Skip to main content

Time Series Forecasting Using GRU Neural Network with Multi-lag After Decomposition

  • Conference paper
  • First Online:

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 10638))

Abstract

Time series forecasting has a wide range of applications in society, industry, market, etc. In this paper, a new time series forecasting method (FCD-MLGRU) is proposed for solving short-term forecasting problem. First we decompose the original time series using Filtering Cycle Decomposition (FCD) proposed in this paper, secondly we train the Gated Recurrent Unit (GRU) Neural Network to forecasting the subseries respectively. In the process of training and forecasting, the multi-time-lag sampling and ensemble forecasting method is adopted, which reduces the dependence on the selection of time lag and enhance the generalization and stability of the model. The comparative experiments on the real data sets and theoretical analysis show that our proposed method performs better than other related methods.

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

References

  1. Box, G.E.P., Jenkins, G.: Time Series Analysis, Forecasting and Control. Holden-Day, Amsterdam (1976)

    MATH  Google Scholar 

  2. Hornik, K., Stinchcombe, M., White, H.: Multilayer feedforward networks are universal approximators. Neural Netw. 2(5), 359–366 (1989)

    Article  Google Scholar 

  3. Shen, F., Chao, J., Zhao, J.: Forecasting exchange rate using deep belief networks and conjugate gradient method. Neurocomputing 167(C), 243–253 (2015)

    Article  Google Scholar 

  4. Shi, X., Chen, Z., Wang, H., Yeung, D.Y., Wong, W., Woo, W.: Convolutional LSTM network: a machine learning approach for precipitation nowcasting. Computer Science (2015)

    Google Scholar 

  5. Marino, D.L., Amarasinghe, K., Manic, M.: Building energy load forecasting using deep neural networks (2016)

    Google Scholar 

  6. Chen, H., Yao, X.: Ensemble regression trees for time series predicitions (2008)

    Google Scholar 

  7. Zhang, G.P., Berardi, V.L.: Time series forecasting with neural network ensembles: an application for exchange rate prediction. J. Oper. Res. Soc. 52(6), 652–664 (2001)

    Article  MATH  Google Scholar 

  8. Shiskin, J., Young, A.H., Musgrave, J.C.: The X-11 Variant of the Census Method II Seasonal Adjustment Program. U.S. Department of Commerce, Bureau of the Census, Suitland (1967)

    Google Scholar 

  9. Cho, K., Van Merrienboer, B., Bahdanau, D., Bengio, Y.: On the properties of neural machine translation: encoder-decoder approaches. Computer Science (2014)

    Google Scholar 

  10. Chung, J., Gulcehre, C., Cho, K.H., Bengio, Y.: Empirical evaluation of gated recurrent neural networks on sequence modeling. Eprint Arxiv arXiv:1412.3555 (2014)

  11. Bahdanau, D., Cho, K., Bengio, Y.: Neural machine translation by jointly learning to align and translate. arXiv preprint arXiv:1409.0473 (2014)

  12. Bishop, C.M.: Pattern Recognition and Machine Learning (Information Science and Statistics). Springer, New York (2006). p. 049901

    MATH  Google Scholar 

  13. Frank, R.J., Davey, N., Hunt, S.P.: Time series prediction and neural networks. J. Intell. Robot. Syst. 31(1), 91–103 (2001)

    Article  MATH  Google Scholar 

  14. Rahman, M.M., Islam, M.M., Murase, K., Yao, X.: Layered ensemble architecture for time series forecasting. IEEE Trans. Cybern. 46(1), 270 (2016)

    Article  Google Scholar 

Download references

Acknowledgments

This work is supported in part by the National Science Foundation of China under Grant Nos. (61373130, 61375064, 61373001), and Jiangsu NSF grant (BK20141319).

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Furao Shen .

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 2017 Springer International Publishing AG

About this paper

Check for updates. Verify currency and authenticity via CrossMark

Cite this paper

Zhang, X., Shen, F., Zhao, J., Yang, G. (2017). Time Series Forecasting Using GRU Neural Network with Multi-lag After Decomposition. In: Liu, D., Xie, S., Li, Y., Zhao, D., El-Alfy, ES. (eds) Neural Information Processing. ICONIP 2017. Lecture Notes in Computer Science(), vol 10638. Springer, Cham. https://doi.org/10.1007/978-3-319-70139-4_53

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-70139-4_53

  • Published:

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-70138-7

  • Online ISBN: 978-3-319-70139-4

  • eBook Packages: Computer ScienceComputer Science (R0)

Publish with us

Policies and ethics