Structural Combination of Neural Network Models

Abstract

This is the accepted version of the paper.This version of the publication may differ from the final published version. ). This paper explores the incorporation of internal structure parameters of feed-forward neural network (NN) models as an approach to combine their forecasts via ensembles. First, the generated NN models that could be part of the ensembles are subject to a clustering algorithm that uses the structure parameters and, from each of the clusters obtained, a small set of models is selected and their forecasts are combined in a two-stage procedure. Secondly, in an alternative and simpler implementation, a subset of the generated NN models is selected by using several reference points in the model structure parameter space. The choice of the reference points is optimised through a genetic algorithm and the models selected are averaged. Hourly electricity demand time series is used to assess multi-step ahead forecasting performance for up to a 12 hours horizon. Results are compared against several statistical benchmarks, the average of the individual forecasts and the best models in the ensembles. Results show that the clusterbased (CB) structural combinations do better than the genetic algorithm (GA) structural combinations in outperforming the average forecast, which is the traditional point forecast from an ensemble. Permanent repository link