基于EMD-LSTM的时间序列预测方法

Time series prediction based on EMD-LSTM model

工程应用中的时间序列多为非线性、非平稳序列,直接对其进行预测难度较大.本研究通过经验模态分解算法将原始时间序列分解为多个相对平稳,并具有不同特征尺度的本征模态函数及趋势项,在一定程度上降低时间序列的复杂程度;同时,在预测过程中,针对递归神经网络模型难以训练及梯度消失等问题,引入长短期记忆网络算法.利用长短期记忆网络算法对分解的本征模态函数分量及趋势项进行分别预测,叠加预测结果得到最终预测结果.以中国北京市PM 2.5浓度为例进行预测分析,并将本预测算法与单一预测算法进行比较,结果表明,所提方法具有更高的模型预测精度,达到预测要求.

The time series in engineering applications are mostly non-stationary and non-linear,which are difficult to be directly predicted.Based on the empirical model decomposition(EMD)method,we decompose the original time series into a number of intrinsic mode functions(IMFs)and trend series with the different feature scales in order to reduce the complexity of time series.Meanwhile,in the prediction process,in order to solve the problems of training difficulty and the gradient disappearance in recurrent neural network(RNN)model,we introduce a long-short term memory(LSTM)network algorithm to predict both the results of the decomposed IMF components and trend series respectively,and obtain the final prediction result by surposing the respective prediction results.Taking the PM 2.5 concentration in Beijing as an example for prediction and analysis,we compare our prediction algorithm with the single prediction algorithm.The results show that the proposed prediction model has higher accuracy and can meet the prediction requirements.