Multi-step-ahead chaotic time series prediction using coevolutionary recurrent neural networks

Multi-step-ahead time series prediction has been one of the greatest challenges for machine learning. Recurrent neural networks (RNN) can efficiently model temporal sequences and have been promising for multi-step time series prediction. Cooperative neuro-evolution has been used for training RNNs with promising performance for single step ahead time series prediction. This paper employs cooperative neuro-evolution of RNNs for multi-step ahead prediction. The RNN recursively predicts the next values in the horizon where the output from the single-step ahead prediction are the input for predicting the next value in the horizon. The performance of cooperative neuro-evolution is compared with back-propagation through time (BPTT) learning algorithm. The results are promising which shows that cooperative neuro-evolution performs better compared to BPTT for most cases.