目录
💥1 概述
时间序列预测方法是科学、经济、工程等领域的研究重点之一。经典的时间序列预测方法在用于非线性系统预测时有一定的困难,而神经网络具有较好的非线性特性,为时间序列预测开辟了新的途径。但神经网络具有易陷入局部极小值以及全局搜索能力弱等缺点;而遗传算法具有较好的全局最优搜索能力,遗传神经网络将两者结合,既保留了遗传算法的全局寻优的特点,又兼有神经网络的非线性特性和收敛的快速性。Mackey-Glass(MG)混沌时间序列具有非线性特性,是时间序列预测问题中的基准问题之一,具有代表性。
时滞混沌系统即具有混沌运动的时滞系统。时滞系统是系统中一处或几处的信号传递有时间延迟的系统。所谓混沌是指具有以下特点的一类现象:由确定性产生;具有有界性;具有非周期性;初始条件具有极端敏感性。
📚2 运行结果
🎉3 参考文献
[1]邵海见,邓星.基于RBF神经网络结构选择方法的Mackey-Glass与Lorenz混沌时间序列预测建模[J].江苏科技大学学报(自然科学版),2018,32(05):701-706.
👨💻4 Matlab代码
%% mackeyglass
% This script generates a Mackey-Glass time series using the 4th order
% Runge-Kutta method.
%% Input parameters
a = 0.2; % value for a in eq (1)
b = 0.1; % value for b in eq (1)
tau = 17; % delay constant in eq (1)
x0 = 1.2; % initial condition: x(t=0)=x0
deltat = 0.1; % time step size (which coincides with the integration step)
sample_n = 5000; % total no. of samples, excluding the given initial condition
interval = 1; % output is printed at every 'interval' time steps
%% Main algorithm
% * x_t : x at instant t , i.e. x(t) (current value of x)
% * x_t_minus_tau : x at instant (t-tau) , i.e. x(t-tau)
% * x_t_plus_deltat : x at instant (t+deltat), i.e. x(t+deltat) (next value of x)
% * X : the (sample_n+1)-dimensional vector containing x0 plus all other computed values of x
% * T : the (sample_n+1)-dimensional vector containing time samples
% * x_history : a circular vector storing all computed samples within x(t-tau) and x(t)
time = 0;
index = 1;
history_length = floor(tau/deltat);
x_history = zeros(history_length, 1); % here we assume x(t)=0 for -tau <= t < 0
x_t = x0;
X = zeros(sample_n, 1); % vector of all generated x samples
T = zeros(sample_n, 1); % vector of time samples
for i = 1:sample_n
X(i) = x_t;
if tau == 0
x_t_minus_tau = 0.0;
else
x_t_minus_tau = x_history(index);
end
x_t_plus_deltat = mackeyglass_rk4(x_t, x_t_minus_tau, deltat, a, b);
if (tau ~= 0)
x_history(index) = x_t_plus_deltat;
index = mod(index, history_length)+1;
end
time = time + deltat;
T(i) = time;
x_t = x_t_plus_deltat;
end
% Save training and test data
Data = X;
save('Dataset\Data.mat','');
figure
plot(T, X);
set(gca,'xlim',[0, T(end)]);
xlabel('t');
ylabel('x(t)');
title(sprintf('A Mackey-Glass time serie (tau=%d)', tau));
主函数部分代码:
clc
clear all
close all
%% Load Mackey Glass Time series data
load Dataset\Data.mat
%% Training and Testing datasets
% For training
Tr=1:4000; % First 4000 samples for training
Xr(Tr)=Data(Tr); % Selecting a chuck of series data x(t)
% For testing
Ts=4000:5000; % Last 1000 samples for testing
Xs(Ts)=Data(Ts); % Selecting a chuck of series data x(t)
%% LMS Parameters
% We run the LMS algorithm for different learning rates
etaValues = [5e-4 1e-3 5e-3 0.01]; % Learning rate
M=5; % Order of LMS filter
W_init=randn(M+1,1); % Initialize weights
figure(2)
plot(Tr(2*M:end-M),Xr(Tr(2*M:end-M))); % Actual values of mackey glass series
figure(3)
plot(Ts,Xs(Ts)); % Actual unseen data
for eta = etaValues
U=zeros(1,M+1); % Initialize values of taps
W=W_init; % Initialize weights
E=[]; % Initialize squared error vector
%% Learning weights of LMS (Training)
for i=Tr(1):Tr(end)-1
U(1:end-1)=U(2:end); % Shifting of tap window
U(end)=Xr(i); % Input (past/current samples)
Y(i)=W'*U'; % Predicted output
e(i)=Xr(i+1)-Y(i); % Error in predicted output
W=W+eta*e(i)*U'; % Weight update rule of LMS
E(i)=e(i).^2; % Concatenate current squared error
end
%% Prediction of a next outcome of series using previous samples (Testing)
for i=Ts(1):Ts(end)
U(1:end-1)=U(2:end); % Shifting of tap window
U(end)=Xs(i); % Input (past/current samples)
Y(i)=W'*U'; % Calculating output (future value)
e(i)=Xs(i)-Y(i); % Error in predicted output
E(i)=e(i).^2; % Current mean squared error (MSE)
end
% Plot the squared error over the training sample iterations
figure(1),hold on;
plot(Tr(1:end-1),E(:,Tr(1:end-1))); % MSE curve
hold off;
% Plot the predicted training data
figure(2), hold on;
plot(Tr(2*M:end-M),Y(Tr(2*M:end-M))') % Predicted values during training
hold off;
% Comment out the following parts to plot prediction of the test data
figure(3), hold on;
plot(Ts(2*M:end),Y(Ts(2*M:end))'); % Predicted values of mackey glass series (testing)
hold off;
MSEtr= mean(E(Tr)); % MSE of training
MSEts= mean(E(Ts)); % MSE of testing
disp(['MSE for test samples (Learning Rate: ' num2str(eta) '):' num2str(MSEts)]);
end