int J Biometeorol 37:139–144. doi:10.1007/BF01212623

    Article  Google Scholar 

  • Armstrong JS, Collopy F (1992) Error measures for generalizing about forecasting methods: empirical comparisons. Int J Forecast 8:69–80

    Article  Google Scholar 

  • Assimakopoulos V, Nikolopoulos K (2000) The theta model: a decomposition approach to forecasting. Int J Forecast 16(4):521–530

    Article  Google Scholar 

  • Au CK, Leung HF (2007) Biasing mutations in cooperative coevolution. In: Proceedings of IEEE Congress on evolutionary computation, CEC 2007, pp 828–835

  • Bezerianos A, Papadimitriou S, Alexopoulos D (1999) Radial basis function neural networks for the characterization of heart rate variability dynamics. Artif Intell Med 15(3):215–234. doi:10.1016/S0933-3657(98)00055-4

    Article  Google Scholar 

  • Bowerman BL, O’Connell RT, Koehler AB (2004) Forecasting: methods and applications. Thomson Brooks/Cole: Belmont, CA

    Google Scholar 

  • Box GEP, Jenkins GM (1976) Time series analysis: forecasting and control. Holden Day, San Francisco

    MATH  Google Scholar 

  • Bradley MD, Jansen DW (2004) Forecasting with a nonlinear dynamic model of stock returns and industrial production. Int J Forecast 20(2):321–342. doi:10.1016/j.ijforecast.2003.09.007

    Article  Google Scholar 

  • Brockwell P, Hyndman R (1992) On continuous-time threshold autoregression. Int J Forecast 8(2):157–173. doi:10.1016/0169-2070(92)90116-Q

    Article  Google Scholar 

  • Broomhead D, Lowe D (1988) Multivariable functional interpolation and adaptive networks. Complex Syst 2:321–355

    MathSciNet  MATH  Google Scholar 

  • Brown R (1959) Statistical forecasting for inventory control. McGraw-Hill, New York

  • Carse B, Fogarty T (1996) Fast evolutionary learning of minimal radial basis function neural networks using a genetic algorithm. In: Proceedings of evolutionary computing. Lecture dois in Computer Science, vol 1143, pp 1–22. Springer, Berlin. doi:10.1007/BFb0032769

  • Castillo PA, Merelo JJ, Prieto A, Rivas VM, Romero G (2000) G-prop: global optimization of multilayer perceptrons using gas. Neurocomputing 35:149–163. doi:10.1016/S0925-2312(00)00302-7

    Article  MATH  Google Scholar 

  • Chan KS, Tong H (1986) On estimnating thresholds in autoregressive models. J Time Ser Anal 7(3):179–190. doi:10.1111/j.1467-9892.1986.tb00501.x

    Article  MathSciNet  MATH  Google Scholar 

  • Chatterjee A, Siarry P (2006) Nonlinear inertia weight variation for dynamic adaptation in particle swarm optimization. Comput Oper Res 33:859–871. doi:10.1016/j.cor.2004.08.012

    Article  MATH  Google Scholar 

  • Clements MP, Franses PH, Swanson NR (2004) Forecasting economic and financial time-series with non-linear models. Int J Forecast 20(2):169–183. doi:10.1016/j.ijforecast.2003.10.004

    Article  Google Scholar 

  • Crone S, Hibon M, Nikolopoulos K (2011) Advances in forecasting with neural networks? Empirical evidence from the nn3 competition on time series prediction. Int J Forecast 27(3):635–660

    Google Scholar 

  • Dash PK, Liew AC, Rahman S, Ramakrishna G (1995) Building a fuzzy expert system for electric load forecasting using a hybrid neural network. Exp Syst Appl 9(3):407–421. doi:10.1016/0957-4174(95)00013-Y

    Article  Google Scholar 

  • Dawson CW, Wilby RL, Harpham C, Brown MR, Cranston E, Darby EJ (2000) Modelling ranunculus presence in the rivers test and itchen using artificial neural networks. In: Proceedings of international conference on geocomputation

  • de A Araújo R (2010a) Hybrid intelligent methodology to design translation invariant morphological operators for brazilian stock market prediction. Neural Netw 23:1238–1251

    Article  Google Scholar 

  • de A Araújo R (2010b) A quantum-inspired evolutionary hybrid intelligent approach for stock market prediction. Int J Intell Comput Cybern 3(10):24–54

    Article  MathSciNet  MATH  Google Scholar 

  • de A Araújo R (2010c) Swarm-based translation-invariant morphological prediction method for financial time series forecasting. Inform Sci 180:4784–4805

    Article  MathSciNet  MATH  Google Scholar 

  • de A Araújo R (2011) Translation invariant morphological time-lag added evolutionary forecasting method for stock market prediction. Exp Syst Appl 38:2835–2848. doi:10.1016/j.eswa.2010.08.076

    Article  Google Scholar 

  • Derrac J, García S, Herrera F (2010) Ifs-coco: instance and feature selection based on cooperative coevolution with nearest neighbor rule. Pattern Recogn 43(6):2082–2105. doi:10.1016/j.patcog.2009.12.012

    Article  MATH  Google Scholar 

  • Du H, Zhang N (2008) Time series prediction using evolving radial basis function networks with new encoding scheme. Neurocomputing 71:1388–1400. doi:10.1016/j.neucom.2007.06.004

    Article  Google Scholar 

  • Eshelman LJ (1991) The chc adptive search algorithm: how to have safe search when engaging in nontraditional genetic recombination. In: Proceedings of first workshop on foundations of genetic algorithms, Morgan Kaufmann, Menlo Park, pp 265–283

  • Ferreira T, Vasconcelos G, Adeodato P (2008) A new intelligent system methodology for time series forecasting with artificial neural networks. Neural Process Lett 28(2):113–129

    Article  Google Scholar 

  • Fildes R (1983) An evaluation of bayesian forecasting. J Forecast 2(2):137–150. doi:10.1002/for.3980020205

    Article  Google Scholar 

  • Fildes R (1992) The evaluation of extrapolative forecasting methods. Int J Forecast 8(1):81–98. doi:10.1016/0169-2070(92)90009-X

    Article  Google Scholar 

  • Fildes R, Nikolopoulos K, Crone SF, Syntetos AA (2008) Forecasting and operational research: a review. J Oper Res Soc 59:1150–1172

    Article  MATH  Google Scholar 

  • Fu X, Wang L (2003) Data dimensionality reduction with application to simplifying rbf network structure and improving classification performance. IEEE Trans Syst Man Cybern Part B 33:399–409. doi:10.1109/TSMCB.2003.810911

    Article  Google Scholar 

  • García S, Fernández A, Luengo J, Herrera F (2009) A study of statistical techniques and performance measures for genetics-based machine learning: accuracy and interpretability. Soft Comput 13:959–977. doi:10.1007/s00500-008-0392-y

    Article  Google Scholar 

  • García Pajares R, Benitez J, Sainz Palmero G (2008) Feature selection form time series forecasting: a case study. In: Eighth international conference on hybrid intelligent systems, pp 555–560

  • Garcia-Pedrajas N, Hervas-Martinez C, Ortiz-Boyer D (2005) Cooperative coevolution of artificial neural network ensembles for pattern classification. IEEE Trans Evol Comput 9:271–302. doi:10.1109/TEVC.2005.844158

    Article  Google Scholar 

  • García-Pedrajas N, del Castillo JR, Ortiz-Boyer D (2010) A cooperative coevolutionary algorithm for instance selection for instance-based learning. Mach Learn 78:381–420. doi:10.1007/s10994-009-5161-3

    Article  Google Scholar 

  • Gardner ES (1985) Exponential smoothing: the state of the art. J Forecast 4(1):1–28. doi:10.1002/for.3980040103

    Article  Google Scholar 

  • Gooijer JGD, Hyndman RJ (2006) 25 years of time series forecasting. Int J Forecast 22(3):443–473

    Article  Google Scholar 

  • Granger C, Tersvirta T (1993) Modelling non-linear economic relationships. Oxford University Press, Oxford

  • Harpham C, Dawson CW (2006) The effect of different basis functions on a radial basis function network for time series prediction: a comparative study. Neurocomputing 69:2161–2170. doi:10.1016/j.neucom.2005.07.010

    Article  Google Scholar 

  • Harpham C, Dawson CW, Brown MR (2004) A review of genetic algorithms applied to training radial basis function networks. Neural Comput Appl 13:193–201. doi:10.1007/s00521-004-0404-5

    Article  Google Scholar 

  • Harrison PJ, Stevens CF (1976) Bayesian forecasting. J Royal Stat Soc Ser B (Methodological) 38(3):205–247

    MathSciNet  MATH  Google Scholar 

  • Harvey AC (1984) A unified view of statistical forecasting procedures. J Forecast 3(3):245–275. doi:10.1002/for.3980030302

    Article  MathSciNet  Google Scholar 

  • Hippert HS, Taylor JW (2010) An evaluation of bayesian techniques for controlling model complexity and selecting inputs in a neural network for short-term load forecasting. Neural Netw 23(3):386–395. doi:10.1016/j.neunet.2009.11.016

    Article  Google Scholar 

  • Holland JH (1975) Adaptation in natural and artificial systems. The University of Michigan Press, Ann Arbor

  • Holm S (1979) A simple sequentially rejective multiple test procedure. Scand J Stat 6:65–70

    MathSciNet  MATH  Google Scholar 

  • Hyndman RJ, Billah B (2003) Unmasking the theta method. Int J Forecast 19(2):287–290

    Article  MATH  Google Scholar 

  • Hyndman RJ, Koehler AB (2006) Another look at measures of forecast accuracy. Int J Forecast 22(4):679–688. doi:10.1016/j.ijforecast.2006.03.001

    Article  Google Scholar 

  • Jain A, Kumar AM (2007) Hybrid neural network models for hydrologic time series forecasting. Appl Soft Comput 7(2):585–592. doi:10.1016/j.asoc.2006.03.002

    Article  MathSciNet  Google Scholar 

  • Kavaklioglu K (2011) Modeling and prediction of turkey’s electricity consumption using support vector regression. Appl Energ 88(1):368–375. doi:10.1016/j.apenergy.2010.07.021

    Article  Google Scholar 

  • Lee CM, Ko CN (2009) Time series prediction using rbf neural networks with a nonlinear time-varying evolution pso algorithm. Neurocomputing 73(1–3):449–460. doi:10.1016/j.neucom.2009.07.005

    Article  Google Scholar 

  • Li M, Tian J, Chen F (2008) Improving multiclass pattern recognition with a co-evolutionary rbfnn. Pattern Recogn Lett 29(4):392–406. doi:10.1016/j.patrec.2007.10.019

    Article  Google Scholar 

  • Lukoseviciute K, Ragulskis M (2010) Evolutionary algorithms for the selection of time lags for time series forecasting by fuzzy inference systems. Neurocomputing 73:2077–2088

    Article  Google Scholar 

  • Ma X, Wu HX (2010) Power system short-term load forecasting based on cooperative co-evolutionary immune network model. In: Proceedings of 2nd international conference on education technology and computer (ICETC), pp 582–585

  • Makridakis SG, Hibon M (2000) The m3-competition: results, conclusions and implications. Int J Forecast 16(4):451–476

    Article  Google Scholar 

  • Makridakis SG, Andersen A, Carbone R, Fildes R, Hibon M, Lewandowski R, Newton J, Parzen E, Winkler R (1982) The accuracy of extrapolation (time series) methods: results of a forecasting competition. J Forecast 1(2):111–153. doi:10.1002/for.3980010202

    Article  Google Scholar 

  • Martínez-Estudillo A, Martínez-Estudillo F, Hervás-Martínez C, García-Pedrajas N (2006) Evolutionary product unit based neural networks for regression. Neural Netw 19(4):477–486. doi:10.1016/j.neunet.2005.11.001

    Article  MATH  Google Scholar 

  • Maus A, Sprott JC (2011) Neural network method for determining embedding dimension of a time series. Commun Nonlinear Sci Numer Simul 16(8):3294–3302

    Article  MathSciNet  MATH  Google Scholar 

  • Merelo JJ, Prieto A (1995) G-lvq, a combination of genetic algorithms and lvq. In: Proceedings of artificial neural nets and genetic algorithms, Springer, Berlin, pp 92–95

  • Panait L, Wiegand RP, Luke S (2003) Improving coevolutionary search for optimal multiagent behaviors. In: Proceedings of the eighteenth international joint conference on artificial intelligence, Morgan Kaufmann, Menlo Park, pp 653–658

  • Paredis J (1995) Coevolutionary computation. Artif Life 2(4):355–375. doi:10.1162/artl.1995.2.4.355

    Article  Google Scholar 

  • Pena D (2005) Análisis de Series Temporales. Alianza Editorial

  • Perez-Godoy MD, Aguilera JJ, Berlanga FJ, Rivas VM, Rivera AJ (2008) A preliminary study of the effect of feature selection in evolutionary rbfn design. In: Proceedings of information processing and management of uncertainty in knowledge-based system, pp 1151–1158

  • Perez-Godoy MD, Pérez-Recuerda P, Frías M, Rivera AJ, Carmona C, Parras M (2010a) Co2rbfn for short and medium term forecasting of the extra-virgin olive oil price. In: González J, Pelta D, Cruz C, Terrazas G, Krasnogor N (eds) Proceedings of nature inspired cooperative strategies for optimization (NICSO 2010), Studies in Computational Intelligence, vol 284, pp 113–125. Springer, Berlin. doi:10.1007/978-3-642-12538-6_10

  • Perez-Godoy MD, Rivera A, Berlanga FJ, del Jesus MJ (2010b) Co2rbfn: an evolutionary cooperative–competitive rbfn design algorithm for classification problems. Soft Comput Fusion Found Methodol Appl 14:953–971. doi:10.1007/s00500-009-0488-z

    Google Scholar 

  • Potter M, Jong KD (1994) A cooperative coevolutionary approach to function optimization. In: Davidor Y, Schwefel HP, Mnner R (eds) Proceedings of parallel problem solving from nature PPSN III, Lecture Notes in Computer Science, vol 866, pp 249–257. Springer, Berlin. doi:10.1007/3-540-58484-6_269

  • Potter M, Jong KD (2000) Cooperative coevolution: an architecture for evolving coadapted subcomponents. Evol Comput 8(1):1–29. doi:10.1162/106365600568086

    Article  Google Scholar 

  • Qian-Li M, Qi-Lun Z, Hong P, Tan-Wei Z, Jiang-Wei Q (2008) Multi-step-prediction of chaotic time series based on co-evolutionary recurrent neural network. Chin Phys B 17(2). doi:10.1088/1674-1056/17/2/031

  • Qiu W, Liu X, Li H (2011) A generalized method for forecasting based on fuzzy time series. Exp Syst Appl 38(8):10446–10453. doi:10.1016/j.eswa.2011.02.096

    Article  Google Scholar 

  • Rivas VM, Merelo JJ, Castillo PA, Arenas MG, Castellano JG (2004) Evolving rbf neural networks for time-series forecasting with evrbf. Inform Sci 165(3–4):207–220. doi:10.1016/j.ins.2003.09.025

    Article  MathSciNet  Google Scholar 

  • Rivas VM, Arenas MG, Merelo JJ, Prieto A (2007) Evrbf: evolving rbf neural networks for classification problems. In: Proceedings of the 7th conference on 7th WSEAS international conference on applied informatics and communications, Stevens Point, Wisconsin, USA, vol 7, pp 98–103

  • Rivera AJ, Rojas I, Ortega J, del Jesus MJ (2007) A new hybrid methodology for cooperative-coevolutionary optimization of radial basis function networks. Soft Comput Fusion Found Methodol Appl 11:655–668. doi:10.1007/s00500-006-0128-9

    Google Scholar 

  • Rustagi JS (1994) Optimization techniques in statistics. Academic Press, Boston

    MATH  Google Scholar 

  • Samanta B (2011) Prediction of chaotic time series using computational intelligence. Exp Syst Appl 38(9):11406–11411. doi:10.1016/j.eswa.2011.03.013

    Article  Google Scholar 

  • Sarantis N (2001) Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence. Int J Forecast 17(3):459–482. doi:10.1016/S0169-2070(01)00093-0

    Article  Google Scholar 

  • Sergeev S, Mahotilo K, Voronovsky G, Petrashev S (1998) Genetic algorithm for training dynamical object emulator based on rbf neural network. Int J Appl Electromagn Mech 9:65–74

    Google Scholar 

  • Sheskin D (2006) Handbook of parametric and nonparametric statistical procedures. Chapman & Hall/CRC, London

  • Sheta AF, Jong KD (2001) Time-series forecasting using ga-tuned radial basis functions. Inform Sci 133(3-4):221–228. doi:10.1016/S0020-0255(01)00086-X

    Article  MATH  Google Scholar 

  • Snyder RD (1985) Recursive estimation of dynamic linear models. J Royal Stat Soc Ser B (Methodological) 47:272–276. http://www.jstor.org/stable/2345570

    Google Scholar 

  • Sun ZL, Huang D, Zheng CH, Shang L (2006) Optimal selection of time lags for tdsep based on genetic algorithm. Neurocomputing 69(7–9):884–887

    Article  Google Scholar 

  • Takens F (1980) Detecting strange attractor in turbulence. In: Dynamical systems and turbulence. Lecture notes in mathematics, vol 898. Springer, New York, NY, pp 366–381

  • Tan KC, Yang YJ, Goh CK (2006) A distributed cooperative co-evolutionary algorithm for multi-objective optimization. IEEE Trans Evol Comput 10:527–549. doi:10.1109/TEVC.2005.860762

    Article  Google Scholar 

  • Tanaka N, Okamoto H, Naito M (2001) Estimating the active dimension of the dynamics in a time series based on a information criterion. Phys D 158:19–31

    Article  MATH  Google Scholar 

  • Tang Z, de Almeida C, Fishwick PA (1991) Time series forecasting using neural networks vs. boxjenkins methodology. Simulation 57:303–310

    Article  Google Scholar 

  • Tong H (1978) On a threshold model. Pattern Recogn Signal Process NATO ASI Ser E Appl Sci 29:575–586

    Google Scholar 

  • Tong H (1983) Threshold models in non-linear time series analysis. In: Lecture notes in statistics, vol 21. Springer, Berlin

  • Valenzuela O, Rojas I, Rojas F, Pomares H, Herrera LJ, Guillen A, Marquez ML, Pasadas M (2008) Hybridization of intelligent techniques and arima models for time series prediction. Fuzzy Sets Syst 159(7):821–845. doi:10.1016/j.fss.2007.11.003

    Article  MathSciNet  MATH  Google Scholar 

  • Wang CC (2011) A comparison study between fuzzy time series model and arima model for forecasting taiwan export. Exp Syst Appl 38(8):9296–9304

    Article  Google Scholar 

  • Wang LX, Mendel JM (2002) Generating fuzzy rules by learning from examples. IEEE Trans Syst Man Cybern 22:1414–1427. doi:10.1109/21.199466

    Article  MathSciNet  Google Scholar 

  • Whitehead BA, Choate TD (1996) Cooperative-competitive genetic evolution of radial basis function centers and widths for time series prediction. IEEE Trans Neural Netw 7:869–880. doi:10.1109/72.508930

    Article  Google Scholar 

  • Wichern DW, Jones RH (1977) Assessing the impact of market disturbances using intervention analysis. Manag Sci 24:329–337

    Article  MATH  Google Scholar 

  • Wiegand RP, Liles WC, De Jong K (2001) An empirical analysis of collaboration methods in cooperative coevolutionary algorithms. In: Proceedings of the genetic and evolutionary computation conference, Morgan Kaufmann, Menlo Park, pp 1235–1242

  • Winters PR (1960) Forecasting sales by exponentially weighted moving averages. Manag Sci 6:324–342. http://www.jstor.org/stable/2627346

    Article  MathSciNet  MATH  Google Scholar 

  • Xue Y, Watton J (1998) Dynamics modelling of fluid power systems applying a global error descent algorithm to a self-organising radial basis function network. Mechatronics 8(7):727–745. doi:10.1016/S0957-4158(98)00024-5

    Article  Google Scholar 

  • Yu THK, Huarng KH (2010) A neural network-based fuzzy time series model to improve forecasting. Exp Syst Appl 37(4):3366–3372. doi:10.1016/j.eswa.2009.10.013

    Article  Google Scholar 

  • Zar J (1999) Biostatistical analysis. Prentice Hall, Englewood Cliffs

  • Zhang G, Hu MY (1998) Neural network forecasting of the british pound/us dollar exchange rate. Omega Int J Manag Sci 26(4):495–506. doi:10.1016/S0305-0483(98)00003-6

    Article  Google Scholar 

  • Zhang G, Patuwo BE, Hu MY (1998) Forecasting with artificial neural networks: the state of the art. Int J Forecast 14(1):35–62. doi:10.1016/S0169-2070(97)00044-7

    Article  Google Scholar 

  • Zhang GP, Qi M (2005) Neural network forecasting for seasonal and trend time series. Eur J Oper Res 160(2):501–514. doi:10.1016/j.ejor.2003.08.037

    Article  MATH  Google Scholar 

  • Zhu S, Wang J, Zhao W, Wang J (2011) A seasonal hybrid procedure for electricity demand forecasting in china. Appl Energ 88(11):3807–3815. doi:10.1016/j.apenergy.2011.05.005

    Article  Google Scholar 

Download references

Acknowledgments

This work has been supported by the Caja Rural de Jaen and the University of Jaen (Spain) UJA-08-16-30 project, the regional project TIC-3928 (Feder Founds), and the Spanish project TIN 2008-06681-C06-02 (Feder Founds).

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to V. M. Rivas.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Parras-Gutierrez, E., Garcia-Arenas, M., Rivas, V.M. et al. Coevolution of lags and RBFNs for time series forecasting: L-Co-R algorithm. Soft Comput 16, 919–942 (2012). https://doi.org/10.1007/s00500-011-0784-2

Download citation

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s00500-011-0784-2

Keywords

Navigation