MLP ensembles improve long term prediction accuracy over single networks
AbstractThis work describes an award winning approach for solving the NN3 Forecasting Competition problem, focusing on the sound experimental validation of its main innovative feature. The NN3 forecasting task consisted of predicting 18 future values of 111 short monthly time series. The main feature of the approach was the use of the median for combining the forecasts of an ensemble of 15 MLPs to predict each time series. Experimental comparison to a single MLP shows that the ensemble increases the performance accuracy for multiple-step ahead forecasting. This system performed well on the withheld data, having finished as the second best solution of the competition with an SMAPE of 16.17%.
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 27 (2011)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ijforecast
Forecasting competitions; Time series; Neural networks; Automatic forecasting; Nonlinear time series;
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- Sermpinis, Georgios & Theofilatos, Konstantinos & Karathanasopoulos, Andreas & Georgopoulos, Efstratios F. & Dunis, Christian, 2013. "Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization," European Journal of Operational Research, Elsevier, vol. 225(3), pages 528-540.
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