Deep Learning Ensemble Based Model for Time Series Forecasting Across Multiple Applications

Time series prediction has been challenging topic in several application domains. In this paper, an ensemble of two top performing deep learning architectures across different applications such as fresh produce (FP) yield prediction, FP price prediction and crude oil price prediction is proposed. First, the input data is trained on an array of different machine learning architectures, the top two performers are then combined using a stacking ensemble. The top two performers across the three tested applications are found to be Attention CNN-LSTM (AC-LSTM) and Attention ConvLSTM (ACV-LSTM). Different ensemble techniques, mean prediction, Linear Regression (LR) and Support vector Regression (SVR), are then utilized to come up with the best prediction. An aggregated measure that combines the results of mean absolute error (MAE), mean squared error (MSE) and R-2 coefficient of determination (R-2) is used to evaluate model performance. The experiment results show that across the various examined applications, the proposed model which is a stacking ensemble of the AC-LSTM and ACV-LSTM using a linear SVR is the best performing based on the aggregated measure.