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Probability density forecast offers the whole distributions of forecasting targets, which brings greater flexibility and practicability than the other probabilistic forecast models such as prediction interval (PI) and quantile forecast. However, existing density forecast models have introduced various constraints on forecasted distributions, which has limited their ability to approximate real distributions and may result in suboptimality. In this paper, a distribution-free density forecast model based on deep learning is proposed, in which the real cumulative density functions (CDFs) of forecasting target are approximated by a large-capacity positive-weighted deep neural network (NN). Benefiting from the universal approximation ability of NNs, the range of forecasted distributions has been proven to contain all the distributions with continuous CDFs, which is superior to existing models’ considering both width and accordance with reality. Three tests from different scenarios were implemented for evaluation, i.e., very-short-term wind power, wind speed, and day-ahead electricity price forecast, in which the proposed density forecast model has shown superior performance over the state of the art. [ABSTRACT FROM AUTHOR]

In this paper, we propose a new approach to establish a landslide displacement forecasting model based on artificial neural networks (ANNs) with random hidden weights. To quantify the uncertainty associated with the predictions, a framework for probabilistic forecasting of landslide displacement is developed. The aim of this paper is to construct prediction intervals (PIs) instead of deterministic forecasting. A lower–upper bound estimation (LUBE) method is adopted to construct ANN-based PIs, while a new single hidden layer feedforward ANN with random hidden weights for LUBE is proposed. Unlike the original implementation of LUBE, the input weights and hidden biases of the ANN are randomly chosen, and only the output weights need to be adjusted. Combining particle swarm optimization (PSO) and gravitational search algorithm (GSA), a hybrid evolutionary algorithm, PSOGSA, is utilized to optimize the output weights. Furthermore, a new ANN objective function, which combines a modified combinational coverage width-based criterion with one-norm regularization, is proposed. Two benchmark data sets and two real-world landslide data sets are presented to illustrate the capability and merit of our method. Experimental results reveal that the proposed method can construct high-quality PIs. [ABSTRACT FROM PUBLISHER]

Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the high-frequency trading, forecasting for trading purposes is even a more challenging task, since an automated inference system is required to be both accurate and fast. In this paper, we propose a neural network layer architecture that incorporates the idea of bilinear projection as well as an attention mechanism that enables the layer to detect and focus on crucial temporal information. The resulting network is highly interpretable, given its ability to highlight the importance and contribution of each temporal instance, thus allowing further analysis on the time instances of interest. Our experiments in a large-scale limit order book data set show that a two-hidden-layer network utilizing our proposed layer outperforms by a large margin all existing state-of-the-art results coming from much deeper architectures while requiring far fewer computations. [ABSTRACT FROM AUTHOR]

Forecasting accuracy is an important issue for successful intelligent traffic management, especially in the domain of traffic efficiency and congestion reduction. The dawning of the big data era brings opportunities to greatly improve prediction accuracy. In this paper, we propose a novel model, stacked autoencoder Levenberg-Marquardt model, which is a type of deep architecture of neural network approach aiming to improve forecasting accuracy. The proposed model is designed using the Taguchi method to develop an optimized structure and to learn traffic flow features through layer-by-layer feature granulation with a greedy layerwise unsupervised learning algorithm. It is applied to real-world data collected from the M6 freeway in the U.K. and is compared with three existing traffic predictors. To the best of our knowledge, this is the first time that an optimized structure of the traffic flow forecasting model with a deep learning approach is presented. The evaluation results demonstrate that the proposed model with an optimized structure has superior performance in traffic flow forecasting. [ABSTRACT FROM AUTHOR]

Multistep-ahead forecasts can either be produced recursively by iterating a one-step-ahead time series model or directly by estimating a separate model for each forecast horizon. In addition, there are other strategies; some of them combine aspects of both aforementioned concepts. In this paper, we present a comprehensive investigation into the bias and variance behavior of multistep-ahead forecasting strategies. We provide a detailed review of the different multistep-ahead strategies. Subsequently, we perform a theoretical study that derives the bias and variance for a number of forecasting strategies. Finally, we conduct a Monte Carlo experimental study that compares and evaluates the bias and variance performance of the different strategies. From the theoretical and the simulation studies, we analyze the effect of different factors, such as the forecast horizon and the time series length, on the bias and variance components, and on the different multistep-ahead strategies. Several lessons are learned, and recommendations are given concerning the advantages, disadvantages, and best conditions of use of each strategy. [ABSTRACT FROM PUBLISHER]

Electrical power systems are evolving from today's centralized bulk systems to more decentralized systems. Penetrations of renewable energies, such as wind and solar power, significantly increase the level of uncertainty in power systems. Accurate load forecasting becomes more complex, yet more important for management of power systems. Traditional methods for generating point forecasts of load demands cannot properly handle uncertainties in system operations. To quantify potential uncertainties associated with forecasts, this paper implements a neural network (NN)-based method for the construction of prediction intervals (PIs). A newly introduced method, called lower upper bound estimation (LUBE), is applied and extended to develop PIs using NN models. A new problem formulation is proposed, which translates the primary multiobjective problem into a constrained single-objective problem. Compared with the cost function, this new formulation is closer to the primary problem and has fewer parameters. Particle swarm optimization (PSO) integrated with the mutation operator is used to solve the problem. Electrical demands from Singapore and New South Wales (Australia), as well as wind power generation from Capital Wind Farm, are used to validate the PSO-based LUBE method. Comparative results show that the proposed method can construct higher quality PIs for load and wind power generation forecasts in a short time. [ABSTRACT FROM PUBLISHER]