Dynamic adaptive graph convolutional transformer with broad learning system for multi-dimensional chaotic time series prediction

Abstract

Chaotic time series data is extensively applied in financial stocks, climate monitoring, and sea clutter, in which data fusion from various sources and multi-sensor information make accurate predictions of chaotic time series challenging under complex nonlinear conditions. Previous works focus on designing different model frameworks to capture the temporal dependence and extract richer nonlinear features to improve the accuracy of univariate chaotic time series prediction, which ignores the spatial dependence of multivariable. However, in this paper, we argue that spatial correlation among multiple variables is essential to improve the prediction accuracy of chaotic time series. To fill the gap, we innovatively propose a Dynamic Adaptive Graph Convolutional Transformer with a Broad Learning System (DAGCT-BLS), a GCN and Transformer-based model utilizing multivariate spatial dependence for multi-dimensional chaotic time series forecasting. In DAGCT-BLS, the multivariate chaotic time series are reconstructed into the phase space, and the reconstructed data are rapidly feature-extracted using a cascade network BLS with frozen weights to maximize the retention of chaotic properties and nonlinear relationships. Then, the Dynamic Adaptive Graph Convolutional Network (DAGCN) is proposed to capture the spatial correlation among the multiple variables. Finally, improved multi-head attention of the Transformer Encoder is used to capture the temporal dependence of the phase point sequence. Experiments of our proposed model on three datasets (Lorenz, Rossler, and Sea clutter) show that DAGCT-BLS can achieve the best prediction performance and have strong interpretability, and multivariate-based joint modeling of chaotic time series helps to improve the prediction performance.