Abstract
Least squares support vector machine (LS-SVM) is a popular tool for the analysis of time series data sets. Choosing optimal hyperparameter values for LS-SVM is an important step in time series analysis. In this paper, we combine LS-SVM with simulated annealing (SA) algorithms for nonlinear time series analysis. The LS-SVM is used to predict chaotic time series, and its parameters are automatically tuned using the SA and generalization performance is estimated by minimizing the k-fold cross-validation error. A benchmark problem, Mackey-Glass time series, has been used as example for demonstration. It is showed this approach can escape from the blindness of man-made choice of the LS-SVM parameters. It enhances the prediction capability of chaotic time series.
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Ye, M. (2007). Prediction of Chaotic Time Series Using LS-SVM with Simulated Annealing Algorithms. In: Liu, D., Fei, S., Hou, Z., Zhang, H., Sun, C. (eds) Advances in Neural Networks – ISNN 2007. ISNN 2007. Lecture Notes in Computer Science, vol 4492. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-72393-6_17
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DOI: https://doi.org/10.1007/978-3-540-72393-6_17
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-72392-9
Online ISBN: 978-3-540-72393-6
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