Optimization of bilinear time series models using fast evolutionary programming

Abstract

This letter presents a new algorithm, fast evolutionary programming (FEP), for determining the model orders and parameters of reduced parameter bilinear (RPBL) models used for predicting nonlinear and chaotic time series. FEP is a variant of the conventional evolutionary programming (EP) algorithm with a new mutation operator. This new mutation operator enhances EP's ability to escape from local minima resulting in a significantly faster convergence to the optimal solution. Both the model order and the parameters are evolved simultaneously. Experimental results on the sunspot series and Mackey-Glass series show that FEP is capable of determining the optimal model order and, in comparison with conventional evolutionary programming, evolves models with lower normalized mean squared error.