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The ability to forecast the future based on past data is a key tool to support individual and organizational decision making. In particular, the goal of Time Series Forecasting (TSF) is to predict the behavior of complex systems by looking only at past patterns of the same phenomenon. In recent years, several works in the literature have adopted Evolutionary Artificial Neural Networks (EANN) for TSF. In this work, we propose a novel EANN approach, where a weighted n-fold validation fitness scheme is used to build an ensemble of neural networks, under four different combination methods: mean, median, softmax and rank-based. Several experiments were held, using six real-world time series with different characteristics and from distinct domains. Overall, the proposed approach achieved competitive results when compared with a non-weighted n-fold EANN ensemble, the simpler 0-fold EANN and also the popular Holt-Winters statistical method.

Accurate time series forecasting is a key issue to support individual and organizational decision making. In this paper, we introduce novel methods for multi-step seasonal time series forecasting. All the presented methods stem from computational intelligence techniques: evolutionary artificial neural networks, support vector machines and genuine linguistic fuzzy rules. Performance of the suggested methods is experimentally justified on seasonal time series from distinct domains on three forecasting horizons. The most important contribution is the introduction of a new hybrid combination using linguistic fuzzy rules and the other computational intelligence methods. This hybrid combination presents competitive forecasts, when compared with the popular ARIMA method. Moreover, such hybrid model is more easy to interpret by decision-makers when modeling trended series.

Time Series Forecasting (TSF) is an important tool to support decision making (e.g., planning production resources). Artificial Neural Networks (ANN) are innate candidates for TSF due to advantages such as nonlinear learning and noise tolerance. However, the search for the best model is a complex task that highly affects the forecasting performance. In this work, we propose two novel Evolutionary Artificial Neural Networks (EANN) approaches for TSF based on an Estimation Distribution Algorithm (EDA) search engine. The first new approach consist of Sparsely connected Evolutionary ANN (SEANN), which evolves more flexible ANN structures to perform multi-step ahead forecasts. The second one, consists of an automatic Time lag feature selection EANN (TEANN) approach that evolves not only ANN parameters (e.g., input and hidden nodes, training parameters) but also which set of time lags are fed into the forecasting model. Several experiments were held, using a set of six time series, from different real-world domains. Also, two error metrics (i.e., Mean Squared Error and Symmetric Mean Absolute Percentage Error) were analyzed. The two EANN approaches were compared against a base EANN (with no ANN structure or time lag optimization) and four other methods (Autoregressive Integrated Moving Average method, Random Forest, Echo State Network and Support Vector Machine). Overall, the proposed SEANN and TEANN methods obtained the best forecasting

Accurate time series forecasting are important for displaying the manner in which the past continues to affect the future and for planning our day to-day activities. In recent years, a large literature has evolved on the use of evolving artificial neural networks (EANN) in many forecasting applications. Evolving neural networks are particularly appealing because of their ability to model an unspecified non-linear relationship between time series variables. In this work, a new approach of a previous Automatic Design of Artificial Neural Networks (ADANN) system applied to forecast time series is tackled. The automatic process to design artificial neural networks is carried out by a genetic algorithm (GA). These new methods, in order to get an accurate forecasting, are related with: shuffling training and validation patterns obtained from time series values and trying to improve the fitness function used in the global learning process (i.e. GA) using a new patterns set called validation II apart of the two used till the moment (i.e. training and validation). The object of this study is to try to improve the final forecasting getting an accurate system. In this paper, we also compare the forecasting ability of the ARIMA approach, evolving artificial neural networks (ADANN), unobserved components model (UCM) and a forecasting tool called Forecast Pro software using six benchmark time series.