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Fuzzy wavelet neural network based on fuzzy clustering and gradient techniques for time series prediction

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Abstract

This paper presents the development of fuzzy wavelet neural network system for time series prediction that combines the advantages of fuzzy systems and wavelet neural network. The structure of fuzzy wavelet neural network (FWNN) is proposed, and its learning algorithm is derived. The proposed network is constructed on the base of a set of TSK fuzzy rules that includes a wavelet function in the consequent part of each rule. A fuzzy c-means clustering algorithm is implemented to generate the rules, that is the structure of FWNN prediction model, automatically, and the gradient-learning algorithm is used for parameter identification. The use of fuzzy c-means clustering algorithm with the gradient algorithm allows to improve convergence of learning algorithm. FWNN is used for modeling and prediction of complex time series and prediction of foreign-exchange rates. Exchange rates are dynamic process that changes every day and have high-order nonlinearity. The statistical data for the last 2 years are used for the development of FWNN prediction model. Effectiveness of the proposed system is evaluated with the results obtained from the simulation of FWNN-based systems and with the comparative simulation results of previous related models.

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Author information

Authors and Affiliations

  1. Near East University, Lefkosa, North Cyprus, Mersin-10, Turkey

    Rahib H. Abiyev

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  1. Rahib H. Abiyev
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Correspondence to Rahib H. Abiyev.

Appendix

Appendix

As mentioned, the time varying learning rate is used in this paper. Let us consider the derivation of optimal learning rate using Lyapunov function [54]. γ(t) denotes learning rates for weight update formulas (10, 11) at discreet time t.

Let γ(t) is learning rate for the weights W = [w j , a ij , b ij , c ij , o ij ] and FWNN is trained using (10, 11). The convergence is guaranteed if the following conditions are satisfied

$$ 0 < \gamma (t) < {\frac{2}{{\left( {\mathop {\max }\limits_{t} \left\| {{\frac{\partial u(t)}{\partial W}}} \right\|} \right)^{2} }}} $$
(18)

Above statement can be proved by choosing a Lyapunov function \( V(t) = \frac{1}{2}e^{2} (t),\,{\text{where}}\,e(t) = (u^{d} (t) - u(t)) \).

Let us define Lyapunov function as,

$$ V(t) = \frac{1}{2}e^{2} (t) $$
(19)

Here, e(k) represents error function calculated in learning processes.

The change of the Lyapunov function is

$$ \begin{aligned} \Updelta V(t) & = V(t + 1) - V(t) = \frac{1}{2}(e^{2} (t + 1) - e^{2} (t)) = \frac{1}{2}((e(t) + \Updelta e(t))^{2} - e^{2} (t)) \\ & = \frac{1}{2}(2e(t) \cdot \Updelta e(t) + \Updelta e^{2} (t)) = \frac{1}{2}\Updelta e(t)(2e(t) + \Updelta e(t)) \\ \end{aligned} $$
(20)

The error difference is determined as

$$ \Updelta e(t) = {\frac{\partial e(t)}{\partial W}}\Updelta W = {\frac{{\partial (u^{d} (t) - u(t))}}{\partial W}}\Updelta W = - {\frac{\partial u(t)}{\partial W}}\Updelta W $$
(21)

From the update formula (10, 11)

$$ \begin{aligned} \Updelta W & = & - \gamma {\frac{\partial E}{\partial W}} = \gamma e(t){\frac{\partial u(t)}{\partial W}} \\ {\frac{\partial E}{\partial W}} & = & {\frac{\partial }{\partial W}}\left[ {\frac{1}{2}e^{2} (t)} \right] = e(t){\frac{\partial e(t)}{\partial W}} = - e(t){\frac{\partial u(t)}{\partial W}} \\ \end{aligned} $$
(22)
$$ \begin{aligned} \Updelta V(t) & = \frac{1}{2}\Updelta e(t)(2e(t) + \Updelta e(t)) = - \frac{1}{2}\left[ {{\frac{\partial u(t)}{\partial W}}} \right]^{T} \gamma (t)e(t){\frac{\partial u(t)}{\partial W}}\left( {2e(t) - \left[ {{\frac{\partial u(t)}{\partial W}}} \right]^{T} \gamma (t)e(t){\frac{\partial u(t)}{\partial W}}} \right) \\ \, & = \frac{1}{2}\gamma (t)e^{2} (t)\left\| {{\frac{\partial u(t)}{\partial W}}} \right\|^{2} \left( {\gamma (t)\left\| {{\frac{\partial u(t)}{\partial W}}} \right\|^{2} - 2} \right) \\ \end{aligned} $$
(23)

From the Lyapunov stability theorem, asymptotic stability is granted if ΔV(t) < 0, for all t. The initial values of the learning rates for the parameters {c1 ij , c2 ij , o ij , a ij , b ij , w j , q} can be taken differently. In the paper, the learning rates for all parameters W = {c1 ij , c2 ij , o ij , a ij , b ij , w j , q} are chosen to be the same initially, i.e., γ = γc = γo = γa = γb = γw. According to stability condition, from (23), the sufficient condition for convergence can be derived.

$$ 0 < \gamma (t) < {\frac{2}{{\left( {\mathop {\max }\limits_{t} \left\| {{\frac{\partial u(t)}{\partial W}}} \right\|} \right)^{2} }}} $$
(24)

From (24), it is seen that the upper bound of learning rate is found from an epoch. However, the learning rate that guaranties most rapid or optimal convergence is \( \gamma (t) = {1 \mathord{\left/ {\vphantom {1 {\left\| {{\frac{\partial u(t)}{\partial W}}} \right\|^{2} }}} \right. \kern-\nulldelimiterspace} {\left\| {{\frac{\partial u(t)}{\partial W}}} \right\|^{2} }} \). The error at the discrete time t + 1 can be represented as

$$ e(t + 1) = e(t) + \Updelta e(t) \approx e(t) + \left[ {{\frac{\partial e(t)}{\partial W}}} \right]^{T} \Updelta W = e(t) - \left[ {{\frac{\partial u(k)}{\partial W}}} \right]^{T} \gamma e(t){\frac{\partial u(t)}{\partial W}} = e(t)\left( {1 - \gamma \left\| {{\frac{\partial u(t)}{\partial W}}} \right\|^{2} } \right) $$
(25)

If we solve (25) for γ(t) in order to minimize the output error e(t + 1), we can get

$$ \gamma (t) = {\frac{1}{{\left\| {{\frac{\partial u(t)}{\partial W}}} \right\|^{2} }}} $$
(26)

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Abiyev, R.H. Fuzzy wavelet neural network based on fuzzy clustering and gradient techniques for time series prediction. Neural Comput & Applic 20, 249–259 (2011). https://doi.org/10.1007/s00521-010-0414-4

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