Hetero-Dimensional Multitask Neuroevolution for Chaotic Time Series Prediction

Abstract

Chaotic time series prediction has important research and application value, and neural network-based prediction methods have problems such as low accuracy and difficulty in determining the number of nodes in the hidden layer. In recent years, as a representative of evolutionary multitask optimization algorithms(EMTO), multifactorial evolutionary algorithms (MFEA) have achieved excellent results in Multitask Optimization (MTO) problems, but it does not work well in solving hetero-dimensional multitask problem. We analyzed this phenomenon and proposed the concept of harmful transfer. Then to solve these problems, in this paper, we propose the hetero-dimensional multitask neuroevolution algorithms (HD-MFEA neuroevolution) for chaotic time series prediction. First, we propose hetero-dimensional assortative mating algorithm and self-adaption elite replacement algorithm, so that the hetero-dimensional multitask evolutionary algorithm (HD-MFEA) can overcome the problems caused by harmful transfer on hetero-dimensional multitask problem. Second, in order to adapt to the hierarchical characteristics of neural networks, we propose the neural level segmental coding strategy. Third, we consider the optimization of neural networks with different hidden layer nodes as hetero-dimensional multitask problem and use the HD-MFEA neuroevolution to solve this problem. We verify the effectiveness of the HD-MFEA on six hetero-dimensional multitask benchmark problems. The Mackey-Glass, Lorenz and Sunspot time series are used to demonstrate the performance of the HD-MFEA neuroevolution. Experimental results have showed that the HD-MFEA neuroevolution performs well in predicting the chaotic time series problems.

Keywords

• Chaotic time series prediction
• evolutionary algorithm
• evolutionary multitask optimization
• multifactorial evolutionary algorithm
• neuroevolution