On the Optimization of Machine Learning Techniques for Chaotic Time Series Prediction

Abstract

Interest in chaotic time series prediction has grown in recent years due to its multiple applications in fields such as climate and health. In this work, we summarize the contribution of multiple works that use different machine learning (ML) methods to predict chaotic time series. It is highlighted that the challenge is predicting the larger horizon with low error, and for this task, the majority of authors use datasets generated by chaotic systems such as Lorenz, Rössler and Mackey–Glass. Among the classification and description of different machine learning methods, this work takes as a case study the Echo State Network (ESN) to show that its optimization can lead to enhance the prediction horizon of chaotic time series. Different optimization methods applied to different machine learning ones are given to appreciate that metaheuristics are a good option to optimize an ESN. In this manner, an ESN in closed-loop mode is optimized herein by applying Particle Swarm Optimization. The prediction results of the optimized ESN show an increase of about twice the number of steps ahead, thus highlighting the usefulness of performing an optimization to the hyperparameters of an ML method to increase the prediction horizon.