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Multi-output time series forecasting with randomized multivariate Fuzzy Cognitive Maps

Author

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  • Orang, Omid
  • de Lima e Silva, Petrônio Cândido
  • Guimarães, Frederico Gadelha

Abstract

Fuzzy Cognitive Maps (FCMs) have become a relevant technique for modeling and forecasting time series due to their advantages in dealing with uncertainty and simulating the dynamics of complex systems. Although numerous univariate and multivariate FCM-based forecasting models have been presented in the literature, one of the still open questions is how to enable FCMs to forecast multivariate time series for multiple-input, multiple-output (MIMO) systems with an efficient learning mechanism. from a computational point of view. This paper suggests a randomized MIMO FCM-based forecasting approach called MO-RHFCM to predict low-dimensional multivariate time series. More specifically, MO-RHFCM is a hybrid model merging the concepts of multivariate fuzzy time series, high order FCM (HFCM), and Echo State Networks (ESN). The structure of MO-RHFCM consists of three layers: input layer, reservoir (internal) layer, and output layer. Only the output layer is trainable using the Least Squares minimization algorithm; hence training the proposed MO-RHFCM method is fast and simple. The weights inside each sub-reservoir are selected randomly and remain fixed during the training process. The obtained results indicate the efficacy and validity of the proposed MO-RHFCM technique compared with some machine learning and deep learning baseline models.

Suggested Citation

  • Orang, Omid & de Lima e Silva, Petrônio Cândido & Guimarães, Frederico Gadelha, 2023. "Multi-output time series forecasting with randomized multivariate Fuzzy Cognitive Maps," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
    • Handle: RePEc:eee:chsofr:v:176:y:2023:i:c:s0960077923009785
    DOI: 10.1016/j.chaos.2023.114077
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    References listed on IDEAS

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    1. Katarzyna Poczeta & Elpiniki I. Papageorgiou & Vassilis C. Gerogiannis, 2020. "Fuzzy Cognitive Maps Optimization for Decision Making and Prediction," Mathematics, MDPI, vol. 8(11), pages 1-15, November.
    2. Fu, Ke & Li, He & Deng, Pengfei, 2022. "Chaotic time series prediction using DTIGNet based on improved temporal-inception and GRU," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
    3. Zhu, Ting & Wang, Wenbo & Yu, Min, 2022. "A novel blood glucose time series prediction framework based on a novel signal decomposition method," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
    4. Bitencourt, Hugo Vinicius & de Souza, Luiz Augusto Facury & dos Santos, Matheus Cascalho & Silva, Rodrigo & de Lima e Silva, Petrônio Cândido & Guimarães, Frederico Gadelha, 2023. "Combining embeddings and fuzzy time series for high-dimensional time series forecasting in internet of energy applications," Energy, Elsevier, vol. 271(C).
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