Time Series Prediction with Multilayer Perceptron (MLP): A New Generalized Error Based Approach

Authors:
Md. Shiblee;P. K. Kalra;B. Chandra
Affiliations:
Department of Electrical Engineering, Indian Institute of Technology Kanpur, India;Department of Electrical Engineering, Indian Institute of Technology Kanpur, India;Department of Industrial Engineering and Managment, Indian Institute of Technology Kanpur, India
Venue:
Advances in Neuro-Information Processing
Year:
2009

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Abstract

The paper aims at training multilayer perceptron with different new error measures. Traditionally in MLP, Least Mean Square error (LMSE) based on Euclidean distance measure is used. However Euclidean distance measure is optimal distance metric for Gaussian distribution. Often in real life situations, data does not follow the Gaussian distribution. In such a case, one has to resort to error measures other than LMSE which are based on different distance metrics [7,8]. It has been illustrated in this paper on wide variety of well known time series prediction problems that generalized geometric and harmonic error measures perform better than LMSE for wide class of problems.