On the construction of a nonlinear recursive predictor

Authors:
Ovidiu Voitcu;Yau Shu Wong
Affiliations:
Department of Chemical and Materials Engineering, 536 Chemical and Materials Engineering Building, University of Alberta, Edmonton, Canada AB T6G 2G6;Department of Mathematical and Statistical Sciences, 632 Central Academic Building, University of Alberta, Edmonton, Canada AB T6G 2G1
Venue:
Journal of Computational and Applied Mathematics
Year:
2006

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Abstract

In this paper, we present a novel approach for constructing a nonlinear recursive predictor. Given a limited time series data set, our goal is to develop a predictor that is capable of providing reliable long-term forecasting. The approach is based on the use of an artificial neural network and we propose a combination of network architecture, training algorithm, and special procedures for scaling and initializing the weight coefficients. For time series arising from nonlinear dynamical systems, the power of the proposed predictor has been successfully demonstrated by testing on data sets obtained from numerical simulations and actual experiments.