Improving the prediction of chaotic time series

One of the features of deterministic chaos is sensitive to initial conditions. This feature limits the prediction horizons of many chaotic systems. In this paper, we propose a new prediction technique for chaotic time series. In our method, some neighbouring points of the predicted point, for which the corresponding local Lyapunov exponent is particularly large, would be discarded during estimating the local dynamics, and thus the error accumulated by the prediction algorithm is reduced. The model is tested for the convection amplitude of Lorenz systems. The simulation results indicate that the prediction technique can improve the prediction of chaotic time series.     

一种基于误差补偿的多元混沌时间序列混合预测模型

针对多元混沌时间序列的预测问题, 考虑到单纯改进储备池算法无法明显地提高预测精度, 提出一种基于误差补偿的时间序列混合预测模型. 实际观测的数据既包含线性特征又包含非线性特征. 首先利用自回归移动平均模型预测线性特征, 使得残差数据仅含非线性特征; 然后, 建立正则化回声状态网络模型预测; 最后, 将非线性部分的预测值与线性部分的预测值相加, 以实现高精度的多元混沌时间序列预测. 基于Lorenz和太阳黑子-黄河径流量时间序列的仿真实验验证了本文所提模型的有效性. 关键词： 回声状态网络 混沌 多元时间序列预测 误差补偿     

Error criteria for cross validation in the context of chaotic time series prediction

The prediction of a chaotic time series over a long horizon is commonly done by iterating one-step-ahead prediction. Prediction can be implemented using machine learning methods, such as radial basis function networks. Typically, cross validation is used to select prediction models based on mean squared error. The bias-variance dilemma dictates that there is an inevitable tradeoff between bias and variance. However, invariants of chaotic systems are unchanged by linear transformations; thus, the bias component may be irrelevant to model selection in the context of chaotic time series prediction. Hence, the use of error variance for model selection, instead of mean squared error, is examined. Clipping is introduced, as a simple way to stabilize iterated predictions. It is shown that using the error variance for model selection, in combination with clipping, may result in better models.     

Orbit determination and prediction accuracy analysis for a regional tracking network

China's COMPASS satellite navigation system relies on a regional tracking network to provide navigation services. Limited by its geographic border,the regional network is able to cover only 30% of the medium-earth-orbits(MEO). Accuracy of determined and predicted orbits is not able to satisfy system requirements if the tracking data processing strategy for global tracking network processing is used for the regional network. Two major error sources for orbital prediction are accuracy of initial orbital elements and dynamical modeling. To achieve better prediction accuracy,we propose a two-step orbit determination and prediction strategy. For step 1,only solar radiation pressure(SRP) parameters are estimated along with the orbital elements and other parameters; for step 2,all parameters are estimated but the SRP parameters are tightly constrained to their step 1 estimates. Experimenting with data from a regional GPS network,we conclude for orbital prediction using the proposed two-step strategy,the average user range error(URE) for 24-h prediction arcs is better than 0.6 m.     

含噪混沌时间序列预测误差分析

对于含噪混沌时间序列预测问题, 传统方法存在较大的经验性, 对预测误差的构成分析不足, 因而忽略了混沌动态重建与预测模型建立之间的差异性. 本文将实际预测误差分解为预测器偏差和输入扰动误差, 并对整体最小二乘和正则化两种全局预测方法进行分析比较, 进而说明整体最小二乘适用于混沌动态的重建, 对预测器偏差影响较大, 而正则化方法能够改善预测器敏感性, 对输入扰动误差影响较大. 通过两个仿真实例, 展示了混沌动态重建与预测模型建立之间的差异, 在对比最小二乘和正则化方法的同时验证了实际预测误差受预测器偏差和输入扰动误差共同作用. 并指出, 在实际操作时应在二者间寻求平衡, 以便使模型预测精度达到最优. 关键词： 混沌时间序列预测 噪声 整体最小二乘 正则化     

基于Cholesky分解的增量式RELM及其在时间序列预测中的应用

针对应用于混沌时间序列预测的正则极端学习机(RELM)网络结构设计问题,提出一种基于Cholesky分解的增量式RELM训练算法.该算法通过逐次增加隐层神经元的方式自动确定最佳的RELM网络结构,并以Cholesky分解方式计算其输出权值,有效减小了隐层神经元递增过程的计算代价.混沌时间序列预测实例表明,该算法可有效实现最佳RELM网络结构的自动确定,且计算效率高.利用该算法训练后的RELM预测模型具有预测精度高的优点,适用于混沌时间序列预测. 关键词： 神经网络 极端学习机 混沌时间序列 时间序列预测     

Nonlinear Time Series Prediction Using LS-SVM with Chaotic Mutation Evolutionary Programming for Parameter Optimization

Nonlinear time series prediction is studied by using an improved least squares support vector machine (LSSVM) regression based on chaotic mutation evolutionary programming (CMEP) approach for parameter optimization.We analyze how the prediction error varies with different parameters (σ, γ) in LS-SVM. In order to select appropriate parameters for the prediction model, we employ CMEP algorithm. Finally, Nasdaq stock data are predicted by using this LS-SVM regression based on CMEP, and satisfactory results are obtained.     

混沌海杂波背景下的微弱信号检测混合算法

基于经验模态分解理论, 提出了一种基于粒子群算法的支持向量机预测方法. 采用总体平均经验模式分解法将混沌信号分解为若干固有模态函数和趋势分量, 将复杂的非线性信号转化为具有不同尺度特征的平稳分量. 利用粒子群算法对支持向量机的惩罚系数和核函数进行优化, 结合支持向量机建立混沌序列的单步预测模型. 从预测误差中检测淹没在混沌背景中的微弱信号(包括瞬态信号和周期信号). 对Lorenz系统和实测IPIX雷达数据进行仿真实验, 结果表明, 该方法能够有效地从混沌背景噪声中检测出微弱目标信号, Lorenz系统得到的均方根误差0.000000339 (-102.8225 dB时)比传统支持向量机方法的均方根误差0.049 (-54.60 dB时)降低了5个数量级, 从海杂波中检测出具有谐波特性的微弱信号, 表明预测模型具有更低的门限和误差.     

基于混沌算子网络的时间序列多步预测研究

结合相空间重构理论和时间序列分析理论,提出一种用于时间序列多步预测的网络模型.网络采用多个混沌算子加权求和的形式构成.网络各层单元采用固定权值连接,混沌算子的控制参数利用混沌优化算法进行训练调节,从而控制预测网络的动力学行为.利用已知时间序列数据构造出训练样本,训练样本在网络训练过程中仅使用一次,促使网络的动力学特性随时间的推移而变化,并逐渐逼近被预测系统的动力学特性,最终完成对未来时刻数据的预测.在对理论数据进行预测分析时,通过计算预测序列的Lyapunov指数验证了预测网络的有效性.在对实际时间序列的预测过程中,该网络表现出了良好的预测性能.仿真结果表明,该预测网络可对多种时间序列在一定的预测步长范围内实现有效的预测.     

采用优化极限学习机的多变量混沌时间序列预测

基于优化极限学习机理论, 提出一种多变量混沌时间序列预测方法. 该方法利用复合混沌和混沌变尺度算法对极限学习机的模型参数进行搜索和优化, 以提高极限学习机的泛化性能; 然后利用优化后的极限学习机对Rossler耦合系统的多变量混沌时序进行一步和多步预测, 并且与同类算法进行了比较, 结果表明了该方法的有效性, 且算法具有较强的抗噪能力; 最后讨论了预测结果和隐层神经元数目的关系.     

基于混沌理论的太阳黑子数平滑月均值预报

太阳黑子活动长期预报对航天、通讯、防灾等具有重要的指导意义. 针对加权一阶局域法在多步预测时存在累积误差效应, 建立了基于相空间重构技术的径向基函数神经网络预测模型. 用该模型对第22, 23 太阳周黑子数平滑月均值进行逐月预报, 并与实测值进行比较. 结果表明, 预报的绝对误差可以控制在15.00 以内, 平均绝对误差分别为5.47, 2.83, 相对误差控制在15.00%以内, 平均相对误差分别为5.45%, 4.60%, 验证了该模型在预测太阳黑子数时具有较高的精度. 将该预测模型用于第24 太阳周黑子数平滑月均值预报, 做出了自2009 年1月到2019年12月共132 个月的黑子数平滑月均值的预报, 指出黑子数平滑月均值的最大值为104.77, 将出现的时间为2013年1月.     

Motion predicted online dynamic MRI reconstruction from partially sampled k-space data

In this work we address the problem of reconstructing dynamic MRI sequences in an online fashion, i.e. reconstructing the current frame given that the previous frames have been already reconstructed. The reconstruction consists of a prediction and a correction step. The prediction step is based on an Auto-Regressive AR(1) model. Assuming that the prediction is good, the difference between the predicted frame and the actual frame (to be reconstructed) will be sparse. In the correction step, the difference between the predicted frame and the actual frame is estimated from partially sampled K-space data via a sparsity promoting least squares minimization problem. We have compared the proposed method with state-of-the-art methods in online dynamic MRI reconstruction. The experiments have been carried out on 2D and 3D Dynamic Contrast Enhanced (DCE) MRI datasets. Results show that our method yields the least reconstruction error.     

混沌系统可预报期限随初始误差变化规律研究

利用非线性误差增长理论计算了Logistic映射和Lorenz系统可预报期限随初始误差的变化,发现Logistic映射等简单混沌系统的可预报期限与初始误差的对数存在线性关系.在非线性误差增长理论的框架下,理论分析表明,平均误差增长达到一定值时,误差增长进入明显的非线性增长阶段,最终达到饱和;对于一个确定的混沌系统,在控制参数固定的情况下误差增长的饱和值也是固定的,因此可预报期限只依赖于初始误差. 在可预报期限与初始误差对数存在的线性函数关系式中,线性系数与最大Lyapunov指数有关,在已知混沌系统的最大 关键词： 非线性局部Lyapunov指数 可预报期限 初始误差 混沌系统     

基于迭代误差补偿的混沌时间序列最小二乘支持向量机预测算法

本文分析了传统支持向量机预测算法产生的误差特性,发现产生的预测误差不同于噪声,具有较强的规律性,单一的预测模型遗漏了许多混沌序列中的确定性分量.经过误差补偿后,残差的冗余信息减少,随机性增强.在此基础上,本文提出一种基于迭代误差补偿的最小二乘支持向量机预测算法,能够通过多模型联合预测更加有效地逼近混沌系统的映射函数,在预测精度上取得了大幅度的提升.此外,算法通过留一交叉验证法的方法能够在预测前自动优化模型参数组合,克服了现有算法无法仅利用先验信息优化预测模型参数的缺陷.对MackeyGlass和Lorenz混沌时间序列进行了仿真实验,实验结果优于相关文献记载方法的预测性能,在性能指标上好于现有算法一个数量级.     

GEKF, GUKF and GGPF based prediction of chaotic time-series with additive and multiplicative noises

On the assumption that random interruptions in the observation process are modelled by a sequence of independent Bernoulli random variables, this paper generalize the extended Kalman filtering （EKF）, the unscented Kalman filtering （UKF） and the Gaussian particle filtering （GPF） to the case in which there is a positive probability that the observation in each time consists of noise alone and does not contain the chaotic signal （These generalized novel algorithms are referred to as GEKF, GUKF and GGPF correspondingly in this paper）. Using weights and network output of neural networks to constitute state equation and observation equation for chaotic time-series prediction to obtain the linear system state transition equation with continuous update scheme in an online fashion, and the prediction results of chaotic time series represented by the predicted observation value, these proposed novel algorithms are applied to the prediction of Mackey-Glass time-series with additive and multiplicative noises. Simulation results prove that the GGPF provides a relatively better prediction performance in comparison with GEKF and GUKF.     

Prediction of chaotic time series based on modified minimax probability machine regression

Long-term prediction of chaotic time series is very difficult,for the Chaos restricts predictability.in this paper a new method is studied to model and predict chaotic time series based on minimax probability machine regression （MPMR）. Since the positive global Lyapunov exponents lead the errors to increase exponentially in modelling the chaotic time series, a weighted term is introduced to compensate a cost function. Using mean square error （MSE） and absolute error （AE） as a criterion, simulation results show that the proposed method is more effective and accurate for multistep prediction. It can identify the system characteristics quite well and provide a new way to make long-term predictions of the chaotic time series.[第一段]     

基于改进教学优化算法的Hermite正交基神经网络混沌时间序列预测

针对传统预测模型对混沌时间序列预测精度低、收敛速度慢及模型结构复杂的问题, 提出了基于改进教学优化算法的Hermite正交基神经网络预测模型. 首先, 将自相关法和Cao方法相结合对混沌时间序列进行相空间重构, 以获得重构延迟时间向量; 其次, 以Hermite正交基函数为激励函数构成Hermite正交基神经网络, 作为预测模型; 最后, 将模型参数优化问题转化为多维空间上的函数优化问题, 利用改进教学优化算法对预测模型进行参数优化, 以建立预测模型并进行预测分析. 分别以Lorenz 系统和Liu系统为模型, 通过四阶Runge-Kutta法产生混沌时间序列作为仿真对象, 并进行单步及多步预测对比实验. 仿真结果表明, 与径向基函数神经网络、回声状态网络、最小二乘支持向量机及基于教学优化算法的Hermite正交基神经网络预测模型相比, 所提预测模型具有更高的预测精度、更快的收敛速度和更简单的模型结构, 验证了该模型的高效性, 便于推广和应用.     

混沌系统的时间延迟同步误差分析

对Pecora和Carroll的混沌自同步方案的延迟同步误差进行了研究.在计算机上对Lorenz混沌系统伪装的延迟同步误差进行了模拟:给定系统参数,对应不同延迟时间,得出了均方误差与采样步长的关系曲线;给定系统参数和延迟时间,对应不同采样步长,得到了混沌时间序列的误差曲线;给定采样步长,对应不同的系统参数,获得了混沌时间序列的尺度效应和均方误差与采样步长的关系曲线.提出了减小延迟同步误差的一些方法,得到一些对混沌同步和混沌控制应用有意义的结果. 关键词： 混沌同步 时间同步 误差分析     

混沌的可加性

从理论上推导了由几个混沌时间序列构成的新序列的动力学特性，提出了可加性的概念.计 算机仿真结果说明，新的时间序列具有分维吸引子，对初始值很敏感，两条邻近轨道随着时 间的增加呈现指数分离，具有短期可预测性，因此新序列也是混沌序列，即混沌具有可加性 .混沌时间序列的可加性理论不仅具有重要的理论意义，而且具有重要的应用价值，它是研 究多跳频电台的跳频码的理论基础. 关键词： 混沌时间序列 吸引子 分维 可加性