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Jul 8, 2016 - Email address: [email protected] ... leads to much better performance of seasonal PSF over original PSF and benchmarked methods. 13 ... environmental science, engineering, marketing and many other. ..... computation delays are belonging to seasonal PSF method as shown in bold font. In very ...
Introduction of Seasonality concept in PSF algorithm to improve univariate time series Predictions Neeraj Bokde1, Aditya Gupta1, Kishore Kulat1 1

Department of Electronics and Communication,

Visvesvaraya National Institution of Technology, Nagpur, India

Corresponding Author: Neeraj Bokde Department of Electronics and Communication, Visvesvaraya National Institution of Technology, Nagpur, India Email address: [email protected]

1 PeerJ Preprints | https://doi.org/10.7287/peerj.preprints.2184v2 | CC BY 4.0 Open Access | rec: 8 Jul 2016, publ: 8 Jul 2016

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Introduction of Seasonality concept in PSF algorithm to improve univariate time series

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Predictions

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Abstract:

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This paper proposed a novel modification in Pattern Sequence based Forecasting (PSF)

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algorithm, named as Seasonal PSF. The proposed modification in PSF algorithm is done with

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addition of seasonality concept, such that the longer univariate time series database with

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combination of many sequence patterns and outliers can be converted into more relevant

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database in accordance with data under test of predictions. In this paper, seasonal PSF is

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examined on electricity load database for two years, provided by EUNITE network. The

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comparative analysis consists of two methodologies, multiple steps prediction and one step

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ahead forecasting. This analysis conclude that, seasonality based decomposition of database

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leads to much better performance of seasonal PSF over original PSF and benchmarked methods

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for univariate predictions like ARIMA and SARIMA. It is found that the maximum accuracy is

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achieved in minimum computational delay with Seasonal PSF.

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performed with RMSE, MAE and MAPE as error performance metrics.

These comparisons are

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Introduction:

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Time series forecasting is very important task in many areas like economics,

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environmental science, engineering, marketing and many other. The accurate forecasting leads to

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accurate decisions for policy making which indirectly leads to more growth in respective areas.

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The performances of different prediction methods are dependent on characteristics of the data. In

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data driven approach, the methods used for prediction can be divided in two categories as

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parametric and nonparametric statistical techniques. Methods like historic means, regression

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models including linear and nonlinear types, moving average, autoregressive, ARIMA, seasonal

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ARIMA and many others are included in parametric approach of predictions. Whereas Neural

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Networks (NN), special cases of regression like nonparametric regression methods are included

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in non parametric approach of prediction. In time series data forecasting, the analysis of time

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series data is done with two characteristics, trends and seasonality. Methods like moving

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average, ARIMA and SARIMA processes on trends and seasonality characteristics with

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differencing and moving averages methods. The ARIMA method with consideration of seasonal 2 PeerJ Preprints | https://doi.org/10.7287/peerj.preprints.2184v2 | CC BY 4.0 Open Access | rec: 8 Jul 2016, publ: 8 Jul 2016

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component was able to perform much better than its former version (simple ARIMA) [3]. Along

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with this, the same model outperformed other methods like linear regression and Support Vector

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Machine (SVM) [4, 5]. These articles are good evidence to state the importance of consideration

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of seasonality concept while analyzing time series data. The most widely used data with

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seasonality includes daily traffic volume, electricity demand and supply, weather parameter

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variation and many others which shows repetition of patterns at specific interval of time. Hence,

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it allows decomposing of the original data in accordance with the seasonal period and improves

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the accuracy of a prediction method up to larger extent. On the basis of same philosophy, this

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article discuss about a newly proposed, seasonal PSF algorithm which works on seasonal time

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series data with concept of seasonality to improve the performance of the original PSF algorithm

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of time series predictions.

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PSF Algorithm:

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PSF stands for Pattern Sequence based Forecasting algorithm which was proposed by

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Martinez-Alvarez et.al [1] and then modified version is explained in [2]. The PSF algorithm is

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based on patterns present in data sequence in the time series data. PSF algorithm consists of

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different processes like data normalization, clustering, forecasting based on clustered data and

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de-normalization, etc. The novelty in PSF algorithm is the use of labels for different patterns

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present in time series data, instead of use of original time series data. Normalization process is

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applied on raw input data to remove the redundancies present in the data. The process of

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normalization is expressed as following equation. Where Xj is the input time series and N is its

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size in units of time.

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𝑋𝑗 =

𝑋𝑗 1 𝑁

𝑁

𝑋𝑖

(1)

𝑖=1

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The labeling of different patterns in raw input data is done with clustering method. This

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clustering method produce clusters with k-means clustering. The k-means clustering technique is

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easy to use and consumes very less time for calculation. But this technique requires the number

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of centre into which the data has to be clustered. Article [1] suggested Silhouette index to decide

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suitable numbers of cluster centers, whereas in modified article [2], authors suggested three 3 PeerJ Preprints | https://doi.org/10.7287/peerj.preprints.2184v2 | CC BY 4.0 Open Access | rec: 8 Jul 2016, publ: 8 Jul 2016

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indices Silhouette index [6], Dunn index [7] and Davies Bouldin index [8]. The optimum number

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of clusters is to be decided by „best two among three‟ policy. In other words, cluster size will be

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finalized with number returned by more than one index. But many articles [9-11] suggested and

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used single index, which leads to simplification of computation for clustering process. The result

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of this step is conversion of time series data into the series of labels which is to be fed to next

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step of prediction.

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This prediction step in PSF algorithm consists of different processes like window size

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selection, pattern sequence matching and estimation process. In the step of prediction, the

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sequence of labels of length size W from backward position of time series is get selected and this

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sequence is searched in whole series of labels obtained in clustering process. This sequence of

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labels with size W is referred as „Window‟. Suppose, while searching, the sequence in the

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window is not found in the series of labels, in that case, the sequence size is reduced by one unit.

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This process continues till the sequence repeat itself in label sequence at least once. This process

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confirms that at least some sequence will repeat in complete label sequence when value of W is

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1. While searching the patterns of window within the complete sequence of labels, it note down

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the next adjacent label to each matched sequence. The mean value of these obtained labels is

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considered as label for next predicted value.

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Finally, de-normalization process is applied to replace the labels with their alternative

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value in the real dataset. In case, if it is required to predict more than one future values, then the

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last predicted value is get appended on original dataset and whole procedure of PSF algorithm is

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applied on new dataset till desire number of predictions are performed.

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The main challenge in the process of prediction is the selection of optimum window size

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(W) to perform the prediction with minimum error. The selection of W is dependent on the

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dataset under study. The mathematical expression for W size selection is minimization of

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following expression.

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𝑋 𝑡 − 𝑋(𝑡)

(2)

𝑡 ∈ 𝑇𝑠

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Where 𝑋 𝑡 is predicted value at time index t with PSF method and 𝑋(𝑡) is the original

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observed data at same time index t. Practically, calculation of window size (W) is to be done by 4 PeerJ Preprints | https://doi.org/10.7287/peerj.preprints.2184v2 | CC BY 4.0 Open Access | rec: 8 Jul 2016, publ: 8 Jul 2016

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means of cross validation. The general scheme of the PSF algorithm proposed in article [2] is as

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shown in Figure 1.

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Figure 1 PSF algorithm proposed in article [2]

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The PSF method is studied and compared with different benchmarked univariate time

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series prediction methods in various articles. In articles [1,2], time series of electricity price

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prediction is compared with Artificial Neural Network, ARIMA, mixed models and weighted

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Neural Networks. These studies conclude that, PSF algorithm performed much better than these

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methods. Afterward, article [9] discussed about limitations in PSF algorithm and proposed few

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modifications such that computation delays get minimized. In article [10], PSF algorithm

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outperformed kNN and ARIMA in forecasting electric vehicle charging energy consumption.

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The modification proposed by this article was repositioning of window such that label sequence

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will get searched at the centre of window instead of at the end of the window. Apart from this,

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the combination of PSF and Neural Network (NN) methods was attempted in [12]. This

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algorithm was able to outperform over PSF for electricity demand forecasting study. In [13], PSF

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algorithm was modified by replacing k-means clustering technique with non-negative tensor

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factorization for energy demand forecasting using Photovoltaic energy records. For the first time,

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article [11] and [16] discussing about practical software package working over time series

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prediction with PSF algorithm. This R package „PSF‟ takes univariate time series data and 5 PeerJ Preprints | https://doi.org/10.7287/peerj.preprints.2184v2 | CC BY 4.0 Open Access | rec: 8 Jul 2016, publ: 8 Jul 2016

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predict future values with AUTO_PSF function. This function automates other processes like

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selection of optimum value of cluster and window size, data normalization, de-normalization and

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many others.

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Drawbacks of PSF Algorithm:

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Though PSF algorithm outperforms various state of art and benchmarked methods for

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time series prediction, it was not get popular among researchers and data scientists because of

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few reasons. First thing is that, it is a series of functions, which were interdependent on each

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other. Selection of optimum cluster size was dependent on various indices. The main challenge

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was optimum window size selection for accurate predictions. The window size was calculated by

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means of cross validation by performing a training phase. Martinez Alvarez et al. [2] also

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mentioned, “Application of standard mathematical programming methods is not possible of

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window size selection.” With the advancement in computational tools, the software packages

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like PSF, an R package attempted to automate the various steps involved in the PSF algorithm.

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But still, it is quite complex to search the matched pattern sequence with optimum window size

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in dataset consisting of multiple patterns and outliers with usual PSF prediction step. Apart from

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this, if the data size is very large, searching sequence in the whole dataset consumes more and

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more time and leads to very large delay in overall method of prediction.

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The Proposed Methodology:

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The proposed method is the improvement of conventional PSF algorithm [1-2] with

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addition of concept of seasonality. Many of the time series dataset used in applications like

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electricity demand forecasting, road traffic predictions, weather forecasting and many more

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which follow the patterns that shows similar variation with change in time period. This is the

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seasonality characteristics of the time series data. Likewise, change in temperature for particular

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region shows almost similar pattern for many years. In months of summer, time series shows

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high peaks whereas peaks get shorter for months of winters. Suppose, a dataset is following a

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monthly variation in temperature since last 4-5 years and it is desired to predict temperature for

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summer in next year. In that case, instead of considering all previous data, the pattern of change

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in temperature in summers of previous years will be enough to forecast the same for next

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summer. 6 PeerJ Preprints | https://doi.org/10.7287/peerj.preprints.2184v2 | CC BY 4.0 Open Access | rec: 8 Jul 2016, publ: 8 Jul 2016

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Figure 2 Block Diagram for Seasonal PSF

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Figure 3 Block Diagram explaining process of ‘Data Decomposition’ in Seasonal PSF

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The block diagram for proposed method is as shown in Figure 2. The main contribution

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of Seasonal PSF algorithm is the concept of seasonality in original PSF algorithm which is done

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with „Data Decomposition‟ block as shown in Figure 3. The ultimate aim of this block is to

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optimize the input dataset in accordance with data reserved for testing purpose. The seasonal

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PSF algorithm initiates with inputting of time series data along with approximate period of

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season which indicates after that time period the seasonal pattern repeats. First of all, this season 7 PeerJ Preprints | https://doi.org/10.7287/peerj.preprints.2184v2 | CC BY 4.0 Open Access | rec: 8 Jul 2016, publ: 8 Jul 2016

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period is get examined such that, whether the seasonal pattern repeats at least once in training

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dataset. If this necessary condition is not satisfied, the dataset will get processed with original

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PSF. On the other hand, if this condition is satisfied, following steps involved in seasonal PSF

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algorithm get applied on the dataset.

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This procedure starts with segmentation of dataset into subsets. These subsets are equal

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segments of size that of seasonal period. In other word, each segment represents the pattern for

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one of the season present in dataset. The last segment among all of these segments is considered

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as segment under test, which is referred as „Test Segment‟. The novel thing about seasonal PSF is

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generation of new optimum dataset with respect to test segment. This is done with procedure

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discussed in pseudo code in Figure 4.

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Figure 4 General scheme of the Seasonal PSF algorithm

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Each of the segment representing seasonal patterns compare themselves with test

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segment and calculate corresponding Root Mean Square (RMS) errors. Consider, these error

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values are stored in vector „error‟. The next step involves classification of the entities present in

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vector „error‟. This is done with k-means clustering technique, such that each of the error value

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in „error‟ will get labeled corresponding to its cluster centre. All the segments with label similar

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to that of test segment get separated and composed in a new dataset „newD‟. This dataset is much

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more relevant to the test segment since all of these segments in the dataset follow the similar

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patterns as that of test segment. The final step is the implementation of PSF algorithm on new

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dataset „newD‟. If more than one values are to be predicted, the value predicted by PSF

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algorithm with dataset „newD‟ get appended to same dataset „newD‟ till desired numbers of

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predictions are done. The maximum number of prediction values is limited to the length of

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season in units of time. Whenever, the predicted values exceed this length of season, the values

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predicted with PSF algorithm is get appended on original dataset „D‟ and the whole procedure of

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seasonal segmentation and prediction is get repeated till desired numbers of predictions are

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obtained. Hence modification in PSF algorithm is required to minimize the computation delay.

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The proposed method in this paper attempts the PSF algorithm to remove the drawbacks within it

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with very less efforts.

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Experimental Setup:

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Data: The performance of proposed method is examined with EUNITE dataset of daily

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electricity load from January 1997 to December 1998. This data is provided by EUNITE

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Network used in a well known competition [14]. The aim of this competition was to predict the

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maximum daily electrical load values for next month. This data was collected daily for every half

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hour interval samples for each year. For current study, one sample at specific time per day is

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considered. Hence, total number of samples used in the study is 365 x 2 = 730, altogether.

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Performance Metrics: In this study, performance of the proposed algorithm and other methods

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used for comparison is evaluated with three error performance metrics which include RMSE,

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MAE and MAPE. The calculations of all these performance metrics are dependent on original

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and predicted data. Consider Xi is the original data under test and the corresponding predicted

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data is 𝑋𝑖. With N is the number of samples in Xi, the equations for RMSE, MAE and MAPE

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metrics are as shown in (3), (4) and (5), respectively.

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1 𝑁

𝑅𝑀𝑆𝐸 =

𝑁

𝑖=1

𝑋𝑖 − 𝑋𝑖 𝑋𝑖

2

(3)

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1 𝑀𝐴𝐸 = 𝑁

𝑁

𝑋𝑖 − 𝑋𝑖

(4)

𝑖=1

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1 𝑀𝐴𝑃𝐸 = 𝑁

𝑁

𝑖=1

𝑋𝑖 − 𝑋𝑖 × 100% 𝑋𝑖

(5)

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Results: This study is about the comparison of benchmarked predictive methods with the

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proposed seasonal PSF algorithm. This study is done with varying the prediction step size from 1

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to higher values and calculating corresponding errors in prediction and time consumed by each

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algorithm to perform the predictions. The suitable ARIMA and SARIMA models are fitted for

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the dataset, which includes parameters (1, 1, 3) and (1, 1, 3) (1, 0, 0), respectively. Considering

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30 days as a seasonal period in both SARIMA and seasonal PSF algorithm, the comparative

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analysis is performed with 'PredictTestbench', an R package [15] used as a test bench for

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predictive methods comparison. These analyses are performed on a hardware platform with

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Intel® Core™ i3 Processor along with 8GB RAM. The Table 1 shows the RMSE value

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comparison among the selected predictive algorithms. Similarly, Table 2 and Table 3 shows the

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same comparison with MAE and MAPE metrics, respectively.

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In all of these observations, the column labeled as 'Step Size' represents the number of

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values predicted as well as compared with test dataset. For each step size predictive method,

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there are two subparts. Upper rows are for error performance metric and lower rows are for

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computational time consumed by particular method to predict the future values. The comparison

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analysis for step sizes 1, 2, 5 and 10 presenting minimum prediction error values and minimum

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computation delays are belonging to seasonal PSF method as shown in bold font. In very few

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cases, these optimum values in bold font belong to methods other than seasonal PSF. These

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outcomes in the analysis are enough to conclude that, for all error performance metrics, the

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seasonal PSF algorithm are outperforming over ARIMA, SARIMA and PSF methods in seasonal

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database considering aspects of accuracy and computational speed.

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Table 1 RMSE and Computational Delay comparison Step

ARIMA

SARIMA

PSF

Seasonal

Size 1

2

5

10

PSF RMSE

13.5852

15.1999

23.6217

3.0752

Delay

0.172

1.2560

4.9892

0.0980

RMSE

8.8190

9.3691

17.3639

10.083

Delay

0.1580

1.2420

9.1175

0.097

RMSE

12.7221

10.2339

16.3180

10.1241

Delay

0.1540

1.2380

19.3601

0.0659

RMSE

12.8329

13.9035

15.8986

11.2151

Delay

0.1990

1.2430

26.8674

0.0604

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Table 2 MAE and Computational Delay comparison Step

ARIMA

SARIMA

PSF

Size 1

2

Seasonal PSF

MAE

13.5830

15.1421

23.6217

3.0752

Delay

0.1680

1.2750

5.0862

0.1180

MAE

8.3921

8.5670

15.1411

8.5

Delay

0.1690

1.2620

9.3975

0.1160

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5

10

MAE

11.3636

9.3462

14.4433

9.0690

Delay

0.1590

1.2400

19.2541

0.6690

MAE

11.3187

12.4377

14.0602

10.1693

Delay

0.1520

1.2740

26.9735

0.6070

1 2 3

Table 3 MAPE and Computational Delay comparison Step

ARIMA

SARIMA

PSF

Size 1

2

5

10

Seasonal PSF

MAPE

7.3422

8.1849

12.7684

1.6623

Delay

0.1640

1.2850

5.1352

0.1370

MAPE

4.6923

4.7681

8.3660

4.9754

Delay

0.1670

1.2850

9.4465

0.1150

MAPE

6.4217

5.4537

8.0745

5.3337

Delay

0.1580

1.2860

19.3741

0.6750

MAPE

6.3628

6.9966

7.8734

5.7747

Delay

0.1640

1.2700

27.0715

0.6220

4 5

In addition to this, one step ahead forecasting analysis is performed to compare ARIMA

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and PSF algorithm with seasonal PSF using the 'step_ahead_forecast' function in the same R

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package, 'PredictTestbench' [15]. In this analysis, out of data corresponds to 24 months, 18

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months are considered as training data and rests of the months are predicted with one step ahead

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forecast technique. The plots for this analysis are shown in Figure 5, Figure 6 and Figure 7 for

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PSF, ARIMA and seasonal PSF algorithms, respectively.

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Figure 5 One step ahead forecasting for PSF method

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Figure 6 One step ahead forecasting for ARIMA method

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Figure 7 One step ahead forecasting for Seasonal PSF method

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For this analysis, the RMSE value obtained for PSF and ARIMA algorithm is 34.0578

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and 16.7275 respectively, whereas that for seasonal PSF is 16.6829. These error values are very

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attractive evidence to decide the superiority of seasonal PSF algorithm over its initial phase

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(PSF) other benchmarked method for univariate prediction.

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Conclusion:

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This paper is the discussion about a proposed method Seasonal Pattern Sequence based

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Forecasting (seasonal PSF), which is a modification of PSF algorithm with the introduction of

12

concept of seasonality. This algorithm targets the applications for predictions of univariate time

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series data with seasonal variation. The superiority of the proposed algorithm is examined with a

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case study, which uses electricity load time series data for two years and compared its prediction

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results with ARIMA, SARIMA and PSF methods with error performance metrics RMSE, MAE

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and MAPE. The comparison is made for multiple step predictions and one step ahead forecasting

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methodologies. All of these comparison processes are performed with a test bench provided by

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an R package „PredictTestbench‟.

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Seasonal PSF method decomposes the dataset in into smaller and more relevant dataset,

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in accordance with the seasonal period. This shorter time series leads to lesser time for prediction

3

calculations. Along with this, the effects of unwanted sequences and outliers in time series data

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on prediction process get reduced. So, the maximum accuracy can be achieved in minimum

5

computational delay with Seasonal PSF. Future work is focused on dynamic estimation of

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seasonal period, such that more accurate segmentation of dataset can be done.

7 8

References:

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for

electric

vehicle

charging

stations.

InSmart

Grid

Communications

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