Matlab的processFcns,Matlab: neural network time series prediction?

2013-03-07 02:29:25

5

Background: I am trying to use MATLAB's Neural Network toolbox to predict future values of data. I run it from the GUI, but I have also included the output code below.

Problem: My predicted values lag behind the actual values by 2 time periods, and I do not know how to actually see a "t+1" (predicted) value.

Code:

% Solve an Autoregression Time-Series Problem with a NAR Neural Network

% Script generated by NTSTOOL

% Created Tue Mar 05 22:09:39 EST 2013

%

% This script assumes this variable is defined:

%

% close_data - feedback time series.

targetSeries = tonndata(close_data_short,false,false);

% Create a Nonlinear Autoregressive Network

feedbackDelays = 1:3;

hiddenLayerSize = 10;

net = narnet(feedbackDelays,hiddenLayerSize);

% Choose Feedback Pre/Post-Processing Functions

% Settings for feedback input are automatically applied to feedback output

% For a list of all processing functions type: help nnprocess

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

% Prepare the Data for Training and Simulation

% The function PREPARETS prepares timeseries data for a particular network,

% shifting time by the minimum amount to fill input states and layer states.

% Using PREPARETS allows you to keep your original time series data unchanged, while

% easily customizing it for networks with differing numbers of delays, with

% open loop or closed loop feedback modes.

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

% Setup Division of Data for Training, Validation, Testing

% For a list of all data division functions type: help nndivide

net.divideFcn = 'dividerand'; % Divide data randomly

net.divideMode = 'time'; % Divide up every value

net.divideParam.trainRatio = 70/100;

net.divideParam.valRatio = 15/100;

net.divideParam.testRatio = 15/100;

% Choose a Training Function

% For a list of all training functions type: help nntrain

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

% Choose a Performance Function

% For a list of all performance functions type: help nnperformance

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

% Choose Plot Functions

% For a list of all plot functions type: help nnplot

net.plotFcns = {'plotperform','plottrainstate','plotresponse', ...

'ploterrcorr', 'plotinerrcorr'};

% Train the Network

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

% Test the Network

outputs = net(inputs,inputStates,layerStates);

errors = gsubtract(targets,outputs);

performance = perform(net,targets,outputs)

% Recalculate Training, Validation and Test Performance

trainTargets = gmultiply(targets,tr.trainMask);

valTargets = gmultiply(targets,tr.valMask);

testTargets = gmultiply(targets,tr.testMask);

trainPerformance = perform(net,trainTargets,outputs)

valPerformance = perform(net,valTargets,outputs)

testPerformance = perform(net,testTargets,outputs)

% View the Network

view(net)

% Plots

% Uncomment these lines to enable various plots.

%figure, plotperform(tr)

%figure, plottrainstate(tr)

%figure, plotresponse(targets,outputs)

%figure, ploterrcorr(errors)

%figure, plotinerrcorr(inputs,errors)

% Closed Loop Network

% Use this network to do multi-step prediction.

% The function CLOSELOOP replaces the feedback input with a direct

% connection from the outout layer.

netc = closeloop(net);

[xc,xic,aic,tc] = preparets(netc,{},{},targetSeries);

yc = netc(xc,xic,aic);

perfc = perform(net,tc,yc)

% Early Prediction Network

% For some applications it helps to get the prediction a timestep early.

% The original network returns predicted y(t+1) at the same time it is given y(t+1).

% For some applications such as decision making, it would help to have predicted

% y(t+1) once y(t) is available, but before the actual y(t+1) occurs.

% The network can be made to return its output a timestep early by removing one delay

% so that its minimal tap delay is now 0 instead of 1. The new network returns the

% same outputs as the original network, but outputs are shifted left one timestep.

nets = removedelay(net);

[xs,xis,ais,ts] = preparets(nets,{},{},targetSeries);

ys = nets(xs,xis,ais);

closedLoopPerformance = perform(net,tc,yc)

Proposed Solution: I believe the answer lies in the last part of the code "Early Prediction Network". I'm just not sure how to remove 'one delay'.

Additional question: Is there a function that can be output from this so I can use it over and over? Or would I just have to keep retraining once I get the next time period of data?