Intelligent Forecasting System Using Grey Model Combined with Neural Network

Abstract

This paper proposes an intelligent forecasting system based on a feedforward-neural-network-aided grey model (FNAGM), which integrates a first-order single variable grey model (GM(1,1)) and a feedforward neural network. There are three phases in the system process, including initialization phase, GM(1,1) prediction phase and FNAGM prediction phase. First, some parameters required in the FNAGM are chosen in the initialization phase. Then, a one-step-ahead predictive value is generated in the GM(1,1) prediction phase. Finally, a feedforward neural network is used to learn the prediction error of the GM(1,1) and compensate it in the FNAGM prediction phase. Significantly, an on-line batch training is adopted to adjust the network according to the Levenberg-Marquardt algorithm in real-time. From the simulation results, the proposed intelligent forecasting system indeed improves the prediction error of the GM(1,1) and obtains more accurate prediction than other numerical methods.