arXiv:2512.08963nlin.CDcs.LG2025-12

通过分簇结构提升时间序列预测精度,降低干扰与计算开销。

Multivariate time series prediction using clustered echo state network

  • 将网络节点按输入变量分簇,增强信息隔离与处理效率。
  • 在真实数据集上比传统模型误差更低,尤其在噪声环境下表现更稳。
  • 适合处理多变量复杂系统,如金融、气象和混沌系统建模。

许多自然与物理过程可通过多个随时间演化的变量构成的多元时间序列来理解。由于变量间固有的噪声与相互依赖性,此类序列的预测极具挑战。回声状态网络(ESN)作为一类储备池计算(RC)模型,通过仅训练输出权重而固定储备池动态,显著降低了计算复杂度,是传统循环神经网络的高效替代方案。本文提出分簇回声状态网络(CESN),通过将储备池节点划分为若干簇,每簇对应一个输入变量,实现输入信号到对应簇的直接映射。簇内连接保持密集,簇间连接稀疏,模拟生物神经网络的模块化结构。该设计有效抑制跨变量干扰,提升信息处理能力,并通过独立的岭回归实现簇级并行训练,提高计算效率。我们进一步考察了环形、Erdős-Rényi(ER)及尺度不变(SF)三种储备池拓扑对预测性能的影响。实验表明,该算法在股票市场、太阳风与混沌罗塞尔系统等真实数据集上表现优异,尤其是在使用ER与SF拓扑时,相比传统ESN在预测准确率与抗噪鲁棒性方面均有稳定提升,验证了其在复杂多元时间序列建模中的强适应性。

原文摘要 · Abstract (English)

Many natural and physical processes can be understood by analyzing multiple system variables evolving, forming a multivariate time series. Predicting such time series is challenging due to the inherent noise and interdependencies among variables. Echo state networks (ESNs), a class of Reservoir Computing (RC) models, offer an efficient alternative to conventional recurrent neural networks by training only the output weights while keeping the reservoir dynamics fixed, reducing computational complexity. We propose a clustered ESNs (CESNs) that enhances the ability to model and predict multivariate time series by organizing the reservoir nodes into clusters, each corresponding to a distinct input variable. Input signals are directly mapped to their associated clusters, and intra-cluster connections remain dense while inter-cluster connections are sparse, mimicking the modular architecture of biological neural networks. This architecture improves information processing by limiting cross-variable interference and enhances computational efficiency through independent cluster-wise training via ridge regression. We further explore different reservoir topologies, including ring, Erdős-Rényi (ER), and scale-free (SF) networks, to evaluate their impact predictive performance. Our algorithm works well across diverse real-world datasets such as the stock market, solar wind, and chaotic Rössler system, demonstrating that CESNs consistently outperform conventional ESNs in terms of predictive accuracy and robustness to noise, particularly when using ER and SF topologies. These findings highlight the adaptability of CESNs for complex, multivariate time series forecasting.

时间序列回声网络分簇建模多变量预测

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