Abstract

Abstract

Abstract
Performance estimation denotes a task of estimating the loss that a predictive model will incur on unseen data. These procedures are part of the pipeline in every machine learning task and are used for assessing the overall generalisation ability of models. In this paper we address the application of these methods to time series forecasting tasks. For independent and identically distributed data the most common approach is cross-validation. However, the dependency among observations in time series raises some caveats about the most appropriate way to estimate performance in these datasets and currently there is no settled way to do so. We compare different variants of cross-validation and different variants of out-of-sample approaches using two case studies: One with 53 real-world time series and another with three synthetic time series. Results show noticeable differences in the performance estimation methods in the two scenarios. In particular, empirical experiments suggest that cross-validation approaches can be applied to stationary synthetic time series. However, in real-world scenarios the most accurate estimates are produced by the out-of-sample methods, which preserve the temporal order of observations.

Abstract
CMA-ES is one of the most popular stochastic search algorithms. It performs favourably in many tasks without the need of extensive parameter tuning. The algorithm has many beneficial properties, including automatic step-size adaptation, efficient covariance updates that incorporates the current samples as well as the evolution path and its invariance properties. Its update rules are composed of well established heuristics where the theoretical foundations of some of these rules are also well understood. In this paper we will fully derive all CMA-ES update rules within the framework of expectation-maximisation-based stochastic search algorithms using information-geometric trust regions. We show that the use of the trust region results in similar updates to CMA-ES for the mean and the covariance matrix while it allows for the derivation of an improved update rule for the step-size. Our new algorithm, Trust-Region Co-variance Matrix Adaptation Evolution Strategy (TR-CMA-ES) is fully derived from first order optimization principles and performs favourably in compare to standard CMA-ES algorithm. © 2017 ACM.

Abstract

Abstract
One of the most challenging tasks for energy domain stakeholders is to have a better preview of the electricity consumption. Having a more trustable expectation of electricity consumption can help minimizing the cost of electricity and also enable a better control on the electricity tariff. This paper presents a study using a Methodology to Obtain Genetic fuzzy rule-based systems Under the iterative rule Learning approach (MOGUL) methodology in order to have a better profile of the electricity consumption of the following hours. The proposed approach uses the electricity consumption of the past hours to forecast the consumption value for the following hours. Results from this study are compared to those of previous approaches, namely two fuzzy based systems: and several different approaches based on artificial neural networks. The comparison of the achieved results with those achieved by the previous approaches shows that this approach can calculate a more reliable value for the electricity consumption in the following hours, as it is able to achieve lower forecasting errors, and a less standard deviation of the forecasting error results. © 2017 IEEE.