matlab滚动预测,MATLAB：一步到位的神经网络时间序列预测

简介：我正在使用MATLAB的神经网络工具箱,试图将时间序列预测到未来的一步.目前我只是想预测一个简单的正弦函数,但希望在得到满意的结果后我能够继续进行更复杂的事情.

问题：一切似乎都运行良好,但预测的预测往往滞后一个时期.如果它只是输出一个时间单位延迟的系列,那么神经网络预测没有太大用处,对吗？

码：

t = -50:0.2:100;

noise = rand(1,length(t));

y = sin(t)+1/2*sin(t+pi/3);

split = floor(0.9*length(t));

forperiod = length(t)-split;

numinputs = 5;

forecasted = [];

msg = '';

for j = 1:forperiod

fprintf(repmat('\b',1,numel(msg)));

msg = sprintf('forecasting iteration %g/%g...\n',j,forperiod);

fprintf('%s',msg);

estdata = y(1:split+j-1);

estdatalen = size(estdata,2);

signal = estdata;

last = signal(end);

[signal,low,high] = preprocess(signal'); % pre-process

signal = signal';

inputs = signal(rowshiftmat(length(signal),numinputs));

targets = signal(numinputs+1:end);

%% NARNET METHOD

feedbackDelays = 1:4;

hiddenLayerSize = 10;

net = narnet(feedbackDelays,[hiddenLayerSize hiddenLayerSize]);

net.inputs{1}.processFcns = {'removeconstantrows','mapminmax'};

signalcells = mat2cell(signal,[1],ones(1,length(signal)));

[inputs,inputStates,layerStates,targets] = preparets(net,{},{},signalcells);

net.trainParam.showWindow = false;

net.trainparam.showCommandLine = false;

net.trainFcn = 'trainlm'; % Levenberg-Marquardt

net.performFcn = 'mse'; % Mean squared error

[net,tr] = train(net,inputs,targets,inputStates,layerStates);

next = net(inputs(end),inputStates,layerStates);

next = postprocess(next{1}, low, high); % post-process

next = (next+1)*last;

forecasted = [forecasted next];

end

figure(1);

plot(1:forperiod, forecasted, 'b', 1:forperiod, y(end-forperiod+1:end), 'r');

grid on;

注意：

函数’preprocess’只是将数据转换为记录的％差异,’postprocess’将记录的％差异转换回绘图. (检查编辑预处理和后处理代码)

结果：

蓝色：预测值

红色：实际值

谁能告诉我这里我做错了什么？或者可能会推荐另一种方法来实现预期的结果(正弦函数的无滞后预测,以及最终更混乱的时间序列)？非常感激您的帮忙.

编辑：

已经有几天了,我希望每个人都享受他们的周末.由于没有出现解决方案,我决定发布辅助函数’postprocess.m’,’preprocess.m’及其辅助函数’normalize.m’的代码.也许这将有助于让球滚动.

postprocess.m：

function data = postprocess(x, low, high)

% denormalize

logdata = (x+1)/2*(high-low)+low;

% inverse log data

sign = logdata./abs(logdata);

data = sign.*(exp(abs(logdata))-1);

end

preprocess.m：

function [y, low, high] = preprocess(x)

% differencing

diffs = diff(x);

% calc % changes

chngs = diffs./x(1:end-1,:);

% log data

sign = chngs./abs(chngs);

logdata = sign.*log(abs(chngs)+1);

% normalize logrets

high = max(max(logdata));

low = min(min(logdata));

y=[];

for i = 1:size(logdata,2)

y = [y normalize(logdata(:,i), -1, 1)];

end

end

normalize.m：

function Y = normalize(X,low,high)

%NORMALIZE Linear normalization of X between low and high values.

if length(X) <= 1

error('Length of X input vector must be greater than 1.');

end

mi = min(X);

ma = max(X);

Y = (X-mi)/(ma-mi)*(high-low)+low;

end