基于贝叶斯算法(bayes)优化卷积神经网络-长短期记忆网络(CNN-LSTM)多变量时间序列预测，bayes-CNN-LSTM

%%% 清空环境变量 warning off % 关闭报警信息 close all % 关闭开启的图窗 clear % 清空变量 clc % 清空命令行 %% 导入数据 result1 = xlsread('数据集.xlsx'); result=result1(1:300,:); %% 数据分析 num_samples = length(result); % 样本个数 kim = 2; % 延时步长（前面多行历史数据作为自变量） zim = 1; % 跨zim个时间点进行预测 nim = size(result, 2) - 1; % 原始数据的特征是数目 %% 划分数据集 for i = 1: num_samples - kim - zim + 1 res(i, :) = [reshape(result(i: i + kim - 1 + zim, 1: end - 1)', 1, ... (kim + zim) * nim), result(i + kim + zim - 1, end)]; end %% 数据集分析 outdim = 1; % 最后一列为输出 num_size = 0.80; % 训练集占数据集比例 num_train_s = round(num_size * num_samples); % 训练集样本个数 f_ = size(res, 2) - outdim; % 输入特征长度 %% 划分训练集和测试集 P_train = res(1: num_train_s, 1: f_)'; T_train = res(1: num_train_s, f_ + 1: end)'; M = size(P_train, 2); P_test = res(num_train_s + 1: end, 1: f_)'; T_test = res(num_train_s + 1: end, f_ + 1: end)'; N = size(P_test, 2); f_ = size(P_train, 1); % 输入特征维度 %% 划分训练集和测试集 M = size(P_train, 2); N = size(P_test, 2); %% 数据归一化 [p_train, ps_input] = mapminmax(P_train, 0, 1); p_test = mapminmax('apply', P_test, ps_input); [t_train, ps_output] = mapminmax(T_train, 0, 1); t_test = mapminmax('apply', T_test, ps_output); %% 创建元胞或向量，长度为训练集大小； XrTrain = cell(size(p_train,2),1); YrTrain = zeros(size(t_train,2),1); for i=1:size(p_train,2) XrTrain{i,1} = p_train(:,i); YrTrain(i,1) = t_train(:,i); end % 创建元胞或向量，长度为测试集大小； XrTest = cell(size(p_test,2),1); YrTest = zeros(size(t_test ,2),1); for i=1:size(p_test,2) XrTest{i,1} = p_test(:,i); YrTest(i,1) = t_test (:,i); end %% 优化算法参数设置 %参数取值上界(学习率，隐藏层节点，正则化系数) fitness = @fical; %% 贝叶斯优化参数范围 optimVars = [ optimizableVariable('NumOfUnits', [10, 30], 'Type', 'integer') optimizableVariable('InitialLearnRate', [1e-3, 1e-1], 'Transform', 'log') optimizableVariable('L2Regularization', [1e-5, 1e-2], 'Transform', 'log')]; %% 贝叶斯优化网络参数 BayesObject = bayesopt(fitness, optimVars, ... % 优化函数，和参数范围 'MaxTime', Inf, ... % 优化时间（不限制） 'IsObjectiveDeterministic', false, ... 'MaxObjectiveEvaluations', 20, ... % 最大迭代次数 'Verbose', 1, ... % 显示优化过程 'UseParallel', false); %% 得到最优参数 NumOfUnits = BayesObject.XAtMinEstimatedObjective.NumOfUnits; % 最佳隐藏层节点数 InitialLearnRate = BayesObject.XAtMinEstimatedObjective.InitialLearnRate; % 最佳初始学习率 L2Regularization = BayesObject.XAtMinEstimatedObjective.L2Regularization; % 最佳L2正则化系数 %% 创建混合CNN-LSTM网络架构 % 输入特征维度 numFeatures = f_; % 输出特征维度 numResponses = 1; FiltZise = 10; % 创建"CNN-LSTM"模型 layers = [... % 输入特征 sequenceInputLayer([numFeatures 1 1],'Name','input') sequenceFoldingLayer('Name','fold') % CNN特征提取 convolution2dLayer([FiltZise 1],32,'Padding','same','WeightsInitializer','he','Name','conv','DilationFactor',1); batchNormalizationLayer('Name','bn') eluLayer('Name','elu') averagePooling2dLayer(1,'Stride',FiltZise,'Name','pool1') % 展开层 sequenceUnfoldingLayer('Name','unfold') % 平滑层 flattenLayer('Name','flatten') % LSTM特征学习 lstmLayer(50,'Name','lstm1','RecurrentWeightsInitializer','He','InputWeightsInitializer','He') % LSTM输出 lstmLayer(NumOfUnits,'OutputMode',"last",'Name','bil4','RecurrentWeightsInitializer','He','InputWeightsInitializer','He') dropoutLayer(0.25,'Name','drop3') % 全连接层 fullyConnectedLayer(numResponses,'Name','fc') regressionLayer('Name','output') ]; layers = layerGraph(layers); layers = connectLayers(layers,'fold/miniBatchSize','unfold/miniBatchSize'); %% CNNLSTM训练选项 % 批处理样本 MiniBatchSize =128; % 最大迭代次数 MaxEpochs = 500; options = trainingOptions( 'adam', ... 'MaxEpochs',500, ... 'GradientThreshold',1, ... 'InitialLearnRate',InitialLearnRate, ... 'LearnRateSchedule','piecewise', ... 'LearnRateDropPeriod',400, ... 'LearnRateDropFactor',0.2, ... 'L2Regularization',L2Regularization,... 'Verbose',false, ... 'Plots','training-progress'); %% 训练混合网络 net = trainNetwork(XrTrain,YrTrain,layers,options); %% 训练集误差评价 % 预测 YPredtr = predict(net,XrTrain,"MiniBatchSize",numFeatures); % 结果 t_sim1 =double(YPredtr'); % 反归一化 CNNLSTMoutput_tra=mapminmax('reverse',t_sim1,ps_output); T_sim1=double(CNNLSTMoutput_tra); %% 测试集误差评价 % 预测 YPred = predict(net,XrTest,"MiniBatchSize",numFeatures); % 结果 t_sim2=double(YPred'); % 反归一化 CNNLSTMoutput_test=mapminmax('reverse',t_sim2,ps_output); T_sim2=double(CNNLSTMoutput_test); %% 测试集结果 figure; plotregression(T_test,T_sim2,['回归图']); figure; ploterrhist(T_test-T_sim2,['误差直方图']); %% 均方根误差 RMSE error1 = sqrt(sum((T_sim1 - T_train).^2)./M); error2 = sqrt(sum((T_test - T_sim2).^2)./N); %% %决定系数 R1 = 1 - norm(T_train - T_sim1)^2 / norm(T_train - mean(T_train))^2; R2 = 1 - norm(T_test - T_sim2)^2 / norm(T_test - mean(T_test ))^2; %% %均方误差 MSE mse1 = sum((T_sim1 - T_train).^2)./M; mse2 = sum((T_sim2 - T_test).^2)./N; %% %RPD 剩余预测残差 SE1=std(T_sim1-T_train); RPD1=std(T_train)/SE1; SE=std(T_sim2-T_test); RPD2=std(T_test)/SE; %% 平均绝对误差MAE MAE1 = mean(abs(T_train - T_sim1)); MAE2 = mean(abs(T_test - T_sim2)); %% 平均绝对百分比误差MAPE MAPE1 = mean(abs((T_train - T_sim1)./T_train)); MAPE2 = mean(abs((T_test - T_sim2)./T_test)); %% 训练集绘图 figure %plot(1:M,T_train,'r-*',1:M,T_sim1,'b-o','LineWidth',1) plot(1:M,T_train,'r-',1:M,T_sim1,'b-','LineWidth',1.5) legend('真实值','bayes-CNN-LSTM预测值') xlabel('预测样本') ylabel('预测结果') string={'训练集预测结果对比';['(R^2 =' num2str(R1) ' RMSE= ' num2str(error1) ' MSE= ' num2str(mse1) ' RPD= ' num2str(RPD1) ')' ]}; title(string) %% 预测集绘图 figure plot(1:N,T_test,'r-',1:N,T_sim2,'b-','LineWidth',1.5) legend('真实值','bayes-CNN-LSTM预测值') xlabel('预测样本') ylabel('预测结果') string={'测试集预测结果对比';['(R^2 =' num2str(R2) ' RMSE= ' num2str(error2) ' MSE= ' num2str(mse2) ' RPD= ' num2str(RPD2) ')']}; title(string) %% 测试集误差图 figure ERROR3=T_test-T_sim2; plot(T_test-T_sim2,'b-*','LineWidth',1.5) xlabel('测试集样本编号') ylabel('预测误差') title('测试集预测误差') grid on; legend('bayes-CNN-LSTM预测输出误差') %% 绘制线性拟合图 %% 训练集拟合效果图 figure plot(T_train,T_sim1,'*r'); xlabel('真实值') ylabel('预测值') string = {'训练集效果图';['R^2_c=' num2str(R1) ' RMSEC=' num2str(error1) ]}; title(string) hold on ;h=lsline; set(h,'LineWidth',1,'LineStyle','-','Color',[1 0 1]) %% 预测集拟合效果图 figure plot(T_test,T_sim2,'ob'); xlabel('真实值') ylabel('预测值') string1 = {'测试集效果图';['R^2_p=' num2str(R2) ' RMSEP=' num2str(error2) ]}; title(string1) hold on ;h=lsline(); set(h,'LineWidth',1,'LineStyle','-','Color',[1 0 1]) %% 求平均 R3=(R1+R2)./2; error3=(error1+error2)./2; %% 总数据线性预测拟合图 tsim=[T_sim1,T_sim2]'; S=[T_train,T_test]'; figure plot(S,tsim,'ob'); xlabel('真实值') ylabel('预测值') string1 = {'所有样本拟合预测图';['R^2_p=' num2str(R3) ' RMSEP=' num2str(error3) ]}; title(string1) hold on ;h=lsline(); set(h,'LineWidth',1,'LineStyle','-','Color',[1 0 1]) %% 打印出评价指标 disp(['-----------------------误差计算-----------------