Hybrid approach for time series forecasting based on a penalty p-spline and evolutionary optimization

E.A. Kochegurova, E.Yu. Repina, O.B. Tsekhan
2020 Computer Optics  
In this work, a hybrid-forecasting model is proposed. The model includes a recursive penalty P-spline with parameters adaptation based on evolutionary optimization algorithms. In short-term forecasting, especially in real-time systems, the urgent task is to increase the forecast speed without compromising its quality. High forecasting speed has been achieved by an economical computational scheme of a recurrent P-spline with a shallow depth of prehistory. When combined with the adaptation of
more » ... parameters of the P-spline, such an approach allows you to control the forecast accuracy.
doi:10.18287/2412-6179-co-667 fatcat:gq7imalydreypnigxvipuqq3ca