Lower Upper Bound Estimation Method for Construction of Neural Network-Based Prediction Intervals

—Prediction intervals (PIs) have been proposed in the literature to provide more information by quantifying the level of uncertainty associated to the point forecasts. Traditional methods for construction of neural network (NN) based PIs suffer from restrictive assumptions about data distribution and massive computational loads. In this paper, we propose a new, fast, yet reliable method for the construction of PIs for NN predictions. The proposed lower upper bound estimation (LUBE) method constructs an NN with two outputs for estimating the prediction interval bounds. NN training is achieved through the minimization of a proposed PI-based objective function, which covers both interval width and coverage probability. The method does not require any information about the upper and lower bounds of PIs for training the NN. The simulated annealing method is applied for minimization of the cost function and adjustment of NN parameters. The demonstrated results for 10 benchmark regression c...

• Type: Journal
• Year: 2011
• Where: TNN
• Authors: Abbas Khosravi, Saeid Nahavandi, Douglas C. Creighton, Amir F. Atiya
• Keywords: Education, LUBE Method, NN Predictions, Prediction Interval, TNN 2011