一种新的计算组合预测权重的方法

A New Algorithm of the Combination of Forecasts

建立了基于最小二乘原理的组合预测模型 ,提出了求解此组合预测模型的一种新的算法 ,即Frank Wolfe算法 ,并将其应用于实证研究。结果表明 ,Frank Wolfe方法用于求解组合预测问题的权重时 ,是一种行之有效的方法。

A new algorithm of the combination of forecasts,the Frank-Wolfe algorithm,corresponding to a combinative forecast model based on the principle of OLS has been presented. Its application to the forecasting of aggregate consumption economic index of Shanghai city shows that it has the highest precision in forecasting.Therefore,it is a simple and effective method of combinative forecasts in solving combinative forecast weights.