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Prediction of Chaotic Time Series Using LS-SVM with Automatic Parameter Selection

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6 Author(s)
Xiaodong Wang ; Zhejiang Normal University, Jinhua ; Haoran Zhang ; Changjiang Zhang ; Xiushan Cai
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Least squares support vector machine (LS-SVM) combined with genetic algorithm (GA) is used to predict chaotic time series. The LS-SVM can overcome some shortcoming in the multilayer perceptron and the GA is used to tune the LS-SVM parameters automatically. A benchmark problem, Hénon map time series, has been used as an 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 efficiency and the capability of prediction. Further, the GA is compared with cross-validation method for tuning LS-SVM parameters. The results reveal that the GA can obtain lower prediction errors than the k-folds cross validation method.

Published in:

Parallel and Distributed Computing, Applications and Technologies, 2005. PDCAT 2005. Sixth International Conference on

Date of Conference:

05-08 Dec. 2005

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