Fitness function for times series prediction problem
Namespace:
AForge.GeneticAssembly: AForge.Genetic (in AForge.Genetic.dll) Version: 2.2.4.0 (2.2.4.0)
Syntax
| C# |
|---|
public class TimeSeriesPredictionFitness : IFitnessFunction |
Remarks
The fitness function calculates fitness value of
GP and GEP
chromosomes with the aim of solving times series prediction problem using
sliding window method. The fitness function's value is computed as:
CopyC#
where error equals to the sum of absolute differences between predicted value
and actual future value.100.0 / ( error + 1 )
Sample usage:
CopyC#// number of points from the past used to predict new one int windowSize = 5; // time series to predict double[] data = new double[13] { 1, 2, 4, 7, 11, 16, 22, 29, 37, 46, 56, 67, 79 }; // constants double[] constants = new double[10] { 1, 2, 3, 5, 7, 11, 13, 17, 19, 23 }; // create population Population population = new Population( 100, new GPTreeChromosome( new SimpleGeneFunction( windowSize + constants.Length ) ), new TimeSeriesPredictionFitness( data, windowSize, 1, constants ), new EliteSelection( ) ); // run one epoch of the population population.RunEpoch( );
