Forecasting with a dynamic window of time: the DyFor genetic program model

  • Authors:

  • Neal Wagner;Zbigniew Michalewicz;Moutaz Khouja;Rob Roy McGregor

  • Affiliations:

  • Department of Computer Science, University of North Carolina, Charlotte, NC;School of Computer Science, University of Adelaide, Adelaide, SA, Australia;Department of Business Information Systems, University of North Carolina, Charlotte, NC;Department of Economics, University of North Carolina, Charlotte, NC

  • Venue:
  • IMTCI'04 Proceedings of the Second international conference on Intelligent Media Technology for Communicative Intelligence
  • Year:
  • 2004

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Abstract

Several studies have applied genetic programming (GP) to the task of forecasting with favourable results. However, these studies, like those applying other techniques, have assumed a static environment, making them unsuitable for many real-world time series which are generated by varying processes. This study investigates the development of a new “dynamic” GP model that is specifically tailored for forecasting in non-static environments. This Dynamic Forecasting Genetic Program (DyFor GP) model incorporates methods to adapt to changing environments automatically as well as retain knowledge learned from previously encountered environments. The DyFor GP model is realised and tested for forecasting efficacy on real-world economic time series, namely the U.S. Gross Domestic Product and Consumer Price Index Inflation. Results show that the DyFor GP model outperforms benchmark models from leading studies for both experiments. These findings affirm the DyFor GP's potential as an adaptive, non-linear model for real-world forecasting applications and suggest further investigations.