Prediction Of Time Series Data Using GA-BPNN
based Hybrid ANN Model
Aishwarya D C
Dept. of Computer Science and Engineering
M S Ramaiah University of Applied Sciences
Bangalore, India
Email: aicu93@gmail.com
Abstract—Time series analysis has drawn the attention of many
researchers as the findings from analysis are of huge importance
and value. Although there exists many models for Time Series
Prediction, there is still no single model which can accurately
predict data, this is because of the wide range of existing
applications. Artificial Neural Networks are widely used for
forecasting data because of its high capability to understand non
linear relationships among data. An appropriate combination of
neural algorithms can provide better prediction results for time
series data. This paper aimed at hybridizing the traditional Back
Propagation Neural Network (BPNN) with Genetic
Algorithm(GA) to achieve better prediction accuracy. Levenberg
Marquardt Algorithm(LMA) is chosen as the Back Propagation
algorithm. The proposed model is tested on L&T stock market
data, Air Quality data, Surface roughness and Concrete Strength
data and the performance measures of both BPNN and GA-
BPNN are evaluated using the standard error measures such as
Mean Squared Error(MSE), Mean Absolute Error(MAE) and
Root Mean Square Error(RMSE). The proposed model proves to
produce better prediction results than the existing BPNN
networks for both univariate and multivariate data sets.
Keywords—ANN,Back Propagation Neural Network; Genetic
Algorithm; GA-BPNN; MSE; MAE; RMSE
I. INTRODUCTION
Time Series Forecasting has always been one of the major
research areas where new challenges arise and the scope of
improvements of techniques is high. Although there exists
many models for time series prediction, there is no single
unique model which can predict accurately, this is due to the
diversity in the application. Instead of relying on a single
model, hybrid of one or more models would provide
satisfactory results [2]. However, developing a simple yet
efficient hybrid algorithm for this purpose is a challenge.
One efficient nonlinear technique for time series forecasting is
ANN. Due to the facts that they do not assume linearity and
their capability to fit any non linear function makes them the
widely used algorithm Also due to the adaptive nature of
ANN, ANN models have become more popular in forecasting
[4]. For various applications, the nature of data would be
different. The prediction capability of the model changes with
the prediction horizon. If a single model is considered for such
C.Narendra Babu
Dept. of Computer Science and Engineering
M S Ramaiah University of Applied Sciences
Bangalore, India
Email: narendrababu.c@gmail.com
applications, the performance of the model and the prediction
accuracy would not be as good as using a hybrid model.
In this paper, ANN based hybrid GA-BPNN model for data
prediction is proposed and the model is evaluated and tested
on four data sets consisting of both time series and
multivariate data where ANN is trained with backpropagation
algorithm LM, which is optimized by GA. The same model is
used for testing the performance of the network with varying
size of training set and varying prediction horizons.
The later part of the paper is organized as follows. Section II
discusses the existing models in the literature. In Section III
the existing Back Propagation Neural Networks and the
Genetic Algorithm is explained. Section IV discusses the
proposed model and deals with its implementation. The four
data sets mentioned in Section I are implemented and the
results are analyzed in Section V. The paper is concluded in
Section VI.
II. RELATED WORK
There are many Time Series Data Prediction methods. The
literature addresses few of them. In [1], the traditional ARIMA
models were used for prediction of global temperature .The
prediction capability of the three linear models, Basic
ARIMA, Trend based ARIMA and wavelet based ARIMA
were compared and Trend based ARIMA proved to be more
efficient. A hybrid of ARIMA model, ARIMA-GARCH was
presented in [2].The model was tested for forecasting Indian
Stock and the hybrid model’s performance was better than the
ARIMA model. In [3] the traditional ARIMA model was
compared with neural networks for commodity price
forecasting and it was proved that neural networks perform
better. A hybrid ARIMA model based on ANN for forecasting
different time series data is presented in [4]. The different
architectures of ANN, the feed forward network and the
cascade network were considered in [5] for predicting the
number of guests in a month. The feed forward networks
outperformed cascade networks with high accuracy prediction.
A new approach called Multiplicative Neuron Model was used
in [6] for non linear time series forecasting. For training this
model Particle Swarm Optimization (PSO) was made use of.
In [7] ,Genetic Algorithm based ANN model was used for
voltage stability monitoring. ANN was used for classification
of transformer’s no load losses.ANN proves to perform better
even in classification problems with 78% to 96% efficient in
the cases considered in [8]. Neural Network Time Series
Models were used to analyze the performance of Indian Stock
markets. The ANN model used could fit any stock market data
[9]. The concepts of Genetic Algorithm, when and where to
use genetic algorithms are clearly described in [10]. The
optimization efficiency of Genetic Algorithms is explained in
[11]. It discusses the factors affecting the performance of
Genetic Algorithms and the suitable values for population,
crossover and mutation rates. A hybrid ANFIS model was
used for prediction of stock prices in [12]. The proposed
model was compared with various other existing models and
the proposed hybrid model proved to be more efficient.
Forecasting speed of wind was discussed in [13] where
wavelet based ANN was used and the model used criss cross
optimization algorithm for training. In [11] stock forecasting
was done using fuzzy time series model combined with
genetic algorithm. The model was tested on TAIEX closing
prices over the period from 1990 to 1999.The proposed hybrid
model could provide better prediction results. The BPNN
algorithms like LM, gradient descent, Bayesian regularization
was compared for surface roughness prediction in [13]. The
results were also compared against Radial Basis function. In
[14] Minimum Miscibility Pressure was predicted using a
hybrid Genetic Algorithm based Back Propagation Neural
Networks. For the prediction of kWh output from a grid-
connected photovoltaic system, ANN based PSO was used
[19]. Ambient Temperature, solar irradiance, and temperature
of the module were taken as the inputs and kWh energy from
the photovoltaic system was considered as the output. The
study also aimed at investigating the learning capability of
PSO algorithm and the effect of population size. Traffic flow
was analyzed using different hybrid ANN models [20] like
ARIMA model hybridized with ANN, hybrid ANN based
fuzzy model, Genetic Algorithm based ANN model, Chaos
ANN model, model based on wavelet analysis, Principal
Component Analysis ANN model and PSO based ANN
model. The same application in [19] was attempted using Bat
algorithm based ANN model [21]. A hybrid genetic algorithm
was used for parameter extraction in MOSFET’s. In order to
obtain a minimal solution, Genetic Algorithm was made use of
[22].
III. ARTIFICIAL NEURAL NETWORK AND GENETIC ALGORITHM
Artificial Neural Network:
ANN is a non linear model which can be used for a wide range
of applications. The functional aspects of ANN are very
similar to the neurons in the human brain. The architecture
resembles the human brain with interconnected neurons that
process information. From Figure.1, it can be seen that the
general architecture of ANN comprises of a hidden layer along
with input and output layers. The number of input nad hidden
layers vary with the application. Raw data which can be non
linear is fed as input to the network, the hidden layer computes
the weights of the input using an activation function or the
transfer function. The transfer function can be linear, sigmoid
or tangential based on the application. The output is a linear
function. The ANN model can be trained using different
algorithms. One of the simplest algorithm is the LM
algorithm.
Figure 1. Architecture of ANN [23]
LM Algorithm:
LMA are used to solve non linear least squares problems. The
LMA finds a local minimum for a given problem. It blends the
GN algorithm and the GD algorithm. Because of the use of
second derivatives of the cost function, LM algorithm is
robust than the GN algorithm which can converge faster and
results in good solutions. The converging speed of LM
algorithm is slower than Gauss Newton but faster than the
steepest descent method. If the problem is quite small, this
algorithm can be made use of.
The algorithm is described using the following equations:
𝑒 = 𝑥 − 𝐹(∅. 𝑦) (1)
1
𝐽= 𝑒2 (2)
2
∆∅ = −(∇2 𝐽(∅))−1 ∇𝐽(∅) (3)
Eq. (1) represents the error of the obtained output, x is the
expected output, y is the system output, F is the fuzzy system
function
n, Ø is the general parameter of fuzzy system. Eq. (2)
represents the cost function. By calculating the value of Eq.
(3), the cost function is minimized. [14]
Genetic Algorithm:
Genetic algorithms are inspired by biological computations.
They are search algorithms inspired by genetics and selection.
It can also be defined as the algorithm which works on
Darwin’s principle of “Survival of the fittest”. They consist of
binary bit strings called population. Population is nothing but
the number of input data. Population should not be confused
with the number of parameters in the data. The relationship
between the binary strings consisting of zeros and ones is
found using an evaluation function which returns a fitness
value for that particular string. The three main operations
performed are Selection, Crossover and Mutation.
Selection is a process of selecting chromosomes with good
fitness value and forming a new population. Higher the fitness
value, higher the probability of getting selected for the next
generation. There are various strategies for selecting, these
include roulette wheel selection, tournament selection,
selection based on ranking etc.
Once the better chromosomes are selected, the population will
be rich with good population. A crossover operator is used to
create a new string by recombining the bits of the
chromosomes. The main difference between selection and
crossover is that new strings are not created in selection
process whereas crossover operation creates new strings. A
crossover probability is given which usually varies in the
range of 0.3 to 0.9
Mutation randomly changes the value at one or more positions
of the selected chromosomes. The mutation rates vary between
0.1 to 0.09. After mutation, one generation is complete and the
same procedure begins again by evaluating the fitness function
of the population.
IV. PROPOSED MODEL
Create the required neural network and initialize with random
weights and bias values
Provide inputs and outputs of the training set to the network
and calculate fitness of each input
Selection, Crossover and Mutation
no
Best Fitness
Obtained?
Train the network with new values using BPNN
no
MSE<=
MSE min
Obtain the best solution
Figure 2. Flow chart of Proposed Hybrid Model
As discussed in Section I, the proposed model combines GA
and BPNN models. Genetic Algorithm is used to optimize the
parameters before the network is trained using BPNN. The
optimized values of weights and biases are used by the BPNN
to train the network and simulate results.
Figure 2 represents the flow chart of hybrid model. A neural
network with required number of hidden layers, required
number of neurons in each hidden layer and the appropriate
activation function is chosen. Initially, the values for weights
and biases are taken at random. The network is fed with the
training set and its corresponding outputs. GA calculates the
fitness of each input. In the process of selection, the inputs
with high fitness values are selected and they are used in
further generations to get the best fit results. In the Crossover
phase, the input bits are recombined resulting in a new
population. During the mutation phase, the position of the bits
are randomly changed. The fitness is calculated after each of
these process and iterated until the best fitness value is
obtained. The best fit value are the new values of the weights
and biases. The important parameters that has to be considered
while using Genetic Algorithm are, Population Size, Number
of Generations, Crossover rate and Mutation rate. In the
model, Population Size of 40 is considered with 100
generations. The crossover and mutation rates are varied
between 0.3 to 0.7.
As discussed in Section III, in order to back propagate the
network values, LM algorithm is made use of. While training
through BPNN network, the number of nodes, number of
hidden layers, the activation function in the hidden layers,
learning rate, number of epochs, momentum term etc need to
be considered. The BPNN network is designed with 2 hidden
layers and the first hidden layer consists of 6 neurons where as
the second hidden layer consists of a single neuron. Both the
hidden layers use Tangential Sigmoid activation function. The
maximum number of epochs is limited to 15000, the
momentum term is kept at 0.005 with a step increment of 10.
The learning rate has been chosen as 0.15.
With the new values of weights and biases, the network is
trained using LM. The training goes on until the minimum
value of MSE is reached or when any of the other parameter
conditions are met, say for example if the value of momentum
maximum is reached, the training stops resulting in the best
possible solution.
V. RESULTS AND DISCUSSION
Four Data Sets were used for testing the performance of both
BPNN and hybrid model. Two time series data and two
multivariate data sets are considered.Table.2 tabulates the
performance results of all the data sets.Table 1 tabulates the
results when the size of the training sets and the size of the
prediction horizons were changed in the time series data sets,
L&T Stock market data and humidity data.
Data Set 1.[ L&T Stock Market Data] :
The data is taken from [18] where the turnover rates for L&T
Stock for each day was observed for a period of 240 days. The
data is divided into training set and testing set where 200
instances are chosen for training and 40 instances are chosen
for testing. The hybrid model performs better which is
observed in Table.2 .Also the effect of the size of the training
set and the effect of change in the prediction horizons were
observed and is tabulated in Table.1.
 3 Actual Data Prediction Results Using BPNN and GA-BPNN
x10 45 90
Actual Data Actual data
40 80 BPNN output
GA-BPNN output

humidity values
35 70
turnover rates

30 60

25 50

20 40

15 30

10 20
0 5 10 15 20 25 30 35 40 0 20 40 60 80 100
time time
Figure 3. Actual Data representing turnover rates for 40 days. Figure 6. Predicted data using BPNN and GA-BPNN

Prediction Results Using BPNN and GA-BPNN

The results along with its performance measures are tabulated
3
x10 45 in Table.2
Actual data
40 BPNN output
GA-BPNN output Multivariate Data Set 1.[Surface Roughness Data] :
35
turnover rates

Actual Data
4.5
30
Actual Data

25 4
surface roughness
20
3.5
15
3
10
0 5 10 15 20 25 30 35 40
time 2.5
Figure 4. Predicted data using BPNN and GA-BPNN
2
Figure.3 and 4 represents the raw data and the predicted 0 2 4 6 8 10
sample number
results using BPNN and GA-BPNN models respectively.
From Table.2 it can be seen that the proposed model predicts Figure 7. Actual data for surface roughness of 10 samples
better than the existing BPNN model.
Prediction Results Using BPNN and GA-BPNN
Data Set 2.[ Air Quality Data] : 4.5
Actual data
Actual Data
BPNN output
90 4
surface roughness

GA-BPNN output
Actual Data
80
3.5
70
humidity values

60 3

50
2.5
40
2
30 0 2 4 6 8 10
sample number
20
0 20 40 60 80 100
Figure 8. Predicted data using BPNN and GA-BPNN
time
Figure 5. Actual Data representing humidity in air for 100 days. The data is obtained from [14]. Figure.7 and 8 represents the
The data is taken from the UCI repository [17]. Humidity for actual data and predicted data for surface roughness using
each day was observed for a period of 300 days. Samples of BPNN and the hybrid model. The data set consists of 31
200 days were taken for training and the humidity for the samples where 21 samples are trained and 10 samples are
remaining 100 days were predicted. Figure.5 and 6 represents predicted. Each input consists of four parameters and surface
the prediction horizon and the prediction results using BPNN roughness is predicted. As observed in the previous cases, the
and GA-BPNN models. Although GA-BPNN model does not proposed model predicts better even for multivariate data.
fit exactly, it still proves to predict better than BPNN even Results are tabulated in Table.2
when the variance is quite large.
Multivariate Data Set 2.[Concrete Strength Data] : Table 2 Comparison of Performance Measures

Strength of Concrete was predicted using BPNN and GA-

BPNN models. The input consists of 13 parameters [16]. 15 Dataset Model MSE MAE RMSE
samples were considered out of which 12 were used for
training and 3 were used for testing. As observed in the
previous cases, the proposed GA-BPNN model could fit better BPNN
L&T Stock 13.806 3.1932 3.7157
than the BPNN model. The model can also be tested on a large Market Data
GA-BPNN
data set. Figure. 9 and 10 represents the actual data and the 6.2454 2.2554 2.4992
predicted results. The results are tabulated in Table 2 from BPNN
where it can be observed that the proposed model performs 69.7278 7.2597 8.3503
Humidity Data
better. GA-BPNN
63.1461 6.9426 7.9465
Actual Data Surface BPNN
40 0.0785 0.2055 2.8023
Roughness
Actual Data Data GA-BPNN
38 0.0417 0.1928 2.0427
36 BPNN
Concrete strength

Concrete 12.1604 3.2685 3.4872

34 Strength Data
GA-BPNN
8.4934 2.6664 2.9006
32

30
From Table 2 it can be observed that the proposed hybrid
model has better prediction results compared to BPNN
28 networks. One of the factor which affects prediction is the
26 prediction horizon observed in Table 1. Higher the prediction
1 1.5 2 2.5 3 horizon, lesser is the performance. Prediction accuracy also
sample number
depends on the size of the training set which is also evident
Figure 9. Actual data for Concrete Strength of 3 samples form Table 1. It is always recommended to have a large
Prediction Results Using BPNN and GA-BPNN training set when data is available.
40
actual data
38 BPNN output VI. CONCLUSION
Concrete strength

GA-BPNN output
36
Genetic Algorithm is very efficient in optimizing parameters,
34 ANN is a widely accepted model for Time Series Prediction.
Combination of these two models helps in gaining the
32
advantages of both the models. As in paper [9], the use of
30 Genetic Algorithm with neural networks results in identifying
28
and selecting the learning rule and parameters that controls
neural network learning, selecting features or transforming the
26 feature space used by a neural net classifier.
1 1.5 2 2.5 3
sample number This paper proposed a hybrid GA-BPNN model for prediction
of four data sets namely L&T stock market data, Air Quality
data, Surface Roughness data and Concrete Strength data. In
Figure 10. Predicted data using BPNN and GA-BPNN all of the four cases, irrespective of univariate and multivariate
data, the proposed model performed better. The factors such as
prediction horizon and the size of training set data were varied
Table 1 Performance measures with varying training and and the results were measured using MSE, MAPE and RMSE.
testing samples There is a significant improvement in the performance of the
hybrid model. Given the above four cases, the proposed model
fits better than the BPNN model.
MSE for MSE for Although the proposed model has better performance, the time
No of Training
Dataset 50 100
Samples taken for convergence varies with the population size and the
samples samples
number of generations. The random selection process that
L&T Stock occurs during mutation is still not clear. In this paper the
100 71.9082 88.2153 performance of GA with neural networks is measured. There
Market Data
is scope for further combinations. Instead of neural networks,
34.2352 44.8170 Support Vector Machines can be made use of, the
Humidity Data 200
optimization algorithm can also vary say for example PSO can
be used as the optimization algorithm.
 Computer Application and System Modeling (ICCASM 2010). Vol. 1.
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