Multiobjective evolutionary neural networks for time series forecasting

Authors:
Swee Chiang Chiam;Kay Chen Tan;Abdullah Al Mamun
Affiliations:
Department of Electrical and Computer Engineering, National University of Singapore, Singapore; ;
Venue:
EMO'07 Proceedings of the 4th international conference on Evolutionary multi-criterion optimization
Year:
2007

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Abstract

This paper will investigate the application of multiobjective evolutionary neural networks in time series forecasting. The proposed algorithmic model considers training and validation accuracy as the objectives to be optimized simultaneously, so as to balance the accuracy and generalization of the evolved neural networks. To improve the overall generalization ability for the set of solutions attained by the multiobjective evolutionary optimizer, a simple algorithm to filter possible outliers, which tend to deteriorate the overall performance, is proposed also. Performance comparison with other existing evolutionary neural networks in several time series problems demonstrates the practicality and viability of the proposed time series forecasting model.