Autoregressive Recurrent Networks Research Articles

Prediction of Ethereum gas prices using DeepAR and probabilistic forecasting

ABSTRACT Ethereum is a major public blockchain. Besides being the second-largest digital currency by market capitalization for its cryptocurrency, the Ether (Ξ), it is also the foundation of Web3 and decentralized applications, or DApps, that are fuelled by Smart Contracts. At the time of this writing, Ethereum still uses Proof of Work (PoW) consensus algorithm to ensure the integrity of the blockchain and to prevent double spend. PoW requires the participation of miners, who are incentivized to assemble blocks of transactions by being rewarded with cryptocurrency paid by transaction originators and by the blockchain network itself via newly minted Ξ. Network fees for transaction submissions are called gas, by analogy to the fuel used by cars, and are negotiable. They are also highly volatile and hence it is critical to predict the direction they are heading into, so that one can time transaction submissions, when feasible. There have been several efforts to predict gas prices, including usage of large Mempools, analysis of committed blocks, and more recent ones using Facebook's Prophet model [Taylor, S. J., & Letham, B. (2017). Forecasting at scale. PeerJ Preprints, 5, e3190v2. https://doi.org/10.7287/peerj.preprints.3190v2]. In this study, we introduce an innovative approach that employs the DeepAR [Salinas, D., Flunkert, V., Gasthaus, J., & Januschowski, T. (2020). Deepar: Probabilistic forecasting with autoregressive recurrent networks. International Journal of Forecasting, 36(3), 1181–1191. https://doi.org/10.1016/j.ijforecast.2019.07.001] model, known for its superior forecasting accuracy over conventional methods by virtue of its ability to learn from multiple related time series. This methodology not only offers immediate advantages but also holds promise for ongoing enhancements. We substantiate our claims through empirical testing, utilizing data extracts from the Ethereum blockchain and cryptocurrency price feeds. This document is an extended version of our ICCS 2022 paper on the same topic. In this paper, we dive deeper into the internals of DeepAR forecasting algorithm [Salinas, D., Flunkert, V., Gasthaus, J., & Januschowski, T. (2020). Deepar: Probabilistic forecasting with autoregressive recurrent networks. International Journal of Forecasting, 36(3), 1181–1191. https://doi.org/10.1016/j.ijforecast.2019.07.001], analyse the correlation between the on-chain/off-chain sample data, and describe additional experiments that empirically prove our findings and, finally, perform a comparison of our outputs with those from the Prophet [Taylor, S. J., & Letham, B. (2017). Forecasting at scale. PeerJ Preprints, 5, e3190v2. https://doi.org/10.7287/peerj.preprints.3190v2] model.

Neural Forecasting of the Italian Sovereign Bond Market with Economic News

AbstractIn this paper, we employ economic news within a neural network framework to forecast the Italian 10-year interest rate spread. We use a big, open-source, database known as Global Database of Events, Language and Tone to extract topical and emotional news content linked to bond markets dynamics. We deploy such information within a probabilistic forecasting framework with autoregressive recurrent networks (DeepAR). Our findings suggest that a deep learning network based on long short-term memory cells outperforms classical machine learning techniques and provides a forecasting performance that is over and above that obtained by using conventional determinants of interest rates alone.

Atmospheric PM2.5 Prediction Using DeepAR Optimized by Sparrow Search Algorithm with Opposition-Based and Fitness-Based Learning

There is an important significance for human health in predicting atmospheric concentration precisely. However, due to the complexity and influence of contingency, atmospheric concentration prediction is a challenging topic. In this paper, we propose a novel hybrid learning method to make point and interval predictions of PM2.5 concentration simultaneously. Firstly, we optimize Sparrow Search Algorithm (SSA) by opposition-based learning, fitness-based learning, and Lévy flight. The experiments show that the improved Sparrow Search Algorithm (FOSSA) outperforms SSA-based algorithms. In addition, the improved Sparrow Search Algorithm (FOSSA) is employed to optimize the initial weights of probabilistic forecasting model with autoregressive recurrent network (DeepAR). Then, the FOSSA–DeepAR learning method is utilized to achieve the point prediction and interval prediction of PM2.5 concentration in Beijing, China. The performance of FOSSA–DeepAR is compared with other hybrid models and a single DeepAR model. Furthermore, hourly data of PM2.5 and O3 concentration in Taian of China, O3 concentration in Beijing, China are used to verify the effectiveness and robustness of the proposed FOSSA–DeepAR learning method. Finally, the empirical results illustrate that the proposed FOSSA–DeepAR learning model can achieve more efficient and accurate predictions in both interval and point prediction.

Deformation Prediction of Unstable Slopes Based on Real-Time Monitoring and DeepAR Model.

With increased urbanization, accidents related to slope instability are frequently encountered in construction sites. The deformation and failure mechanism of a landslide is a complex dynamic process, which seriously threatens people’s lives and property. Currently, prediction and early warning of a landslide can be effectively performed by using Internet of Things (IoT) technology to monitor the landslide deformation in real time and an artificial intelligence algorithm to predict the deformation trend. However, if a slope failure occurs during the construction period, the builders and decision-makers find it challenging to effectively apply IoT technology to monitor the emergency and assist in proposing treatment measures. Moreover, for projects during operation (e.g., a motorway in a mountainous area), no recognized artificial intelligence algorithm exists that can forecast the deformation of steep slopes using the huge data obtained from monitoring devices. In this context, this paper introduces a real-time wireless monitoring system with multiple sensors for retrieving high-frequency overall data that can describe the deformation feature of steep slopes. The system was installed in the Qili connecting line of a motorway in Zhejiang Province, China, to provide a technical support for the design and implementation of safety solutions for the steep slopes. Most of the devices were retained to monitor the slopes even after construction. The machine learning Probabilistic Forecasting with Autoregressive Recurrent Networks (DeepAR) model based on time series and probabilistic forecasting was introduced into the project to predict the slope displacement. The predictive accuracy of the DeepAR model was verified by the mean absolute error, the root mean square error and the goodness of fit. This study demonstrates that the presented monitoring system and the introduced predictive model had good safety control ability during construction and good prediction accuracy during operation. The proposed approach will be helpful to assess the safety of excavated slopes before constructing new infrastructures.

RUL Predict of IGBT Based on DeepAR Using Transient Switch Features

The insulated gate bipolar transformer (IGBT) has been widely used in power electrical system such as wind power converter and drive converter. However, the high load and capricious working environment make IGBT become the most vulnerable component in the electrical system. In this paper, a method based on probabilistic forecasting with auto-regressive recurrent networks (DeepAR) is proposed to predict the remaining useful life (RUL) of IGBT. Firstly, the transient data of the collector-emitter voltage signal are acquired when IGBT is turned off. Then, the different characteristics are extracted from transient data and the features that can represent the health state of IGBT best are chosen as the input of the DeepAR model to predict the remaining life of IGBT. Experiment results show that the log-log ratio of transient data can be an accurate precursor to predict RUL, and compared with other similar series predict models such as Auto-Regressive Integrated Moving Average (ARIMA) and Simple Exponential Smoothing (SES), DeepAR can get higher accuracy.

DeepAR: Probabilistic forecasting with autoregressive recurrent networks

Probabilistic forecasting, i.e., estimating a time series’ future probability distribution given its past, is a key enabler for optimizing business processes. In retail businesses, for example, probabilistic demand forecasts are crucial for having the right inventory available at the right time and in the right place. This paper proposes DeepAR, a methodology for producing accurate probabilistic forecasts, based on training an autoregressive recurrent neural network model on a large number of related time series. We demonstrate how the application of deep learning techniques to forecasting can overcome many of the challenges that are faced by widely-used classical approaches to the problem. By means of extensive empirical evaluations on several real-world forecasting datasets, we show that our methodology produces more accurate forecasts than other state-of-the-art methods, while requiring minimal manual work.