Time series forecasting is an important area of machine learning. It is important because there are so many prediction problems that involve a time component. However, while the time component adds additional information, it also makes time series problems more difficult to handle compared to many other prediction tasks. Time series data, as the name indicates, differ from other types of data in the sense that the temporal aspect is important. On a positive note, this gives us additional information that can be used when building our machine learning model -- that not only the input features contain useful information, but also the changes in input/output over time.
Forecasting models that are trained across sets of many time series, known as Global Forecasting Models (GFM), have shown recently promising results in forecasting competitions and real-world applications, outperforming many state-of-the-art univariate forecasting techniques. In most cases, GFMs are implemented using deep neural networks, and in particular Recurrent Neural Networks (RNN), which require a sufficient amount of time series to estimate their numerous model parameters. However, many time series databases have only a limited number of time series. In this study, we propose a novel, data augmentation based forecasting framework that is capable of improving the baseline accuracy of the GFM models in less data-abundant settings. We use three time series augmentation techniques: GRATIS, moving block bootstrap (MBB), and dynamic time warping barycentric averaging (DBA) to synthetically generate a collection of time series. The knowledge acquired from these augmented time series is then transferred to the original dataset using two different approaches: the pooled approach and the transfer learning approach. When building GFMs, in the pooled approach, we train a model on the augmented time series alongside the original time series dataset, whereas in the transfer learning approach, we adapt a pre-trained model to the new dataset. In our evaluation on competition and real-world time series datasets, our proposed variants can significantly improve the baseline accuracy of GFM models and outperform state-of-the-art univariate forecasting methods.
Cloud computing (CC) is a centralized computing paradigm that accumulates resources centrally and provides these resources to users through Internet. Although CC holds a large number of resources, it may not be acceptable by real-time mobile applications, as it is usually far away from users geographically. On the other hand, edge computing (EC), which distributes resources to the network edge, enjoys increasing popularity in the applications with low-latency and high-reliability requirements. EC provides resources in a decentralized manner, which can respond to users' requirements faster than the normal CC, but with limited computing capacities. As both CC and EC are resource-sensitive, several big issues arise, such as how to conduct job scheduling, resource allocation, and task offloading, which significantly influence the performance of the whole system. To tackle these issues, many optimization problems have been formulated. These optimization problems usually have complex properties, such as non-convexity and NP-hardness, which may not be addressed by the traditional convex optimization-based solutions. Computational intelligence (CI), consisting of a set of nature-inspired computational approaches, recently exhibits great potential in addressing these optimization problems in CC and EC. This paper provides an overview of research problems in CC and EC and recent progresses in addressing them with the help of CI techniques. Informative discussions and future research trends are also presented, with the aim of offering insights to the readers and motivating new research directions.
Neuroevolution commonly uses speciation strategies to better explore the search space of neural network architectures. One such speciation strategy is through the use of islands, which are also popular in improving performance and convergence of distributed evolutionary algorithms. However, in this approach some islands can become stagnant and not find new best solutions. In this paper, we propose utilizing extinction events and island repopulation to avoid premature convergence. We explore this with the Evolutionary eXploration of Augmenting Memory Models (EXAMM) neuro-evolution algorithm. In this strategy, all members of the worst performing island are killed of periodically and repopulated with mutated versions of the global best genome. This island based strategy is additionally compared to NEAT's (NeuroEvolution of Augmenting Topologies) speciation strategy. Experiments were performed using two different real world time series datasets (coal-fired power plant and aviation flight data). The results show that with statistical significance, this island extinction and repopulation strategy evolves better global best genomes than both EXAMM's original island based strategy and NEAT's speciation strategy.
This work presents a Long Short-Term Memory (LSTM) network for forecasting a monthly electricity demand time series with a one-year horizon. The novelty of this work is the use of pattern representation of the seasonal time series as an alternative to decomposition. Pattern representation simplifies the complex nonlinear and nonstationary time series, filtering out the trend and equalizing variance. Two types of patterns are defined: x-pattern and y-pattern. The former requires additional forecasting for the coding variables. The latter determines the coding variables from the process history. A hybrid approach based on x-patterns turned out to be more accurate than the standard LSTM approach based on a raw time series. In this combined approach an x-pattern is forecasted using a sequence-to-sequence LSTM network and the coding variables are forecasted using exponential smoothing. A simulation study performed on the monthly electricity demand time series for 35 European countries confirmed the high performance of the proposed model and its competitiveness to classical models such as ARIMA and exponential smoothing as well as the MLP neural network model.
In the near future, more and more machines will perform tasks in the vicinity of human spaces or support them directly in their spatially bound activities. In order to simplify the verbal communication and the interaction between robotic units and/or humans, reliable and robust systems w.r.t. noise and processing results are needed. This work builds a foundation to address this task. By using a continuous representation of spatial perception in interiors learned from trajectory data, our approach clusters movement in dependency to its spatial context. We propose an unsupervised learning approach based on a neural autoencoding that learns semantically meaningful continuous encodings of spatio-temporal trajectory data. This learned encoding can be used to form prototypical representations. We present promising results that clear the path for future applications.
Industrial forecasting has entered an era of unprecedented growth in the size and complexity of data which require new modeling methodologies. While many new general purpose machine learning approaches have emerged, they remain poorly understand and irreconcilable with more traditional statistical modeling approaches. We present a general class of exponential smoothed recurrent neural networks (RNNs) which are well suited to modeling non-stationary dynamical systems arising in industrial applications such as electricity load management and financial risk and trading. In particular, we analyze their capacity to characterize the non-linear partial autocorrelation structure of time series and directly capture dynamic effects such as seasonality and regime changes. Application of exponentially smoothed RNNs to electricity load forecasting, weather data and financial time series, such as minute level Bitcoin prices and CME futures tick data, highlight the efficacy of exponential smoothing for multi-step time series forecasting. The results also suggest that popular, but more complicated neural network architectures originally designed for speech processing, such as LSTMs and GRUs, are likely over-engineered for industrial forecasting and light-weight exponentially smoothed architectures capture the salient features while being superior and more robust than simple RNNs.
IBM Research Castor, a cloud-native system for managing and deploying large numbers of AI time-series models in IoT applications, is described. Modelling code templates, in Python and R, following a typical machine-learning workflow are supported. A knowledge-based approach to managing model and time-series data allows the use of general semantic concepts for expressing feature engineering tasks. Model templates can be programmatically deployed against specific instances of semantic concepts, thus supporting model reuse and automated replication as the IoT application grows. Deployed models are automatically executed in parallel leveraging a serverless cloud computing framework. The complete history of trained model versions and rolling-horizon predictions is persisted, thus enabling full model lineage and traceability. Results from deployments in real-world smart-grid live forecasting applications are reported. Scalability of executing up to tens of thousands of AI modelling tasks is also evaluated.
Pattern similarity-based methods are widely used in classification and regression problems. Repeated, similar-shaped cycles observed in seasonal time series encourage to apply these methods for forecasting. In this paper we use the pattern similarity-based methods for forecasting monthly electricity demand expressing annual seasonality. An integral part of the models is the time series representation using patterns of time series sequences. Pattern representation ensures the input and output data unification through trend filtering and variance equalization. Consequently, pattern representation simplifies the forecasting problem and allows us to use models based on pattern similarity. We consider four such models: nearest neighbor model, fuzzy neighborhood model, kernel regression model and general regression neural network. A regression function is constructed by aggregation output patterns with weights dependent on the similarity between input patterns. The advantages of the proposed models are: clear principle of operation, small number of parameters to adjust, fast optimization procedure, good generalization ability, working on the newest data without retraining, robustness to missing input variables, and generating a vector as an output. In the experimental part of the work the proposed models were used to forecasting the monthly demand for 35 European countries. The model performances were compared with the performances of the classical models such as ARIMA and exponential smoothing as well as state-of-the-art models such as multilayer perceptron, neuro-fuzzy system and long short-term memory model. The results show high performance of the proposed models which outperform the comparative models in accuracy, simplicity and ease of optimization.