Time Series Forecasting Based on Augmented Long Short-Term Memory
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In this paper, we use recurrent autoencoder model to predict the time series in single and multiple steps ahead. Previous prediction methods, such as recurrent neural network (RNN) and deep belief network (DBN) models, cannot learn long term dependencies. And conventional long short-term memory (LSTM) model doesn't remember recent inputs. Combining LSTM and autoencoder (AE), the proposed model can capture long-term dependencies across data points and uses features extracted from recent observations for augmenting LSTM at the same time. Based on comprehensive experiments, we show that the proposed methods significantly improves the state-of-art performance on chaotic time series benchmark and also has better performance on real-world data. Both single-output and multiple-output predictions are investigated.
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