matlabmachine-learningneural-networktime-seriesnntool# Multi Step Prediction Neural Networks

I have been working with the matlab neural network toolkit. Here I am using the NARX network. I have a dataset consisting of prices of an object as well as the quantity of the object purchased over a period of time. Essential this network does one step prediction which is defined mathematically as follows:

y(t)= f (y(t −1),y(t −2),...,y(t −ny),x(t −1),x(t −2),...,x(t −nx))

Here y(t) is the price at time t and x is the amount. So the input features I am using are price and amount and the target is the price at time t+1. Suppose I have 100 records of such transactions and each transaction consists of the price and the amount.Then essentially my neural network can predict the price of the 101st transaction. This works fine for one step predictions. However, if i want to do multiple step predictions, so say i want to predict 10 transactions ahead(110th transaction), then I assume that i do a one step prediction of the price and then feed this back into the neural network. I keep doing this until I reach the 110th prediction. However, in this scenario, after i predict the 101st price , I can feed this price into the neural network to predict the 102nd price, however, I do not know the amount of the object at the 101st transaction. How do I go about this ? I was thinking about setting my targets to be the prices of transactions that are 10 transactions ahead of the current one, so that when I predict the 101st transaction, I am essentially predicting the price of the 110th transaction. Is this a viable solution or am i going about this in a completely wrong manner?

Solution

I guess you can use a separate neural network to do time series prediction for x in order to produce x(t+1) up to x(t+10) and then use these values to feed another ANN to predict y(t).

- How to implement Gray scale morphology to detect round object on gray scale image in matlab?
- clean morphological operation
- Closing a gap in time series
- Efficient segment boundary marking after segmentation of an image
- What is the algorithm of Skeleton
- Select largest object in an image
- How to find the maximum of opening in all orientations at a point in an image?
- How to Extract part of Image using Matlab
- HitMiss transformation in matlab
- dotted output after skeletonization in matlab
- relabeling pixels based on distance between object's centerline and boundary
- Morphological dilation on Greyscale image using a neighborhood of size n x n in MATLAB
- Counting the largest connecting objects/component by using bwlabel
- Mask image with static threshold in matlab
- How to chose structuring element?
- Segmenting a grayscale image
- Replacing connected regions by their skeleton
- Is there an image processing function to get a skeleton of a binary image in MATLAB
- How to preallocate an array of class in MATLAB?
- strjoin compatibility in Matlab and Octave
- MATLAB: How To Efficiently Remove NaN Elements from Matrix
- How to focus a matlab uifigure
- Will this technique reduce the MATLAB realtime workshop coder compilation time?
- Finding "all solutions" of x in A.x = b in the finite field domain
- C/C++ to MATLAB compiler/converter
- p-values for all pairs between two matrices to achieve matlab's corr function
- Convert Excel Column Number to Column Name in Matlab
- python use of corrcoeff to achieve matlab's corr function
- Continously Publish Matlab Text Output to a Website
- multi-level/recursive assignment subsasgn example in matlab