A Rolling Grey Model Optimized by Particle Swarm Optimization in Economic Prediction. (3rd December 2014)

• Record Type: Journal Article
• Authors: Liu, Li; Wang, Qianru; Wang, Jianzhou; Liu, Ming
• Is Part Of: Computational intelligence. Volume 32:Number 3(2016)
• Page Start: 391
• Page End: 419
• Publication Date: 2014-12-03
• Subjects: grey system theory -- economic forecasting -- rolling mechanism -- particle swarm optimization; Artificial intelligence -- Periodicals; Computational linguistics -- Periodicals; 006.3
• DOI: 10.1111/coin.12059
• Languages: English
• ISSNs: 0824-7935

Abstract

Abstract : Grey system theory has been widely used to forecast the economic data that are often nonlinear, irregular, and nonstationary. Current forecasting models based on grey system theory could adapt to various economic time series data. However, these models ignored the importance of the model parameter optimization and the use of recent data, which lead to poor forecasting accuracy. In this article, we propose a novel forecasting model, called particle swarm optimization rolling grey model (PSO‐RGM(1, 1)), based on a rolling mechanism GM with optimized parameters by using the particle swarm optimization algorithm. The simple model is shown to be very effective in forecasting the tertiary industry data sequences, which are short and noisy but regular in secular trend. The experimental results show that PSO‐RGM(1, 1) outperforms other commonly used forecasting models on three real economic data sets. Our empirical study shows that PSO is found to be the best overall algorithm to optimize the parameter of RGM compared with other well‐known metaheuristics. Furthermore, we evaluated other variant PSOs and found that single particle PSO outperforms others overall in terms of prediction accuracy, convergence speed, and degree of certainty.