Dynamic parameter optimization of evolutionary computation for on-line prediction of time series with changing dynamics

Authors:
Y. M. Chen;Chun-Ta Lin
Affiliations:
Department of Industrial Engineering and Management, Yuan-Ze University, 135 Yuan-Tung Road, Chungli, Taoyuan, Taiwan, ROC;Department of Industrial Engineering and Management, Yuan-Ze University, 135 Yuan-Tung Road, Chungli, Taoyuan, Taiwan, ROC
Venue:
Applied Soft Computing
Year:
2007

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Abstract

This paper introduces a dynamic evolving computation system (DECS) model, for adaptive on-line learning, and its application for dynamic time series prediction. DECS evolve through evolving clustering method and evolutionary computation for structure learning, Levenberg-Marquardt method for parameter learning, learning and accommodate new input data. DECS is created and updated during the operation of the system. At each time moment the output of DECS is calculated through a knowledge rule inference system based on m-most activated fuzzy rules which are dynamically chosen from a fuzzy rule set. An approach is proposed for a dynamic creation of a first order Takagi-Sugeno type fuzzy rule set for the DECS model. The fuzzy rules can be inserted into DECS before, or during its learning process, and the rules can also be extracted from DECS during, or after its learning process. It is demonstrated that DECS can effectively learn complex temporal sequences in an adaptive way and outperform some existing models.