Application of

Back-Propagation neural
network
in
data
forecasting
Le Hai Khoi, Tran Duc Minh
Institute Of Information Technology VAST

Ha Noi Viet Nam

Acknowledgement
The authors want to Express our
thankfulness to Prof. Junzo WATADA who
read and gave us worthy comments.

Authors

CONTENT
Introduction
Steps in data forecasting modeling
using neural network
Determine networks topology
Application
Concluding remarks

Introduction
Neural networks are Universal Approximators
To find a suitable model for the data forecasting problem is very difficult and
in reality, it might be done only by trial-and-error
We may take the data forecasting problem for a kind of data processing
problem
Data collecting
and analyzing

Pre-processing

Neural Networks

Postprocessing

Figure 1: Data Processing.

Steps in data forecasting modeling using neural network

The works involved in are:

* Data pre-processing:
determining data interval: daily, weekly, monthly or quarterly; data type:
technical index or basic index; method to normalize data: max/min or
mean/standard deviation.
* Training:
determining the learning rate, momentum coefficient, stop condition,
maximum
cycles, weight randomizing, and size of training set, test set and verification
set.
* Networks topology:
determining number of inputs, hidden layers, number of neurons in each
layer,
number of neurons in output layer, transformation functions for the layers and
error function

Steps in data forecasting modeling using neural network

The major steps in design the data forecasting model is as follow:

. Choosing variables
Data collection
Data pre-processing
Dividing the data set into smaller sets: training, test and verification
Determining networks topology: number of hidden layers, number of
neurons in each layer, number of neurons in output layer and the
transformation function.
Determining the error function
Training
Implementation.
In performing the above steps, it is not necessary to perform steps sequentially. We could be back to the
previous steps, especially in training and choosing variables steps. The reason is because in the designing
period, if the variables chosen gave us unexpected results then we need to choose another set of variables
and bring about the training step

Choosing variables and Data collection

Determining which variable is related directly or indirectly to the data
that we need to forecast.
If the variable does not have any affect to the value of data that we need to
forecast then we should wipe it out of consider.
Beside it, if the variable is concerned directly or indirectly then we should
take it on consider.
Collecting data involved with the variables that are chosen

Data pre-processing
Analysis and transform values of input and output data to emphasize the
important features, detect the trends and the distribution of data.
Normalize the input and output real values into the interval between max and
min of transformation function (usually in [0, 1] or [-1, 1] intervals). The most
popular methods are following:
SV = ((0.9 - 0.1) / (MAX_VAL - MIN_VAL)) * (OV - MIN_VAL)
Or:
SV = TFmin + ((TFmax - TFmin) / (MAX_VAL - MIN_VAL)) * (OV - MIN_VAL)
where:
SV: Scaled Value
MAX_VAL: Max value of data
MIN_VAL: Min value of data
TFmax: Max of transformation function
TFmin: Min of transformation function
OV: Original Value

Dividing patterns set

Divide the whole patterns set into the smaller sets:
(1) Training set
(2) Test set
(3) Verification set.

The training set is usually the biggest set employed in training the network. The
test set, often includes 10% to 30% of training set, is used in testing the
generalization. And the verification set is set balance between the needs of
enough patterns for verification, training, and testing.

Determining networks topology

This step determines links between neurons, number of hidden layers,
number of neurons in each layer.

1. How neurons in network are connected to each other.

2. The number of hidden layers should not exceed two
3. There is no method to find the most optimum number of neurons used in
hidden layers.

=> Issue 2 and 3 can only be done by trial and error since it is depended on the
problem that we are dealing with.

Determining the error function

To estimate the networks performance before and after training process.
Function used in evaluation is usually a mean squared errors. Other functions
may be: least absolute deviation, percentage differences, asymmetric least
squares etc.
Performance index
F(x) = E[eTe] = E [ ( t - a )T ( t - a ) ]
Approximate Performance index
F(x) = eT(k)e(k)] = (t(k) - a(k) )T ( t(k) - a(k))
The lastest quality determination function is usually the Mean Absolute
Percentage Error - MAPE.

Training
Training tunes a neural network by adjusting the weights and biases
that is expected to give us the global minimum of performance
index or error function.
When to stop the training process ?
1. It should stop only when there is no noticeable progress of the error
function against data based on a randomly chosen parameters set?
2. It should regularly examine the generalization ability of the network by
checking the network after a pre-determined number of cycles?
3. Hybrid solution is having a monitoring tool so we can stop the training
process or let it run until there is no noticeable progress.
4. The result after examining of verification set of a neural network is most
persuadable since it is a directly obtained result of the network after
training.

Implementation
This is the last step after we determined the factors related to networks
topology, variables choosing, etc.
1. Which environment: Electronic circuits or PC
2. The interval to re-train the network: might be depended on the times and
also other factors related to our problem.

Determine networks topology

Multi-layer feed-forward neural networks

R1
x1

a1

W1

S1xR1

b1
S1x1

n1

a2

W2

S 1x

S2xS1

S1x1

n2

S2x1

S2x1

b2
S2x1

a2 = f2( W2 f1 (W1p + b1) + b2)

Figure 2: Multi-layer feed-forward neural networks

where:
P: input vector (column vector)
Wi: Weight matrix of neurons in layer i. (SixRi: Si rows (neurons), Ri columns
(number of inputs))
i
b : bias vector of layer i (Six1: for Si neurons)
ni: net input (Six1)
fi: transformation function (activate function)
ai: net output (Six1)
: SUM function
i = 1 .. N, N is the total number of layers.

Determine training algorithm and networks topology

bias
x

wij

wjk

bias
wkl

x2

1
Output

xn

Input layer

Hidden layers

Output layer

Figure 3: Multi-layered Feed-forward neural network layout

Transfer function is a sigmoid or any squashing function that is differentiable

1
(x) =
and (x) = (x) { 1 - (x) }
1 + e-x

Back-propagation algorithm
Step 1: Feed forward the inputs through networks:

a0 = p
am+1 = fm+1 (Wm+1 am + bm+1), where m = 0, 1, ..., M 1.
a = aM

Step 2: Back-propagate the sensitive (error):

M
M
M

2 F

s F n
m

n t a

m 1 T

at the output layer

s m 1 at the hidden layers

where m = M 1, ..., 2, 1.
Step 3: Finally, weights and biases are updated by following formulas:

W m k 1 W m k s m a m 1

b m k 1 b m k s m

(Details on constructing the algorithm and other related issues should be found on text book Neural Network Design)

Using Momentum
This is a heuristic method based on the observation of training results.
The standard back-propagation algorithm will add following item to the weight as
the weight changes:
Wm(k) = - sm (am 1) T,
bm(k) = - sm .
When using momentum coefficient, this equation will be changed as follow:
Wm(k) = Wm(k 1) (1 ) sm (am 1)T,
bm(k) = bm(k 1) (1 ) sm .

Application
LAYER
class

Arrow: inheritance relation

Arrow: inheritance relation
Rhombic antanna arrow:
Rhombic antanna arrow:
Aggregate relation
Aggregate relation
NEURAL NET class includes the
NEURAL NET class includes the
components that are the instances of
components that are the instances of
Output Layer and Hidden Layer.
Output Layer and Hidden Layer.
Input Layer is not implemented
Input Layer is not implemented
here since it does not do any
here since it does not do any
calculation on the input data.
calculation on the input data.

friend

Output layer

Hidden layer

NEURAL NET
class

Application

Application

Application

Concluding remarks
The determination of the major works is important and realistic. It will help
develop more accuracy data forecasting systems and also give the
researchers the deeper look in implementing the solution using neural
networks
In fact, to successfully apply a neural network, it is depended on three major
factors:

First, the time to choose the variables from a numerous quantity of data as well as perform
pre-processing those data;

Second, the software should provide the functions to examine the generalization ability,
help find the optimal number of neurons for the hidden layer and verify with many input sets;

Third, the developers need to consider, examine all the possible abilities in each time
checking networks operation with various input sets as well as the networks topologies
so that the chosen solution will exactly described the problem as well as give us the most
accuracy forecasted data.

THANK YOU FOR

ATTENDING!
Authors
Kytakyushu 03/2004