Direct Method for Training Feed-forward Neural Networks using Batch Extended Kalman Filter for Multi-Step-Ahead Predictions
This paper is dedicated to the long-term, or multi-step-ahead, time series prediction problem. We propose a novel method for training feed-forward neural networks, such as multilayer perceptrons, with tapped delay lines. Special batch calculation of derivatives called Forecasted Propagation Through Time and batch modification of the Extended Kalman Filter are introduced. Experiments were carried out on well-known time series benchmarks, the Mackey-Glass chaotic process and the Santa Fe Laser Data Series. Recurrent and feed-forward neural networks were evaluated.
PDF Abstract
Datasets
Add Datasets
introduced or used in this paper
Results from the Paper
Submit
results from this paper
to get state-of-the-art GitHub badges and help the
community compare results to other papers.
Methods
No methods listed for this paper. Add
relevant methods here
