Co-evolutionary multi-task learning with predictive recurrence for multi-step chaotic time series prediction

Multi-task learning employs a shared representation of knowledge for learning several instances of the same problem. Multi-step time series problem is one of the most challenging problems for machine learning methods. The performance of a prediction model face challenges for higher prediction horizons due to the accumulation of errors. Cooperative coevolution employs in a divide and conquer approach for training neural networks and has been very promising for single step ahead time series prediction. Recently, co-evolutionary multi-task learning has been proposed for dynamic time series prediction. In this paper, we adapt co-evolutionary multi-task learning for multi-step prediction where predictive recurrence is developed to feature knowledge from previous states for future prediction horizon. The goal of the paper is to present a network architecture with predictive recurrence which is capable of multi-step prediction through a form of multi-task learning. We employ cooperative neuro-evolution and an evolutionary algorithm as baselines for comparison. The results show that the proposed method provides the best generalization performance in most cases. Comparison of results with the literature has shown to be promising which motivates further application of the approach for related real-world problems.