Prediction of chaotic time series based on modified minimax probability machine regression

• 来源期刊: 中国物理B（英文版）
• 关键词: minimax probability machine regression (MPMR) time series prediction chaos
• 年，卷（期）: 2007,（11）
• 页码范围: 3262-3270
• 页数: 9页
• 语种: 英文

摘要

Long-term prediction of chaotic time series is very difficult, for the chaos restricts predictability. In thie paper a new method is studied to model and predict chaotic time series based on minimax probability machine regression (MPMR). Since the positive global Lyapunov exponents lead the errors to increase exponentially in modelling the chaotic time series, a weighted term is introduced to compensate a cost function. Using mean square error (MSE) and absolute error (AE) as a criterion, simulation results show that the proposed method is more effective and accurate for multistep prediction. It can identify the system characteristics quite well and provide a new way to make long-term predictions of the chaotic time series.