60258

Автор(ы): 

Автор(ов): 

4

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

Entropy-Randomized Forecasting of Stochastic Dynamic Regression Models

ISBN/ISSN: 

2227-7390

DOI: 

10.3390/math8071119

Наименование источника: 

  • Mathematics

Обозначение и номер тома: 

Т. 8, № 7

Город: 

  • Bazel

Издательство: 

  • MDPI

Год издания: 

2020

Страницы: 

1119-1120
Аннотация
We propose a new forecasting procedure that includes randomized hierarchical dynamic regression models with random parameters, measurement noises and random input. We developed the technology of entropy-randomized machine learning, which includes the estimation of characteristics of a dynamic regression model and its testing by generating ensembles of predicted trajectories through the sampling of the entropy-optimal probability density functions of the model parameters and measurement noises. The density functions are determined at the learning stage by solving the constrained maximization problem of an information entropy functional subject to the empirical balances with real data. The proposed procedure is applied to the randomized forecasing of the daily electrical load in a regional power system. We construct a two-layer dynamic model of the daily electrical load. One of the layers describes the dependence of electrical load on ambient temperature while the other simulates the stochastic quasi-fluctuating temperature dynamics.

Библиографическая ссылка: 

Попков Ю.С., Попков А.Ю., Дубнов Ю.А., Solomatine D. Entropy-Randomized Forecasting of Stochastic Dynamic Regression Models // Mathematics. 2020. Т. 8, № 7. С. 1119-1120.