Research Article  Open Access
Haixia Wang, Peiguang Wang, M. Tamer Şenel, Tongxing Li, "On Novel Nonhomogeneous Multivariable Grey Forecasting Model NHMGM", Mathematical Problems in Engineering, vol. 2019, Article ID 9049815, 13 pages, 2019. https://doi.org/10.1155/2019/9049815
On Novel Nonhomogeneous Multivariable Grey Forecasting Model NHMGM
Abstract
A novel nonhomogeneous multivariable grey forecasting model termed NHMGM is proposed in this paper for use in nonhomogeneous multivariable exponential data sequences. The NHMGM model is able to reflect the nonlinear relation of the data sequences in the system, and it is proved that many classic grey forecasting models can be derived from NHMGM model. Parameters of the novel model are obtained by using least square method, and the time response function is given. A numerical example is presented to show the effectiveness of the proposed model, six different grey forecasting models are built for modeling, and two popular accuracy criteria (ARPE and MAPE) are adopted to test the reliability of the novel model. The example demonstrates that NHMGM2 model provides favorable performance compared with the other five grey models. Additionally, the multiplication transformation properties of NHMGM are systematically analysed, which establish a theoretical foundation for further applications of the model.
1. Introduction
Grey system theory has been adopted to various aspects of fields including energy, environment, industry, and so on [1–3]. The grey forecasting model is one of the most widely exploited techniques in forecasting field and develops greatly since it was proposed by Deng [4]. Compared with qualitative theory of knowing the system structure [5, 6], the grey forecasting model shows advantages in dealing with partially known and partially unknown information, and it makes more contribution to uncertainty problems. Chen and Huang [7] studied necessary and sufficient conditions for GM(1, 1), Ye et al. [8] constructed a GreyMarkov forecasting model, and Wu et al. [9] put forward a fractionalorder grey forecasting model. Scholars have always worked diligently to enrich the research and application of grey forecasting models, and some researchers have combined intelligent techniques with grey forecasting model to form hybrid grey models [10–13]. For example, Wang and Hsu [12] combined grey theory and genetic algorithms to forecast the output trends of high technology industry in Taiwan and obtained encouraging results. The mentioned studies improve simulative and predictive precision in a certain extent; however, these studies are based on the hypothesis that original data sequence is in accord with homogeneous index trend rather than nonhomogeneous index trend.
The other researchers were concerned with the nonhomogeneous data principle to improve the model [14–16]. Xie et al. [14] investigated NDGM model based on pure nonhomogeneous index sequence. Cui et al. [15] proposed a novel grey model NGM in order to solve the nonhomogeneous exponential data sequence and laid the foundation on the studies of nonhomogeneous grey models. The single variable nonhomogeneous grey forecasting model optimized by Cui et al. [15] is a useful way to deal with the nonhomogeneous data and attracts considerable interest of researchers. Ma et al. [16] utilized the kernel method to build a novel kernel regularized nonhomogeneous grey model abbreviated as KRNGM, and the results showed that KRNGM model outperformed the existing grey prediction models. All those studies indicate that the nonhomogeneous data sequence occupies an important part in grey forecasting, which motivates us to explore the nonhomogeneous multivariable grey forecasting model.
The most commonly used multivariable grey forecasting MGM model is proposed by Zhai et al. [17], which can uniformly describe each variable from viewpoint of system analysis, reflected the interactional relation of variables, and performed preferable prediction accuracy for modeling and forecasting in multiple variable system. MGM model attracts many researchers attention and has been successfully applied in various fields [18–22]. Dai et al. [18] investigated MGM model with optimized background value, and evidence of experiment results demonstrated that the optimized MGM model had higher forecasting accuracy for monotone sequences and oscillation sequences. Zou [19] applied a step by step new information modeling method to construct new information background value of multivariable nonequidistance grey model, and the novel model can be used to nonequal interval time series. Guo et al. [22] extended MGM model to predict engineering settlement deformation, which further expanded the application of multivariable grey model.
From the above analysis we know that most scholars only optimized the model from the view of modeling parameters to better fit data sequences with grey exponential law but ignored the nonhomogeneous multivariable data sequences. It is inevitable leading to errors if we forecast by MGM model while the data sequences are not in accord with homogeneous index trend. In this work, we put forward a novel multivariable grey forecasting model named NHMGM to handle the nonhomogeneous multivariable exponential data sequences. The novel NHMGM model is able to reflect the nonlinear relation of the data sequences in the system and makes it able to achieve better simulation and prediction performance. In order to compare the superiority of the proposed model, a numerical example is utilized to validate the simulation accuracy, six different grey forecasting models are built for modeling, and two accuracy criteria are adopted to test the accuracy. The example demonstrates that NHMGM2 model is superior to NMGM proposed in [20], NMGM model is superior to MGM model discussed in [17], and MGM model is superior to single variable grey models GM(1, 1) and NGM. In a word, the novel NHMGM2 model provides excellent performance compared with traditional classic grey models and presents advantages of dealing with nonhomogeneous multivariable exponential data sequences.
Exploring properties of parameters is also a unique perspective to utilize the model proficiently [23–26]. Li [23] investigated parameters nature of GM(1, 1) model after multiplication transformation and set off the hot spot on researching impact of multiplication transformation to parameters of the model. The multiplication transformation properties of the novel NHMGM model indicate that parameters of the transformed model have relation to the amount of multiplication transformation, and we cannot apply different data transformations to simplify the modeling process. Hence, it is interesting to study multiplication transformation properties of the novel model NHMGM.
This study proposes a novel nonhomogeneous multivariable grey forecasting model NHMGM and discusses its properties. The remainder of the paper is organized as follows. A novel nonhomogeneous multivariable grey forecasting model NHMGM and its derived models are presented in Section 2. The multiplication transformation properties of NHMGM are studied in Section 3. An illustrative example is given to demonstrate the practicality of the novel model in Section 4. Section 5 discusses different forms of NHMGM model and further studies. Some conclusions are summarised in Section 6.
2. Grey NHMGM Model
In this section, modeling mechanism and prediction functions of the novel NHMGM model are presented.
Definition 1. Let the original data matrix be , where isThe data matrix is said to be the firstorder accumulated generation (1AGO) matrix of , whereThe adjacent neighbour average matrix is said to be the background value of the model, where
Definition 2. Assume that is a nonnegative original data matrix, is 1AGO of , and is the adjacent neighbour average matrix. The whitenization differential equations of the novel nonhomogeneous multivariable grey forecasting model abbreviated NHMGM are defined as follows:where . We denote the notation for convenience Therefore, (4) can be written in matrix form, which is Consequently, the differential equation is called the original form of nonhomogeneous multivariable grey forecasting NHMGM model. From (7), we deduce that the discrete form of NHMGM model isThe novel model NHMGM contains a nonlinear term , and is named the nonlinear correction term in (8). The nonlinear term can reflect the nonhomogeneous data sequences in the restored function, and the restored values of original data sequences can be adjusted through their coefficients and . Therefore, NHMGM can deal with the nonlinear relation of data sequences and makes it able to achieve better simulation and prediction performance.
In what follows, we present the parameters of NHMGM model, discuss the derived models, and give the time response functions of models.
Theorem 3. Assume that is a nonnegative original data matrix, is 1AGO of , and is the adjacent neighbour average matrix. The parameters , and are defined in (5). Thenwhere
The novel nonhomogeneous multivariable grey forecasting model NHMGM is the extension of traditional MGM model, and many grey forecasting models can be derived from NHMGM, . For example, NMGM studied in [20] can be derived from NHMGM while =0, and MGM model can also be derived from NHMGM model when =0. In the following, we denote NHMGM model as NHMGM2 while =2 in NHMGM and denote NHMGM model as NHMGM1 while =1 in NHMGM. We give the time response functions of NHMGM2, NHMGM1, NHMGM, and some corollaries.
Theorem 4. Assume that , , and are defined as in Definition 1. The parameters , and are obtained by Theorem 3. Then the following assertions hold.
The time response function of NHMGM2 model is The restored value of is
Proof. From (6), we deduce that the whitenization differential equation of NHMGM2 model isMultiplying (13) by , we obtainwhich yields thatIntegrating (15) from to implies thatMultiplying (16) by and setting , we have Letting in (17), then (11) can be obtained.
The restored data can be deduced from 1AGO and hence we omit it.
Property 5. The NHMGM2 model can simulate and forecast the nonhomogeneous multivariable exponential data such as .
Theorem 6. Assume that , , and are defined as in Definition 1. The parameters , and are obtained by Theorem 3. Then the following assertions hold.
The time response function of NHMGM1 model is The restored value of is
Property 7. The NHMGM1 model can simulate and forecast the nonhomogeneous multivariable exponential data such as .
Theorem 8. Assume that , , and are defined as in Definition 1. The parameters , and are obtained by Theorem 3. The time response function of NHMGM model is
In order to compare the forecasting performance of different grey models, we give the time response functions of NMGM [20] and MGM [17] for the convenience of the reader.
Corollary 9. Assume that , , and are defined as in Definition 1. The parameters and are obtained by Theorem 3. Then the following assertions hold.
(1) The prediction function of NMGM model is(2) The restored value of is
Corollary 10. Suppose that , , and are defined as in Definition 1. The parameters , and are obtained by Theorem 3. Then the following assertions hold.
(1) The time response function of MGM model is(2) The restored data function is
3. Properties of NHMGM
In order to grasp properties of NHMGM model and establish a theoretical foundation for further applications of the model, in this section, we investigate the multiplication transformation properties of NHMGM model.
Definition 11. For the nonnegative original data , if is a nonnegative constant and , then it is called the multiplication transformation of , where is called the amount of multiplication transformation, is called the original data, and is termed the multiplication transformation data.
Suppose that is the original data matrix, is the adjacent neighbour average matrix of , and is the multiplication transformation data of , where . Moreover, assume that is 1AGO of and is the adjacent neighbour average matrix of . Thus, we deduce thatHence, we obtain
Theorem 12. Assume that is the nonnegative original data matrix, is the adjacent neighbour average matrix of , and is the multiplication transformation data matrix of , where . Furthermore, suppose that is 1AGO of and is the adjacent neighbour average matrix of . If we construct a NHMGM model by the multiplication transformation data matrix , then parameters , and of the transformed NHMGM model are where
In what follows, we investigate multiplication transformation properties of NHMGM model.
Theorem 13. Suppose that , and are defined as Theorem 12. Assume that , and are the parameters of NHMGM model constructed by the original data matrix . Moreover, if , and are the parameters of transformed NHMGM model constructed by the multiplication transformation data matrix , then the parameters have the following properties:
Proof. By (27) in Theorem 12, we obtainwhere and are defined as in (28) and (29), respectively. From the definition in (28), we haveIt is clear that is a symmetric matrix. Set . The property of the determinant yieldsFrom the definition of matrix inverse, we haveLet be the algebraic cofactor of and be the algebraic cofactor of . We discuss the relation of and in 4 cases.
Case . If and , thenCase . If and , thenCase . If and , thenCase . If and , thenOn the basis of 4 cases above, we deduce that and have the following relation:Combining (34) and (39), we conclude thatIt follows thatHence, (30) holds.
From Theorem 13 we come to conclusions that parameters of the transformed NHMGM model are dependent on the amount of multiplication transformation. If we apply different multiplication transformations to the original data, then parameters of the transformed model are proportional to and are inversely proportional to , and parameters and are proportional to . Therefore, it is not suitable to predict by applying different multiplication transformations to original data when constructing a NHMGM model.
4. Numerical Example Analysis
We employ a multiple variable nonhomogeneous data example to demonstrate effectiveness of the novel model in this part. To better reflect the nonhomogeneous superiority of NHMGM model, this paper chooses NHMGM2, NHMGM1, NMGM studied in [20], the traditional grey prediction model MGM discussed in [17], the most commonly used GM(1, 1) model, and the single variable nonhomogeneous grey model NGM proposed in [15] to compare the simulation and prediction results.
Example 1. Assume that is a multiple variable nonhomogeneous data matrix. The original value of is , and the original value of is . Construct NHMGM2, NHMGM1, NMGM, MGM, GM(1, 1), and NGM with to compare the accuracy of different models.
In order to compare the simulation and forecasting results of six different models, we divide the dataset into two parts, insample data from the first to the fifth data and outofsample data is the sixth.
By the first to the fifth original data of , we obtain 1AGO sequence , whereThen we get the adjacent neighbour average matrix , whereIn what follows, we construct six different grey forecasting models to compare the simulation and prediction accuracy of the model. The NHMGM2 model can be constructed as follows:The NHMGM1 model can be constructed asThe NMGM model proposed in [20] isThe MGM model discussed in [17] can be constructed asWe construct single variable grey forecasting model GM(1, 1) and NGM model for and , respectively. GM(1, 1) model can be constructed as follows:The single variable nonhomogeneous grey prediction model NGM studied in [15] is established:
We use the absolute relative percent error (ARPE) and mean absolute percentage error (MAPE) to evaluate the accuracy of the model. The absolute relative percent error (ARPE) of the model isThe mean absolute percentage error (MAPE) is
In order to find the best fitted model, we compare the actual values with simulated and forecasted values done by six models, and two criteria ARPE and MAPE are employed to evaluate the accuracy of the model. By calculating, we obtain the simulation and prediction values of and done by NHMGM2, NHMGM1, NMGM, MGM, GM(1, 1), and NGM models. The actual, simulated, and forecasted values of and are listed in Tables 1 and 2, and ARPE and MAPE of and are presented in Tables 3 and 4, respectively.



