Fuzzy Time Series

Institute for Statics und Dynamics of Structures
Fuzzy Time Series
Bernd Mller
Institute for Static und Dynamics of Structures
Description of fuzzy time series
Modelling of fuzzy time series
Forecasting of fuzzy time series
Examples
Conclusions
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Examples
Conclusions
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Examples
www.vbz.ch
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time series with fuzzy data
forecasting
?
slide 4

Examples
Fuzzy time series
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Examples
Fuzzy variables
-discretization
slide 6

Examples
Fuzzy variables
-Discretization = discretization with increments
-increments
slide 7

Examples
Fuzzy variables
-Discretization
slide 8

Examples
Fuzzy variables
for
slide 9

Examples
Graphical description of fuzzy time series
Plots
slide 10

Examples
Graphical description of fuzzy time series
Plots
slide 11

Examples
Numerical description of fuzzy time series

Fuzzy component model
with:
functional value of the fuzzy trend function

functional value of the fuzzy cycle function
realization of a fuzzy random noise process
applicable by non-stationary fuzzy time series

slide 12

Examples
Description of fuzzy time series by empirical parameters

applicable by stationary and ergodic fuzzy time series
empirical fuzzy mean value
empirical
-covariance function
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Examples
Conclusions
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Examples

Fuzzy time series
realization of a fuzzy random process

family of fuzzy random variables
set of all fuzzy variables on
space of the random elementary events
realizations of a fuzzy random variable are fuzzy variables
each realization of a fuzzy random process yields

a sequence of fuzzy variables at discrete time points
slide 15

Examples
Fuzzy random variables

(x)
8 realizations
(x)
x
(x)
(x)
x
x
(x)
(x)
x
(x)
x
(x)
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Examples

1.
2.
-level sets are random sets

interval bounds of the
-level sets are random variables
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Examples

-Discretization
random -level sets
bounds are random variables
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Examples

-Discretization
-Representation
of a fuzzy random variable
correlated
random
variables
slide 19

Examples
Fuzzy random process

first and second order moments in
-representation
fuzzy expected value function
-variance
for
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Examples
Fuzzy-white-noise-process
constant
stationary and
ergodic process
constant
for
for
increments are dependent

increments are independent
probability density function of a random increment
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Examples
Fuzzy-ARMA-process
Fuzzy-AR-process
with:
Fuzzy-MA-process
real valued [2n,2n] parameter matrices

fuzzy random variable of a fuzzy-white-noise-process
Forecasting presupposes the estimation

of the parameter matrices.
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Examples
Estimation of the parameter {A1,,Ap, B1,,Bq} = P

3 strategies for parameter estimation:
Idea 1:
Minimization of the differences between

empirical parameters and model parameters
applicable for stationary and ergodic fuzzy time series
slide 23

Examples

Idea 2:
Minimization of the average distance between

measured fuzzy data and optimal 1-step-forecasting
distance function
HAUSDORF distance
applicable for non-stationary fuzzy time series

slide 24

Examples

Idea 3:
Minimization of the square error between

measured fuzzy data and optimal 1-step-forecasting
incremental improvement of the parameter
e.g.:
applicable for non-stationary fuzzy time series

slide 25
Examples
Conclusions
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Examples
Forecasting strategies
future values of a fuzzy time series are
realizations of a fuzzy random forecast process
Fuzzy random forecast process
=family of conditional random variables
conditional fuzzy random variable
with
realizations of the forecast process are

future values of the fuzzy time series
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Examples
1. Optimal forecasting
optimal forecasted value
conditional fuzzy expected value of
optimal 1-step-forecasting (Fuzzy-ARMA[p,q]-process)
optimal h-step-forecasting (Fuzzy-ARMA[p,q]-process)
with
for
for
and
for
for
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Examples
2. Fuzzy forecast intervals
A fuzzy forecast interval
with probability
includes realizations
fuzzy
forecast
interval
optimal
forecasted
value
s future realizations are simulated by Monte Carlo Simulation

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Examples
3. Fuzzy random forecasting
objective: estimation of the fuzzy random variable

Monte Carlo simulation of
fuzzy variables
statistical evaluation of the simulated fuzzy variables

e.g.
fuzzy probability distribution function

fuzzy expected value
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Examples
Forecasting of structural responses
non-measurable
parameters
indirect forecasting of
structural responses
fuzzy stochastic structural analysis

fuzzy time series of impact
measurable
parameters
direct forecasting of impact
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4 Examples
5
Conclusions
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Examples
measured data of heavy goods vehicle traffic

June 2002 to May 2003
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Examples
Measured data of heavy goods vehicle traffic
May 2003
stationary and ergodic Fuzzy-ARMA[10,0]-process
minimization of the differences between
empirical and model characteristics
optimal h-step-forecast
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Description
over 4
yearsof fuzzy time series

Examples
Time series with measured settlements
(over 4 years)
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Examples
Measured data of an extensometer

non-stationary Fuzzy-ARMA[10,3]-process
minimization of square error
control simulation by
optimal 1-step-forecasting
optimal h-step-forecasting
fuzzy forecast intervals
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Examples
Damage of a T-beam plate
indirect forecasting
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Examples

Time series of live laods monthly goods in a storehouse
non-stationary Fuzzy-ARMA[4,4]-process
Fuzzy-ARMA[4,4]-process
optimal h-step-forecasting
fuzzy forecast intervals
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Examples
Fuzzy random forecasting
Monte Carlo Simulation of 100 future realizations

8 realizations
at time point
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Examples
indirect forecasting
Fuzzy damage indicator
not strengthened
strengthened
slide 40
Conclusions
Time series with fuzzy data can be modeled
as realizations of fuzzy random processes
New
-representation of fuzzy random variables
enables the modeling of fuzzy time series as
realizations of fuzzy random processes
Fuzzy-ARMA-processes allow the simulation

and forecasting of fuzzy time series
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Thank you!
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Fuzzy Time Series

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Institute for Statics und Dynamics of Structures

Fuzzy Time Series

Institute for Static und Dynamics of Structures

Description of fuzzy time series

Modelling of fuzzy time series

Forecasting of fuzzy time series

Institute for Static und Dynamics of Structures

Description of fuzzy time series

Modelling of fuzzy time series

Forecasting of fuzzy time series

Description of fuzzy time series

time series with fuzzy data

Description of fuzzy time series

Fuzzy time series

Description of fuzzy time series

Description of fuzzy time series

Description of fuzzy time series

Description of fuzzy time series

Description of fuzzy time series

Graphical description of fuzzy time series

Description of fuzzy time series

Graphical description of fuzzy time series

Description of fuzzy time series

Numerical description of fuzzy time series

functional value of the fuzzy trend function

applicable by non-stationary fuzzy time series

Description of fuzzy time series

Description of fuzzy time series by empirical parameters

Institute for Static und Dynamics of Structures

Description of fuzzy time series

Modelling of fuzzy time series

Forecasting of fuzzy time series

Description of fuzzy time series

Modelling of fuzzy time series

realization of a fuzzy random process

realizations of a fuzzy random variable are fuzzy variables

each realization of a fuzzy random process yields

Description of fuzzy time series

Fuzzy random variables

Description of fuzzy time series

Fuzzy random variables

-level sets are random sets

Description of fuzzy time series

Fuzzy random variables

Description of fuzzy time series

Fuzzy random variables

Description of fuzzy time series

Fuzzy random process

fuzzy expected value function

Description of fuzzy time series

increments are dependent

probability density function of a random increment

Description of fuzzy time series

real valued [2n,2n] parameter matrices

Forecasting presupposes the estimation

Description of fuzzy time series

Estimation of the parameter {A1,,Ap, B1,,Bq} = P

Minimization of the differences between

applicable for stationary and ergodic fuzzy time series

Description of fuzzy time series

Estimation of the parameter {A1,,Ap, B1,,Bq} = P

Minimization of the average distance between

applicable for non-stationary fuzzy time series

Description of fuzzy time series