Time series prediction using LSTM

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Mustafa Al-Nasser
Mustafa Al-Nasser on 31 Oct 2019
Edited: lotus whit on 23 Oct 2021
Dear All;
I am trying to build an LSTM model to prodict the repsone of time series (deterministic) but the result is not good at all .
i try to change the parameters but still i can get good results. could you help how can i imporve the results
The code is below and i attached the data.
data=Y;
figure (2)
plot(data)
xlabel("case")
ylabel("fouling")
title("fouling plot")
numTimeStepsTrain = floor(0.95*numel(data));
dataTrain = data(1:numTimeStepsTrain+1);
dataTest = data(numTimeStepsTrain+1:end);
mu = mean(dataTrain);
sig = std(dataTrain);
dataTrainStandardized = (dataTrain - mu) / sig;
XTrain = dataTrainStandardized(1:end-1);
YTrain = dataTrainStandardized(2:end);
numFeatures = 1;
numResponses = 1;
numHiddenUnits = 100;
layers = [ ...
sequenceInputLayer(numFeatures)
lstmLayer(numHiddenUnits)
fullyConnectedLayer(numResponses)
regressionLayer];
options = trainingOptions('adam', ...
'MaxEpochs',250, ...
'GradientThreshold',1, ...
'InitialLearnRate',0.005, ...
'LearnRateSchedule','piecewise', ...
'LearnRateDropPeriod',125, ...
'LearnRateDropFactor',0.2, ...
'Verbose',false, ...
'Plots','training-progress');
net = trainNetwork(XTrain,YTrain,layers,options);
dataTestStandardized = (dataTest - mu) / sig;
XTest = dataTestStandardized(1:end-1);
net = predictAndUpdateState(net,XTrain);
[net,YPred] = predictAndUpdateState(net,YTrain(end));
numTimeStepsTest = numel(XTest);
for i = 2:numTimeStepsTest
[net,YPred(:,i)] = predictAndUpdateState(net,YPred(:,i-1),'ExecutionEnvironment','cpu');
end
YPred = sig*YPred + mu;
YTest = dataTest(2:end);
rmse = sqrt(mean((YPred-YTest).^2))
figure
plot(dataTrain(1:end-1))
hold on
idx = numTimeStepsTrain:(numTimeStepsTrain+numTimeStepsTest);
plot(idx,[data(numTimeStepsTrain) YPred],'.-')
hold off
xlabel("Time")
ylabel("Fouling Factor")
title("Fouling Prediction")
legend(["Observed" "Forecast"])
figure
subplot(2,1,1)
plot(YTest)
hold on
plot(YPred,'.-')
hold off
legend(["Observed" "Forecast"])
ylabel("Cases")
title("Forecast")
subplot(2,1,2)
stem(YPred - YTest)
xlabel("Time")
ylabel("Error")
title("RMSE = " + rmse)

Answers (1)

Shashank Gupta
Shashank Gupta on 11 Dec 2019
Hi,
While working on LSTM, we cannot have a final, definite, rule of thumb on how many layers or nodes or hidden neuron/units one must choose, this are all hyperparameter and very often a trail and error approach will give you the considerable better results. The most common framework people use is “K-fold Validation”. Maybe you should consider looking at it.
Every LSTM layer should be accompanied by a Dropout layer. It helps to prevent from overfitting. For choosing the optimizer, adaptive moment estimation or ADAM works well. Also MATLAB provide a way to get the optimal hyperparameter for training models, May be this link give you an idea of how to approach the problem.
Hope this helps.
  1 Comment
lotus whit
lotus whit on 23 Oct 2021
Hi
can you please to specify the minmum number of data (rows), to get a good reult of prediction ,because i have 33 entry(as time series from 1988:2012), but the result varied when i tried to duplicate the value to get good predictor?

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