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Fuzzy Logic Toolbox - Chaotic Time-Series Prediction Demo file:///D:/TA luca/referensi/demos.

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Fuzzy Logic Toolbox


Chaotic Time-Series Prediction
Chaotic time series prediction using ANFIS.

Contents
Time Series Data
Preprocessing the Data
Building the ANFIS Model
Error Curves
Comparisons
Prediction Errors of ANFIS

Time Series Data


The data is generated from the Mackey-Glass time-delay differential equation which is defined by

dx(t)/dt = 0.2x(t-tau)/(1+x(t-tau)^10) - 0.1x(t)

When x(0) = 1.2 and tau = 17, we have a non-periodic and non-convergent time series that is very sensitive to initial conditions. (We assume x(t)
= 0 when t < 0.)

load mgdata.dat
a = mgdata;
time = a(:, 1);
x_t = a(:, 2);
plot(time, x_t);
xlabel('Time (sec)'); ylabel('x(t)');
title('Mackey-Glass Chaotic Time Series');

Preprocessing the Data


Now we want to build an ANFIS that can predict x(t+6) from the past values of this time series, that is, x(t-18), x(t-12), x(t-6), and x(t). Therefore the
training data format is

[x(t-18), x(t-12), x(t-6), x(t); x(t+6]

From t = 118 to 1117, we collect 1000 data pairs of the above format. The first 500 are used for training while the others are used for checking.
The plot shows the segment of the time series where data pairs were extracted from. The first 100 data points are ignored to avoid the transient
portion of the data.

trn_data = zeros(500, 5);


chk_data = zeros(500, 5);

% prepare training data


trn_data(:, 1) = x_t(101:600);
trn_data(:, 2) = x_t(107:606);
trn_data(:, 3) = x_t(113:612);
trn_data(:, 4) = x_t(119:618);
trn_data(:, 5) = x_t(125:624);

% prepare checking data


chk_data(:, 1) = x_t(601:1100);
chk_data(:, 2) = x_t(607:1106);

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Fuzzy Logic Toolbox - Chaotic Time-Series Prediction Demo file:///D:/TA luca/referensi/demos.html

chk_data(:, 3) = x_t(613:1112);
chk_data(:, 4) = x_t(619:1118);
chk_data(:, 5) = x_t(625:1124);

index = 119:1118; % ts starts with t = 0


plot(time(index), x_t(index));
xlabel('Time (sec)'); ylabel('x(t)');
title('Mackey-Glass Chaotic Time Series');

Building the ANFIS Model


We use GENFIS1 to generate an initial FIS matrix from training data. The command is quite simple since default values for MF number (2) and MF
type ('gbellmf') are used:

fismat = genfis1(trn_data);

% The initial MFs for training are shown in the plots.


for input_index=1:4,
subplot(2,2,input_index)
[x,y]=plotmf(fismat,'input',input_index);
plot(x,y)
axis([-inf inf 0 1.2]);
xlabel(['Input ' int2str(input_index)]);
end

There are 2^4 = 16 rules in the generated FIS matrix and the number of fitting parameters is 108, including 24 nonlinear parameters and 80 linear
parameters. This is a proper balance between number of fitting parameters and number of training data (500). The ANFIS command looks like
this:

[trn_fismat,trn_error] = anfis(trn_data, fismat,[],[],chk_data)

To save time, we will load the training results directly.

After ten epochs of training, the final MFs are shown in the plots. Note that these MFs after training do not change drastically. Obviously most of
the fitting is done by the linear parameters while the nonlinear parameters are mostly for fine- tuning for further improvement.

% load training results


load mganfis

% plot final MF's on x, y, z, u


for input_index=1:4,
subplot(2,2,input_index)
[x,y]=plotmf(trn_fismat,'input',input_index);
plot(x,y)
axis([-inf inf 0 1.2]);
xlabel(['Input ' int2str(input_index)]);
end

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Fuzzy Logic Toolbox - Chaotic Time-Series Prediction Demo file:///D:/TA luca/referensi/demos.html

Error Curves
This plot displays error curves for both training and checking data. Note that the training error is higher than the checking error. This phenomenon
is not uncommon in ANFIS learning or nonlinear regression in general; it could indicate that the training process is not close to finished yet.

% error curves plot


close all;
epoch_n = 10;
plot([trn_error chk_error]);
hold on; plot([trn_error chk_error], 'o'); hold off;
xlabel('Epochs');
ylabel('RMSE (Root Mean Squared Error)');
title('Error Curves');

Comparisons
This plot shows the original time series and the one predicted by ANFIS. The difference is so tiny that it is impossible to tell one from another by
eye inspection. That is why you probably see only the ANFIS prediction curve. The prediction errors must be viewed on another scale.

input = [trn_data(:, 1:4); chk_data(:, 1:4)];


anfis_output = evalfis(input, trn_fismat);
index = 125:1124;
plot(time(index), [x_t(index) anfis_output]);
xlabel('Time (sec)');

Prediction Errors of ANFIS


Prediction error of ANFIS is shown here. Note that the scale is about a hundredth of the scale of the previous plot. Remember that we have only
10 epochs of training in this case; better performance is expected if we have extensive training.

diff = x_t(index)-anfis_output;
plot(time(index), diff);
xlabel('Time (sec)');

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Fuzzy Logic Toolbox - Chaotic Time-Series Prediction Demo file:///D:/TA luca/referensi/demos.html

title('ANFIS Prediction Errors');

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