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Applied Computational Intelligence and Soft Computing
Volume 2009, Article ID 364532, 21 pages
http://dx.doi.org/10.1155/2009/364532
Research Article

Novel FTLRNN with Gamma Memory for Short-Term and Long-Term Predictions of Chaotic Time Series

1Jawaharlal Darda Institute of Engineering & Technology, Yavatmal 445 001, Maharashtra, India
2Applied Electronics Department, Sant Gadge Baba Amravati University, Amravati 444 602, India

Received 3 November 2008; Revised 26 February 2009; Accepted 26 April 2009

Academic Editor: Junbin Gao

Copyright © 2009 Sanjay L. Badjate and Sanjay V. Dudul. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

Multistep ahead prediction of a chaotic time series is a difficult task that has attracted increasing interest in the recent years. The interest in this work is the development of nonlinear neural network models for the purpose of building multistep chaotic time series prediction. In the literature there is a wide range of different approaches but their success depends on the predicting performance of the individual methods. Also the most popular neural models are based on the statistical and traditional feed forward neural networks. But it is seen that this kind of neural model may present some disadvantages when long-term prediction is required. In this paper focused time-lagged recurrent neural network (FTLRNN) model with gamma memory is developed for different prediction horizons. It is observed that this predictor performs remarkably well for short-term predictions as well as medium-term predictions. For coupled partial differential equations generated chaotic time series such as Mackey Glass and Duffing, FTLRNN-based predictor performs consistently well for different depths of predictions ranging from short term to long term, with only slight deterioration after k is increased beyond 50. For real-world highly complex and nonstationary time series like Sunspots and Laser, though the proposed predictor does perform reasonably for short term and medium-term predictions, its prediction ability drops for long term ahead prediction. However, still this is the best possible prediction results considering the facts that these are nonstationary time series. As a matter of fact, no other NN configuration can match the performance of FTLRNN model. The authors experimented the performance of this FTLRNN model on predicting the dynamic behavior of typical Chaotic Mackey-Glass time series, Duffing time series, and two real-time chaotic time series such as monthly sunspots and laser. Static multi layer perceptron (MLP) model is also attempted and compared against the proposed model on the performance measures like mean squared error (MSE), Normalized mean squared error (NMSE), and Correlation Coefficient (). The standard back-propagation algorithm with momentum term has been used for both the models.