Chaotic time series prediction using least squares support vector machines
Ye Mei-Ying (叶美盈)a, Wang Xiao-Dong (汪晓东)b
a College of Mathematics and Physics, Zhejiang Normal University, Jinhua 321004, China; b College of Information Science and Engineering, Zhejiang Normal University, Jinhua 321004, China
Abstract We propose a new technique of using the least squares support vector machines (LS-SVMs) for making one-step and multi-step prediction of chaotic time series. The LS-SVM achieves higher generalization performance than traditional neural networks and provides an accurate chaotic time series prediction. Unlike neural networks' training that requires nonlinear optimization with the danger of getting stuck into local minima, training LS-SVM is equivalent to solving a set of linear equations. Thus it has fast convergence. The simulation results show that LS-SVM has much better potential in the field of chaotic time series prediction.
Received: 10 July 2003
Revised: 01 August 2003
Accepted manuscript online:
PACS:
05.45.Tp
(Time series analysis)
Fund: Project supported by the Zhejiang Provincial Natural Science Foundation, China (Grant No 602145).
Cite this article:
Ye Mei-Ying (叶美盈), Wang Xiao-Dong (汪晓东) Chaotic time series prediction using least squares support vector machines 2004 Chinese Physics 13 454
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