Improving forecasting model for fuzzy time series using the Self-updating clustering and Bi-directional Long Short Term Memory algorithm

Abstract

This paper proposes a new model for creating fuzzy time series and conducting future forecasts using the Bi-directional Long Short-term Memory model (Bi-LSTM). This study contributes by using both classical machine learning and deep learning techniques. Firstly, a self-updating clustering algorithm is used to determine the optimal number of clusters for time series. Secondly, the study describes a method for determining the fuzzy relationship between elements of time series and the identified clusters. Thirdly, the developed model creates the fuzzy time series based on the established rules. Finally, forecasting for the future value using the Bi-LSTM model with some improvement in optimizing the parameters and increasing the accuracy of forecasting result. The steps of the proposed model are clearly illustrated by a numerical example. Moreover, this model also tested on various datasets, including M3, M4, and M5 datasets. By evaluating its performance using parameters such as sMAPE and RMSSE, the proposed model has shown significant enhancements when compared to existing models. Additionally, the model’s effectiveness is further demonstrated through its successful application in forecasting the VN index stock in Vietnam.