LS-SVM hyper-parameters optimization based on GWO algorithm for time series forecasting

The importance of optimizing Least Squares Support Vector Machines (LSSVM) embedded control parameters has motivated researchers to search for proficient optimization techniques. In this study, a new metaheuristic algorithm, viz., Grey Wolf Optimizer (GWO), is employed to optimize the parameters of interest. Realized in commodity time series data, the proposed technique is compared against two comparable techniques, including single GWO and LSSVM optimized by Artificial Bee Colony (ABC) algorithm (ABC-LSSVM). Empirical results suggested that the GWO-LSSVM is capable to produce lower error rates as compared to the identified algorithms for the price of interested time series data.