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基于滚动窗法最小二乘支持向量机的稳健预测模型*

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Keywords: 加权最小二乘支持向量机(WLSSVM),滚动窗,稳健,奇异点

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Abstract:

在推导加权最小二乘支持向量机数学模型的基础上,基于启发式学习算法并结合滚动窗的思想,提出基于滚动窗法最小二乘支持向量机的稳健预测模型.为了缩短模型的预测运行时间,将启发式算法进行改进后,采用迭代求逆方法,在不丧失预测精度的基础上,很大程度地缩短预测时间.最后通过仿真实例验证这个模型可以成功抑制奇异点,实现稳健预测并取得良好效果.

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