基于时钟触发长短期记忆的多元时序预测

冯勇; 冯述放; 罗娜

doi:10.14135/j.cnki.1006-3080.20211102001

基于时钟触发长短期记忆的多元时序预测

doi: 10.14135/j.cnki.1006-3080.20211102001

华东理工大学能源化工过程智能制造教育部重点实验室, 上海 200237

详细信息

作者简介:
冯勇：作者简介：冯勇（1997—），男，安徽人，硕士生，主要研究方向为时间序列预测。E-mail：2537138965@qq.com

通讯作者:
罗娜， E-mail：naluo@ecust.edu.cn

中图分类号: TP183
计量
- 文章访问数: 45
- HTML全文浏览量: 42
- PDF下载量: 2
- 被引次数: 0
出版历程
- 收稿日期: 2021-11-02
- 录用日期: 2022-03-16
- 网络出版日期: 2022-04-12

Multivariate Time Series Prediction Based on Clockwork Triggered Long Short Term Memory

Key Laboratory of Smart Manufacturing in Energy Chemical Process, Ministry of Education, East China University of Science and Technology, Shanghai 200237, China

摘要

摘要: 在现有的多元时间序列预测方法中，模型无法敏锐地捕获时间序列短期突变信号从而导致预测趋势滞后和误差较大。本文提出了一种基于时钟触发长短期记忆 (Clockwork Triggered Long Short Term Memory, CWTLSTM) 网络的多元时序预测模型，通过增强对短期信息的捕获能力提高了预测精度。CWTLSTM将网络中所有的神经元进行分组，对每个分组赋予不同的激活频率，每一组神经元只在时间步长等于周期的整数倍时才被激活。根据周期是否为1将网络分为主干网络链和短期输入增强链，短期输入增强链在靠近输出位置的时间步上激活时，将输入信息的运算结果单向地传递给主干网络链，增强此时的输入权重，使模型在存储长期信息的基础上能快速响应短期突变信息带来的数据波动。在空气污染数据集和水泥篦冷机数据集上的验证结果表明，本文模型在减少预测误差与趋势判断上均有较好的表现。
- 多元时间序列 /
- 循环神经网络 /
- 分频 /
- 稀疏结构
Abstract: In multivariate time series prediction, it is difficult to capture short-term mutation during long time series, which leads to significant prediction errors. A short-term information enhancement model called clockwork triggered long short term memory (CWTLSTM) neural network is proposed in this paper. The new model groups neurons in the network and assigns different activation frequencies to each group. The neurons in each group can be activated only when the time step is equal to an integer multiple of their specified period. According to the number of the group period, the network is divided into backbone network chain and short-term input enhancement chain. When the short-term input enhancement chain is activated on the time step close to the output position, the input information at that point will be transmitted to the backbone network chain uniaxially, and the weight of short-term input data will be enhanced. So the model can quickly respond to the data fluctuation caused by short-term mutation information, on the basis of storing long-term information. The prediction performance of CWTLSTM was verified by air pollution data set and cement cooler data set, compared with LSTM, XGboost and CWRNN models. The results show that the proposed model has good performance in reducing forecasting error and forecasting future trend. In the experiment, the parameter sensitivity of the model to the periodic allocation strategy is also analyzed, which verifies the role of CWTLSTM in short-term information enhancement to a certain extent.
- multivariate time series /
- recurrent neural network /
- frequency division /
- sparse structure

HTML全文

图 1 CWTLSTM结构图

Figure 1. Structure of CWTLSTM

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图 2 分频规则为[1,2,1]的CWTLSTM

Figure 2. CWTLSTM with frequency division rule [1,2,1]

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图 3 短期信息增益说明

Figure 3. Description of short-term information gain

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图 4 一氧化碳浓度的原始数据曲线与ACF曲线

Figure 4. Original data curves and ACF curves of carbon monoxide concentration

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图 5 空气污染结果对比 (Timesteps =48)

Figure 5. Comparison of air pollution results(Timesteps =48)

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图 6 二次风温度原始数据曲线与ACF曲线

Figure 6. Original data curves and ACF curves of secondary air temperature

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图 7 二次风温度预测结果对比（Timesteps=50）

Figure 7. Comparison of prediction results of secondary air temperature(Timesteps=50)

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图 8 不同时间步长的结果比对

Figure 8. Comparison of results of different time step lengths

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图 9 不同批次结果比对

Figure 9. Comparison of results of different batches

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图 10 多组测试的RMSE对比

Figure 10. RMSE comparison for multiple tests

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图 11 不同分组频率结果对比

Figure 11. Comparison of results of different grouping frequencies

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表 1 空气污染数据集上各模型的预测结果对比

Table 1. Comparison of prediction results of various models on the air pollution dataset

Model	Timesteps=10				Timesteps=48
Model	RMSE/ ($\mathrm{m}\mathrm{g}\cdot {\mathrm{m} }^{3}$)	MAE/ ($\mathrm{m}\mathrm{g}\cdot{\mathrm{m} }^{3}$)	MAPE/ %	${{\boldsymbol{R}}} ^{2}$	RMSE/ ($\mathrm{m}\mathrm{g}\cdot{\mathrm{m} }^{3}$)	MAE/ ($\mathrm{m}\mathrm{g}\cdot{\mathrm{m} }^{3}$)	MAPE/ %	${{\boldsymbol{R}}} ^{2}$
VARMAX	0.572	0.377	0.250	0.841	0.587	0.391	0.241	0.833
SVR	0.511	0.342	0.215	0.873	0.515	0.345	0.196	0.872
XGBoost	0.507	0.350	0.209	0.875	0.575	0.359	0.192	0.840
CWRNN	0.485	0.343	0.228	0.886	0.498	0.381	0.223	0.880
LSTM	0.483	0.330	0.215	0.887	0.465	0.322	0.221	0.895
CWTLSTM	0.478	0.322	0.205	0.889	0.425	0.302	0.216	0.912

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表 2 二次风温度预测结果对比

Table 2. Comparison of prediction results of secondary air temperature

Model	Timesteps=20				Timesteps=50
Model	RMSE /$ \mathrm{℃} $	MAE /$ \mathrm{℃} $	MAPE /%	$ {\mathrm{R}}^{2} $	RMSE/ ($ \mathrm{℃} $)	MAE/ ($ \mathrm{℃} $)	MAPE/ %	$ {\mathrm{R}}^{2} $
VARMAX	4.24	3.39	0.312	0.942	3.87	3.06	0.282	0.952
SVR	3.81	3.16	0.291	0.953	4.37	3.52	0.325	0.938
XGBoost	4.25	3.21	0.297	0.941	4.24	3.22	0.296	0.942
LSTM	2.50	1.93	0.176	0.973	2.72	2.29	0.211	0.976
CWRNN	2.32	1.89	0.174	0.982	2.30	1.80	0.164	0.983
CWTLSTM	2.23	1.71	0.156	0.983	1.67	1.33	0.122	0.991

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