Dataset Information

Forecasting high-dimensional dynamics exploiting suboptimal embeddings.

ABSTRACT: Delay embedding-a method for reconstructing dynamical systems by delay coordinates-is widely used to forecast nonlinear time series as a model-free approach. When multivariate time series are observed, several existing frameworks can be applied to yield a single forecast combining multiple forecasts derived from various embeddings. However, the performance of these frameworks is not always satisfactory because they randomly select embeddings or use brute force and do not consider the diversity of the embeddings to combine. Herein, we develop a forecasting framework that overcomes these existing problems. The framework exploits various "suboptimal embeddings" obtained by minimizing the in-sample error via combinatorial optimization. The framework achieves the best results among existing frameworks for sample toy datasets and a real-world flood dataset. We show that the framework is applicable to a wide range of data lengths and dimensions. Therefore, the framework can be applied to various fields such as neuroscience, ecology, finance, fluid dynamics, weather, and disaster prevention.

SUBMITTER: Okuno S

PROVIDER: S-EPMC6971065 | biostudies-literature | 2020 Jan

REPOSITORIES: biostudies-literature

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Forecasting high-dimensional dynamics exploiting suboptimal embeddings.

Okuno Shunya S Aihara Kazuyuki K Hirata Yoshito Y

Scientific reports 20200120 1

Delay embedding-a method for reconstructing dynamical systems by delay coordinates-is widely used to forecast nonlinear time series as a model-free approach. When multivariate time series are observed, several existing frameworks can be applied to yield a single forecast combining multiple forecasts derived from various embeddings. However, the performance of these frameworks is not always satisfactory because they randomly select embeddings or use brute force and do not consider the diversity o ...[more]

PMID: 31959770

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Project description:Background and objectiveEmergency Department (ED) overcrowding is a chronic international issue that is associated with adverse treatment outcomes. Accurate forecasts of future service demand would enable intelligent resource allocation that could alleviate the problem. There has been continued academic interest in ED forecasting but the number of used explanatory variables has been low, limited mainly to calendar and weather variables. In this study we investigate whether predictive accuracy of next day arrivals could be enhanced using high number of potentially relevant explanatory variables and document two feature selection processes that aim to identify which subset of variables is associated with number of next day arrivals. Performance of such predictions over longer horizons is also shown.MethodsWe extracted numbers of total daily arrivals from Tampere University Hospital ED between the time period of June 1, 2015 and June 19, 2019. 158 potential explanatory variables were collected from multiple data sources consisting not only of weather and calendar variables but also an extensive list of local public events, numbers of website visits to two hospital domains, numbers of available hospital beds in 33 local hospitals or health centres and Google trends searches for the ED. We used two feature selection processes: Simulated Annealing (SA) and Floating Search (FS) with Recursive Least Squares (RLS) and Least Mean Squares (LMS). Performance of these approaches was compared against autoregressive integrated moving average (ARIMA), regression with ARIMA errors (ARIMAX) and Random Forest (RF). Mean Absolute Percentage Error (MAPE) was used as the main error metric.ResultsCalendar variables, load of secondary care facilities and local public events were dominant in the identified predictive features. RLS-SA and RLS-FA provided slightly better accuracy compared ARIMA. ARIMAX was the most accurate model but the difference between RLS-SA and RLS-FA was not statistically significant.ConclusionsOur study provides new insight into potential underlying factors associated with number of next day presentations. It also suggests that predictive accuracy of next day arrivals can be increased using high-dimensional feature selection approach when compared to both univariate and nonfiltered high-dimensional approach. Performance over multiple horizons was similar with a gradual decline for longer horizons. However, outperforming ARIMAX remains a challenge when working with daily data. Future work should focus on enhancing the feature selection mechanism, investigating its applicability to other domains and in identifying other potentially relevant explanatory variables.

Dataset Information

Forecasting high-dimensional dynamics exploiting suboptimal embeddings.

Publications

Forecasting high-dimensional dynamics exploiting suboptimal embeddings.

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