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研究生: 黃靖容
Huang, Ching-Jung
論文名稱: 基於訊號分解之時間序列增量預測技術
An Incremental Approach to Time Series Prediction Based on Signal Decomposition
指導教授: 鄧維光
Teng, Wei-Guang
學位類別: 碩士
Master
系所名稱: 工學院 - 工程科學系
Department of Engineering Science
論文出版年: 2023
畢業學年度: 112
語文別: 英文
論文頁數: 61
中文關鍵詞: 增量學習長短期記憶模型訊號分解時間序列預測
外文關鍵詞: incremental learning, long short-term memory, signal decomposition, time series prediction
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  • 時間序列分析能夠幫助我們找出資料中的時間趨勢和變化模式,透過對過去的觀測值進行分析,我們可以推斷未來的發展趨勢,並預測可能的模式和變化,提早做到決策與資源的分配。目前為止,已有許多相關研究提出不同的預測方法,然而真實的時序資料往往有其不穩定性及許多雜訊,因此,如何快速且精準地進行預測往往都是一大挑戰。單一的時間序列預測方法相對直觀而利於實現,但通常僅針對特定領域和特定問題進行設計,限制了應用範圍和可擴展性。有相關研究指出,若能結合訊號分解的前處理手法能有效地去除雜訊來捕捉到較穩定態樣,進而提升預測模型的準確度;然而,以訊號分解的處理手法會面臨到須適時更新每個子訊號的問題,若每當新資料產生時,便重新進行一次訊號分解的過程,則會花費大量時間在重複計算上面,因此,本研究將以增量學習的方式,對基於不同訊號分解方法中既有的子訊號進行更新,並結合長短期記憶模型觀察是否能在預測準確度與節省時間兩者間取得平衡;我們的實驗結果顯示,相較於小波分解,以自適應雜訊完備經驗模態分解的方法能取得較好的成效,而對於時間來說,由於電力資料適合的預測窗口更大,因此節省時間的效果則更為顯著。

    Time series analysis can help us uncover trends and patterns in data over time. By analyzing past observations, we can infer future development trends and predict possible patterns and changes, enabling proactive decision-making and resource allocation. So far, numerous related studies have proposed various prediction methods. However, real-time series data often exhibit instability and noise, making rapid and accurate predictions a significant challenge. While individual time series prediction methods are relatively intuitive and practical, they are usually designed for specific domains and problems, limiting their applicability and scalability. Some research suggests that combining signal decomposition preprocessing techniques can effectively remove noise to capture more stable patterns, thereby improving the accuracy of prediction models. However, signal decomposition methods face the challenge of timely updating each sub-signal. If signal decomposition is performed every time new data is generated, it incurs a significant computational cost. In this study, we adopt an incremental learning approach to update existing sub-signals based on different signal decomposition methods. We integrate this approach with an LSTM prediction model to observe whether a balance can be achieved between prediction accuracy and time savings. Our experimental results show that, compared to wavelet decomposition, the CEEMDAN decomposition method yields better results. Additionally, for time considerations, as electricity data is suitable for a larger window size, the time-saving effects are more pronounced.

    Abstract i Contents iv List of Tables vi List of Figures viii Chapter1 Introduction 1 1.1 Motivation and Overview 1 1.2 Contributions of This Work 1 Chapter2 Preliminaries 3 2.1 Characteristics of Time Series Data 3 2.2 Common Methods of Time Series Prediction 5 2.2.1 Statistical Methods 5 2.2.2 Machine Learning Methods 6 2.3 Signal Decomposition with Time Series 8 2.4 Time Series Prediction with Signal Decomposition on Data Stream 10 2.4.1 Problems of Signal Decomposition Applied to Time Series 10 2.4.2 Challenge of Incremental Learning with Signal Decomposition 11 Chapter 3 Proposed Scheme 13 3.1 Overview of the Proposed Scheme 13 3.2 Prediction with Signal Decomposition 14 3.2.1 Long Short-Term Memory 14 3.2.2 Empirical Mode Decomposition and Complete Ensemble Empirical Mode Decomposition with Adaptive Noise 15 3.2.3 Discrete Wavelet Transform 18 3.3 Incremental Updates for Signal Decomposition 20 3.3.1 Complete Ensemble Empirical Mode Decomposition with Adaptive Noise Sub-signal Update 23 3.3.2 Discrete Wavelet Transform Sub-signal Update 24 Chapter 4 Empirical Studies 26 4.1 Datasets Used in Our Experiment 26 4.2 Signal Decomposition Results 28 4.2.1 Complete Ensemble Empirical Mode Decomposition with Adaptive Noise Sub-signal Update 28 4.2.2 Discrete Wavelet Transform Sub-signal Update 29 4.3 Experimental Results of Offline Training 31 4.3.1 Financial Dataset 31 4.3.2 Electricity Dataset 32 4.4 Effect of Window Size on Model Predictions 34 4.5 Results of Signal Decomposition Incremental Update 35 4.5.1 Accuracies of Incremental Prediction Results 35 4.5.2 Time Comparison 38 4.6 Observation of Different Time Ranges 40 Chapter 5 Conclusions and Future Work 45 Bibliography 46

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