BPNN-ADE Algorithm for the Time Series Data Forecasting

Time series is a collection of data recorded over a period of time (weekly, monthly, quarterly), an analysis of history, which can be used by management to make current decisions and plans based on long-term forecasting. It usually assumes past pattern to continue into the future. Time series forecasting is an important area in forecasting. Artificial Neural Networks (ANNs) have the ability of learning and to adapt to new situations by recognizing patterns in previous data. Efficient time series forecasting is of utmost importance in order to make better decision under uncertainty. Over the past few years a large literature has evolved to forecast time series using different artificial neural network (ANN) models because of its several distinguishing characteristics.

The back propagation neural network (BPNN) can easily fall into the local minimum point in time series forecasting. A hybrid approach that combines the adaptive differential evolution (ADE) algorithm with BPNN, called ADE-BPNN, is designed to improve the forecasting accuracy of BPNN. ADE is first applied to search for the global initial connection weights and thresholds of BPNN. Then, BPNN is employed to thoroughly search for the optimal weights and thresholds.

Two comparative real-life series data sets are used to verify the feasibility and effectiveness of the hybrid method. In comparative example 2, the Lynx series indicates the number of Lynx trapped per year in the river district in northern Canada. Lynx is a kind of animal. The proposed ADE-BPNN can effectively improve forecasting accuracy relative to basic BPNN; differential evolution back propagation neural network (DE-BPNN), and genetic algorithm back propagation neural network (GA-BPNN).