Recurrent and feedforward polynomial modeling of coupled time series

  • Authors:
  • Vicente López;Ramón Huerta;José R. Dorronsoro

  • Affiliations:
  • Instituto de lngeniería del Conocimiento, Universidad Autónoma de Madrid, 28049 Madrid, Spain;Instituto de lngeniería del Conocimiento, Universidad Autónoma de Madrid, 28049 Madrid, Spain;Instituto de lngeniería del Conocimiento, Universidad Autónoma de Madrid, 28049 Madrid, Spain

  • Venue:
  • Neural Computation
  • Year:
  • 1993

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Abstract

We present two methods for the prediction of coupled time series. The first one is based on modeling the series by a dynamic system with a polynomial format. This method can be formulated in terms of learning in a recurrent network, for which we give a computationally effective algorithm. The second method is a purely feedforward σ-π network procedure whose architecture derives from the recurrence relations for the derivatives of the trajectories of a Ricatti format dynamic system. It can also be used for the modeling of discrete series in terms of nonlinear mappings. Both methods have been tested successfully against chaotic series.