Title :
Time series forecasting using multilayer neural network constructed by a Monte-Carlo based algorithm
Author :
Xin, Peiming ; Zhao, Hong
Author_Institution :
Phys. Dept., Xiamen Univ., Xiamen, China
Abstract :
In this paper we use a multilayer neural network (MNN) constructed by a Monte Carlo based algorithm to forecast time series events. Experiments are carried out on two benchmark problems in time series forecasting literature. Our result shows a comparative performance with other prediction methods. In our approach, a multilayer neural network with high level of generalization ability is obtained without sensible choice of external parameters.
Keywords :
Monte Carlo methods; feedforward neural nets; forecasting theory; time series; Monte Carlo based algorithm; multilayer neural network; time series forecasting; Artificial neural networks; Feedforward neural networks; Feedforward systems; Monte Carlo methods; Multi-layer neural network; Neural networks; Physics; Prediction methods; Risk management; Support vector machines;
Conference_Titel :
Web Society, 2009. SWS '09. 1st IEEE Symposium on
Conference_Location :
Lanzhou
Print_ISBN :
978-1-4244-4157-0
Electronic_ISBN :
978-1-4244-4158-7
DOI :
10.1109/SWS.2009.5271810