Multi-step ahead forecasting using complex-valued vector autoregregression
US11308414B2 · kind B2 · utility
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Key dates
| Filing date | Oct 11, 2018 |
| Grant date | Apr 19, 2022 |
| Priority date | — |
| Expiry date | Oct 18, 2040 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06N5/01
- WIPO fieldComputer technology
- WIPO sectorElectrical engineering
Abstract
Computer-implemented methods, computer program products, and systems are provided for multi-step ahead forecasting. A method includes configuring, by a processor device, a Vector Autoregression (VAR) model to generate a multi-step-ahead forecast based on previous observations. The previous observations are predictors and the multi-step-ahead forecast is a response to the predictors. The method further includes training, by the processor device, the VAR model using complex-valued weight parameters to avoid a training result relating to any of a divergence and a convergence to zero.
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