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Combining LSTM Network Ensemble via Adaptive Weighting for Improved Time Series Forecasting

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  • Jae Young Choi
  • Bumshik Lee

Abstract

Time series forecasting is essential for various engineering applications in finance, geology, and information technology, etc. Long Short-Term Memory (LSTM) networks are nowadays gaining renewed interest and they are replacing many practical implementations of the time series forecasting systems. This paper presents a novel LSTM ensemble forecasting algorithm that effectively combines multiple forecast (prediction) results from a set of individual LSTM networks. The main advantages of our LSTM ensemble method over other state-of-the-art ensemble techniques are summarized as follows: (1) we develop a novel way of dynamically adjusting the combining weights that are used for combining multiple LSTM models to produce the composite prediction output; for this, our method is devised for updating combining weights at each time step in an adaptive and recursive way by using both past prediction errors and forgetting weight factor; (2) our method is capable of well capturing nonlinear statistical properties in the time series, which considerably improves the forecasting accuracy; (3) our method is straightforward to implement and computationally efficient when it comes to runtime performance because it does not require the complex optimization in the process of finding combining weights. Comparative experiments demonstrate that our proposed LSTM ensemble method achieves state-of-the-art forecasting performance on four real-life time series datasets publicly available.

Suggested Citation

  • Jae Young Choi & Bumshik Lee, 2018. "Combining LSTM Network Ensemble via Adaptive Weighting for Improved Time Series Forecasting," Mathematical Problems in Engineering, Hindawi, vol. 2018, pages 1-8, August.
  • Handle: RePEc:hin:jnlmpe:2470171
    DOI: 10.1155/2018/2470171
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    1. Dimitrios Kontogiannis & Dimitrios Bargiotas & Aspassia Daskalopulu & Lefteri H. Tsoukalas, 2021. "A Meta-Modeling Power Consumption Forecasting Approach Combining Client Similarity and Causality," Energies, MDPI, vol. 14(19), pages 1-19, September.
    2. Jiseong Noh & Hyun-Ji Park & Jong Soo Kim & Seung-June Hwang, 2020. "Gated Recurrent Unit with Genetic Algorithm for Product Demand Forecasting in Supply Chain Management," Mathematics, MDPI, vol. 8(4), pages 1-14, April.
    3. He, Wenbin & Liu, Ting & Ming, Wuyi & Li, Zongze & Du, Jinguang & Li, Xiaoke & Guo, Xudong & Sun, Peiyan, 2024. "Progress in prediction of remaining useful life of hydrogen fuel cells based on deep learning," Renewable and Sustainable Energy Reviews, Elsevier, vol. 192(C).
    4. Masum, Mohammad & Masud, M.A. & Adnan, Muhaiminul Islam & Shahriar, Hossain & Kim, Sangil, 2022. "Comparative study of a mathematical epidemic model, statistical modeling, and deep learning for COVID-19 forecasting and management," Socio-Economic Planning Sciences, Elsevier, vol. 80(C).
    5. Maciej Slowik & Wieslaw Urban, 2022. "Machine Learning Short-Term Energy Consumption Forecasting for Microgrids in a Manufacturing Plant," Energies, MDPI, vol. 15(9), pages 1-16, May.
    6. Li, Haolong & Chen, Qihong & Zhang, Liyan & Liu, Li & Xiao, Peng, 2023. "Degradation prediction of proton exchange membrane fuel cell based on the multi-inputs Bi-directional long short-term memory," Applied Energy, Elsevier, vol. 344(C).
    7. Diogo F. Costa Silva & Arlindo R. Galvão Filho & Rafael V. Carvalho & Filipe de Souza L. Ribeiro & Clarimar J. Coelho, 2021. "Water Flow Forecasting Based on River Tributaries Using Long Short-Term Memory Ensemble Model," Energies, MDPI, vol. 14(22), pages 1-12, November.
    8. Chien-Chih Wang, 2024. "T 2 -LSTM-Based AI System for Early Detection of Motor Failure in Chemical Plants," Mathematics, MDPI, vol. 12(17), pages 1-15, August.
    9. Montserrat Reyna Miranda & Ricardo Massa Roldán & Vicente Gómez Salcido, 2022. "Neuro-wavelet Model for price prediction in high-frequency data in the Mexican Stock market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-23, Enero - M.

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