基于回声状态网络的非线性时间序列预测方法研究-计算机科学与技术专业论文.docx

Abstract Abstract 哈尔滨工业大学工学博士学位论文 哈尔滨工业大学工学博士学位论文 - - PAGE VII - - - PAGE VIII - Abstract Recently，time series analysis and prediction based on echo state network (ESN) has become a vivid research area and more and more attention is being paid by scholars. As a new paradigm in artificial recurrent neural network (RNN), ESN overcomes the complicated training process and local optimum problem of traditional RNN. Nowadays, it is one of the most important tools in time series analysis field. However, we cannot obtain the satisfying prediction accuracy with classical ESN due to its limited approximation capabilities to nonlinear dynamical systems. Accordingly, focusing on prediction accuracy and adaption of reservoir, we attempt to investigate how to extend the classical ESN and how to improve adaption of reservoir in time series prediction. The main work includes the following five aspects: To achieve higher prediction accuracy, a multi-step-ahead time series prediction framework is proposed to make the most of the ESN’s capabilities to handle simultaneously multiple outputs. In the proposed framework, we formulate a practical implementation method which combines the iterated and direct prediction results by weighted means. Experiment results show that a higher accuracy can be achieved than iterated and direct prediction respectively. We propose a time series prediction method called Global Echo State Network with Wavelet Decomposition (GESN-WD). This method mainly focuses on the problem that typical ESN cannot discover multi-scale features of the time series. GESN-WD chooses a specific reservoir matched to its characteristics for every series obtained by wavelet decomposition and determines the output weight in sense of global optimum which can avoid the accumulation of prediction error. Experiment results show that GESN-WD can get more accurate results compared with Local Echo State Network with Wavelet Decomposition (LESN-WD). A prediction method based on autocorre