Forecasting Time Series with Genetic Fuzzy Predictor Ensemble

Abstract

This paper proposes a genetic fuzzy predictor ensemble (GFPE) for the accurate prediction of the future in the chaotic or nonstationary time series. Each fuzzy predictor in the GFPE is built from two design stages, where each stage is performed by different genetic algorithms (GA's). The first stage generates a fuzzy rule base that covers as many of training examples as possible. The second stage builds fine-tuned membership functions that make the prediction error as small as possible. These two design stages are repeated independently upon the different partition combinations of input-output variables. The prediction error will be reduced further by invoking the GFPE that combines multiple fuzzy predictors by an equal prediction error weighting method. Applications to both the Mackey-Glass chaotic time Series and the nonstationary foreign currency exchange rate prediction problem are presented. The prediction accuracy of the proposed method is compared with that of other fuzzy and neural network predictors in terms of the root mean squared error (RMSE).