基于云理论的径流不确定性推理模型研究

针对中长期径流预报中存在许多不确定性因素,本文引入云理论构建径流预报的不确定性推理模型（UR）.首先,该模型应用最大方差方法（MaxVar）对径流序列进行硬性分级,用级别概念表示径流分级区间,以期望（Ex）、熵（En）以及超熵（He）构成的云隶属函数描述径流级别概念的模糊性和随机性,实现分级区间软化,然后将径流量值进行属性转化,以此建立定性推理规则集,运用云算法进行径流不确定推理预报,成功实现径流序列不确定性传递;其次,对径流分级过程中超熵（He）参数确定进行了初探,对推理随机性输出结果进行统计分析,给出相应显著水平下的预报区间;最后,将该模型应用于南方某水库入库月径流预报中,并与广泛应用的最小二乘支持向量机（LSSVM）和ARMA模型进行比较分析,本文模型不仅具有较高的预报精度,而且能够进行区间预报,实例验证说明了模型的有效性和实用性.     

基于贝叶斯网络的变压器故障诊断及重要度分析

以云南电网公司提供的500 kV变压器历史运行数据为依据,利用贝叶斯网络和数据挖掘技术,结合变压器油中溶解气体分析的改良三比值法,针对500 kV变压器建立故障诊断模型,并对引起变压器故障的各影响因素进行重要度分析。最后,利用变压器实时运行数据进行试验,验证了模型的有效性和实用性。     

多状态网络可靠性与韧性评估方法综述

为了准确评估复杂系统的可靠性,通常使用网络拓扑结构模型研究系统在各种情况下稳定运行的能力.但现实世界中的许多网络不仅存在连通性要求,还需要传输一定的流量以保证网络具有一定的吞吐量,该网络被称为多状态网络.多状态网络可靠性模型广泛应用于现实中的网络系统,如制造、能源、交通、信息、物流和装备保障、指挥控制和无人集群等.然而,不断增长的系统规模与复杂程度,导致求解多状态网络可靠度愈发困难.因此,寻求更加高效的方法来求解网络的可靠度成为迫切需要解决的难点问题.本文主要对多状态网络可靠性求解算法进行综述,总结了近年来其效率改善方面的研究进展.通过有效降低多状态网络可靠性的评估复杂度,大幅提高该方法的算法效率和可求解网络的规模,为管理者在多状态网络的设计、建造、运行和维护过程中提供支撑,确保多状态网络的稳定、可靠运行.韧性是可靠性的延伸,是衡量系统对抗扰动并从中恢复的能力,能够反映系统毁伤及恢复的全过程.本文进一步讨论了多状态网络韧性评估方法及其进展.     

基于贝叶斯网络的武器装备体系脆性分析

武器装备体系的脆性是其固有特性,直接关系到武器装备体系作战效能的稳定发挥.武器装备体系的脆性分析主要研究体系的子系统在遭受内外部干扰或破坏后,体系出现整体损伤或崩溃的现象,并分析导致体系崩溃的关键因素.本文利用贝叶斯网络对体系内部子系统之间复杂的相互作用和因果关系进行建模,从而将体系的脆性分析问题转化为体系崩溃的后验概率计算问题,进而可通过贝叶斯网络的信念传播算法和MCMC随机采样来有效计算.本文还提出将体系内部的正反馈回路建模为动态贝叶斯网络,从而可通过网络的概率推断,动态分析体系脆性的内部传导机制.本文提出的脆性分析方法可为武器装备体系的设计与定量分析提供一种有效的技术手段.     

网络态势感知系统的告警阈值确定方法研究

在网络态势感知系统中需要对影响网络性能的各项指标设置阈值,通过设置阚值和阚值检查可以在网络出现性能问题时及时向管理人员告警.本文提出了一种利用BP神经网络来确定告警阚值的方法:在采集到的大量性能数据中选取典型值作为训练样本训练BP神经网络.输出该值隶属于各模糊区问的隶属度,最后利用检验样本找到各区间的分界点即为阈值.文章还利用MATLAB对BP神经网络进行了仿真实验,验证了该方法的有效性.     

基于Lyapunov-Elman的网络控制系统时延预测方法

网络控制系统中的时延是影响系统性能的重要参数,针对基于Internet的网络控制系统中时延预测问题,提出一种最大Lyapunov指数与Elman神经网络结合的预测方法.首先对时延序列进行相空间重构,得到嵌入维数与延迟变量,然后通过最大Lyapunov指数方法与Elman神经网络对时延分别进行一步预测,将两种预测方法的预测结果通过不同的权值系数进行叠加得到最终的时延预测值.最后针对权值系数的寻优问题,提出一种改进的自由搜索算法,其收敛精度与速度都优于标准的自由搜索算法.仿真实验表明,相对于其它预测方法,本文的基于Lyapunov-Elman的时延预测方法具有较高的预测精度与较小的预测误差.     

Neural network structure identification in inflation forecasting

Neural networks (NNs) are appropriate to use in time series analysis under conditions of unfulfilled assumptions, i.e., non‐normality and nonlinearity. The aim of this paper is to propose means of addressing identified shortcomings with the objective of identifying the NN structure for inflation forecasting. The research is based on a theoretical model that includes the characteristics of demand‐pull and cost‐push inflation; i.e., it uses the labor market, financial and external factors, and lagged inflation variables. It is conducted at the aggregate level of euro area countries from January 1999 to January 2017. Based on the estimated 90 feedforward NNs (FNNs) and 450 Jordan NNs (JNNs), which differ in variable parameters (number of iterations, learning rate, initial weight value intervals, number of hidden neurons, and weight value of the context unit), the mean square error (MSE), and the Akaike Information Criterion (AIC) are calculated for two periods: in‐the‐sample and out‐of‐sample. Ranking NNs simultaneously on both periods according to either MSE or AIC does not lead to the selection of the ‘best’ NN because the optimal NN in‐the‐sample, based on MSE and/or AIC criteria, often has high out‐of‐sample values of both indicators. To achieve the best compromise solution, i.e., to select an optimal NN, the preference ranking organization method for enrichment of evaluations (PROMETHEE) is used. Comparing the optimal FNN and JNN, i.e., FNN(4,5,1) and JNN(4,3,1), it is concluded that under approximately equal conditions, fewer hidden layer neurons are required in JNN than in FNN, confirming that JNN is parsimonious compared to FNN. Moreover, JNN has a better forecasting performance than FNN.     

Point forecasting of intraday volume using Bayesian autoregressive conditional volume models

In this paper, we apply Bayesian inference to model and forecast intraday trading volume, using autoregressive conditional volume (ACV) models, and we evaluate the quality of volume point forecasts. In the empirical application, we focus on the analysis of both in‐ and out‐of‐sample performance of Bayesian ACV models estimated for 2‐minute trading volume data for stocks quoted on the Warsaw Stock Exchange in Poland. We calculate two types of point forecasts, using either expected values or medians of predictive distributions. We conclude that, in general, all considered models generate significantly biased forecasts. We also observe that the considered models significantly outperform such benchmarks as the naïve or rolling means forecasts. Moreover, in terms of root mean squared forecast errors, point predictions obtained within the ACV model with exponential distribution emerge superior compared to those calculated in structures with more general innovation distributions, although in many cases this characteristic turns out to be statistically insignificant. On the other hand, when comparing mean absolute forecast errors, the median forecasts obtained within the ACV models with Burr and generalized gamma distribution are found to be statistically better than other forecasts.     

Direction‐of‐change forecasting using a volatility‐based recurrent neural network

This paper investigates the profitability of a trading strategy, based on recurrent neural networks, that attempts to predict the direction‐of‐change of the market in the case of the NASDAQ composite index. The sample extends over the period 8 February 1971 to 7 April 1998, while the sub‐period 8 April 1998 to 5 February 2002 has been reserved for out‐of‐sample testing purposes. We demonstrate that the incorporation in the trading rule of estimates of the conditional volatility changes strongly enhances its profitability, after the inclusion of transaction costs, during bear market periods. This improvement is being measured with respect to a nested model that does not include the volatility variable as well as to a buy‐and‐hold strategy. We suggest that our findings can be justified by invoking either the ‘volatility feedback’ theory or the existence of portfolio insurance schemes in the equity markets. Our results are also consistent with the view that volatility dependence produces sign dependence. Copyright © 2008 John Wiley & Sons, Ltd.     

Long‐term sales forecasting using holt–winters and neural network methods

The problem of medium to long‐term sales forecasting raises a number of requirements that must be suitably addressed in the design of the employed forecasting methods. These include long forecasting horizons (up to 52 periods ahead), a high number of quantities to be forecasted, which limits the possibility of human intervention, frequent introduction of new articles (for which no past sales are available for parameter calibration) and withdrawal of running articles. The problem has been tackled by use of a damped‐trend Holt–Winters method as well as feedforward multilayer neural networks (FMNNs) applied to sales data from two German companies. Copyright © 2005 John Wiley & Sons, Ltd.     

Human judgments in New York state sales and use tax forecasting

Human judgments have become quite important in revenue forecasting processes. This paper centres on human judgments in New York state sales and use tax by examining the actual practices of information integration. Based on the social judgment theory (i.e., the lens model), a judgment analysis exercise was designed and administered to a person from each agency (the Division of the Budget, Assembly Ways and Means Committee Majority and Minority, and the Senate Finance Committee) to understand how information integration is processed among different agencies. The results of the judgment analysis exercise indicated that revenue forecasters put different weight on cues. And, in terms of relative and subjective weights, the cues were used differently, although they were presented with the same information. Copyright © 2004 John Wiley & Sons, Ltd.     

Inflation forecasting for aggregates of the EU-7 and EU-14 with Bayesian VAR models

This article applies the Bayesian Vector Auto-Regressive (BVAR) model to key economic aggregates of the EU-7, consisting of the former narrow-band ERM members plus Austria, and the EU-14. This model appears to be useful as an additional forecasting tool besides structural macroeconomic models, as is shown both by absolute forecasting performance and by a comparison of ex-post BVAR forecasts with forecasts by the OECD. A comparison of the aggregate models to single-country models reveals that pooling has a strong impact on forecast errors. If forecast errors are interpreted as shocks, shocks appear to be—at least in part—asymmetric, or countries react differently to shocks. © 1998 John Wiley & Sons, Ltd.     

A forecasting comparison of classical and Bayesian methods for modelling logistic diffusion

A Bayesian procedure for forecasting S‐shaped growth is introduced and compared to classical methods of estimation and prediction using three variants of the logistic functional form and annual times series of the diffusion of music compact discs in twelve countries. The Bayesian procedure was found not only to improve forecast accuracy, using the medians of the predictive densities as point forecasts, but also to produce intervals with a width and asymmetry more in accord with the outcomes than intervals from the classical alternative. While the analysis in this paper focuses on logistic growth, the problem is set up so that the methods are transportable to other characterizations of the growth process. Copyright © 2001 John Wiley & Sons, Ltd.     

Long‐term streamflow forecasting using artificial neural network based on preprocessing technique

Artificial neural network (ANN) combined with signal decomposing methods is effective for long‐term streamflow time series forecasting. ANN is a kind of machine learning method utilized widely for streamflow time series, and which performs well in forecasting nonstationary time series without the need of physical analysis for complex and dynamic hydrological processes. Most studies take multiple factors determining the streamflow as inputs such as rainfall. In this study, a long‐term streamflow forecasting model depending only on the historical streamflow data is proposed. Various preprocessing techniques, including empirical mode decomposition (EMD), ensemble empirical mode decomposition (EEMD) and discrete wavelet transform (DWT), are first used to decompose the streamflow time series into simple components with different timescale characteristics, and the relation between these components and the original streamflow at the next time step is analyzed by ANN. Hybrid models EMD‐ANN, EEMD‐ANN and DWT‐ANN are developed in this study for long‐term daily streamflow forecasting, and performance measures root mean square error (RMSE), mean absolute percentage error (MAPE) and Nash–Sutcliffe efficiency (NSE) indicate that the proposed EEMD‐ANN method performs better than EMD‐ANN and DWT‐ANN models, especially in high flow forecasting.     

Multivariate Bayesian regression applied to the problem of network security

An Erratum has been published for this article in Journal of Forecasting 23(6): 461 (2004) . This paper examines the problem of intrusion in computer systems that causes major breaches or allows unauthorized information manipulation. A new intrusion‐detection system using Bayesian multivariate regression is proposed to predict such unauthorized invasions before they occur and to take further action. We develop and use a multivariate dynamic linear model based on a unique approach leaving the unknown observational variance matrix distribution unspecified. The result is simultaneous forecasting free of the Wishart limitations that is proved faster and more reliable. Our proposed system uses software agent technology. The distributed software agent environment places an agent in each of the computer system workstations. The agent environment creates a user profile for each user. Every user has his or her profile monitored by the agent system and according to our statistical model prediction is possible. Implementation aspects are discussed using real data and an assessment of the model is provided. Copyright © 2002 John Wiley & Sons, Ltd.     

A state space approach to forecasting the final vintage of revised data with an application to the index of industrial production

There is considerable interest in the index of industrial production (IIP) as an indicator of the state of the UK's industrial base and, more generally, as a leading economic indicator. However, this index, in common with a number of key macroeconomic time series, is subject to revision as more information becomes available. This raises the problem of forecasting the final vintage of data on IIP. We construct a state space model to solve this problem which incorporates bias adjustments, a model of the measurement error process, and a dynamic model for the final vintage of IIP. Application of the Kalman filter produces an optimal forecast of the final vintage of data.