Plenary Lecture

Evolutionary Algebraic Prediction of Short Time Series

Professor Minvydas Ragulskis
Research Group for Mathematical and Numerical Analysis of Dynamical Systems
Faculty of Fundamental Sciences
Kaunas University of Technology
E-mail: minvydas.ragulskis@ktu.lt

Abstract: An overview on the new class of short-term time series forecasting methods based on the identification of skeleton algebraic sequences is given in this presentation. The concept of the rank of the sequence and the algebraic complexity of the observation are exploited to detect the base fragment of the time series and to extrapolate the model of the process into future. Evolutionary algorithms are used to remove the noise, to identify the skeleton algebraic sequence and to balance the forecast with the smoothed moving average estimate of the time series. The fitness functions exploited in the proposed forecasting technique are independent neither on the determinant of the Hankel matrix, nor on the error metrics. Numerical experiments with an artificially generated and real-world time series are used to illustrate the functionality of the proposed techniques. The proposed forecasting methods are especially effective when the time series is short and there are not always sufficient data to train evolutionary models.

Brief Biography of the Speaker: Minvydas Ragulskis graduated from Kaunas University of Technology, Department of Applied Mathematics, Lithuania in 1989. He received his Ph.D. degree in 1992 and took the position of the assistant professor at the Department of Mathematical Research in Systems, Kaunas University of Technology in 1997. Since 1999 he took the position of the associated professor, since 2002 – the position of full professor at the same department.
He is the founder and the head of the Research Group for Mathematical and Numerical Analysis of Dynamical Systems (www.personalas.ktu.lt/~mragul). Four graduate students under his supervision have successfully defended their doctoral thesis; four graduate students study under his supervision at this moment. He is author of more than 80 papers in international journals and conference proceedings, and invited book chapters. He serves as a reviewer for numerous international journals and is a member of editorial boards of several journals. His research interests include nonlinear dynamical systems and numerical analysis.

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