Optimization of a Comprehensive Sequence Forecasting Framework Based on DAE-LSTM Algorithm

Abstract

Abstract Sales forecasting is a multivariate time series forecasting problem. The main challenges of the forecasting task are the high-dimensional influence variables with noise and the complex time series relationships. In this paper, we propose a DAE-LSTM algorithm combined with denoising autoencoder(DAE) and long short-term memory(LSTM) to deal with this problem. The DAE is a non-linear dimensionality reduction method that enhances data robustness. The LSTM is a deep learning algorithm suitable for dealing with multivariate time series problem. Combining the advantages of the above two algorithms, DAE-LSTM is a new multivariate time series prediction algorithm, which transforms unsupervised DAE into supervised data feature extraction method, and adds feature selection function to LSTM algorithm. In addition, in order to build a comprehensive forecasting framework, the hyperparameters of the model are determined by Bayesian optimization method(BOM) and the parameters of the model are solved by adaptive moment estimation(ADAM) optimization algorithm. In the training process, due to the adaptability of the BOM and ADAM, the forecasting model has few parameters that need to be set artificially, only including dimensional scale and time steps determined by data. Finally, the proposed forecasting framework is applied to forecast the sales of online retailers on JD.COM. In comparison with other machine learning algorithms, including multiple linear regression(MLR), support vector regression(SVR), artificial neural network(ANN) and LSTM, the proposed DAE-LSTM achieves the best prediction accuracy.