The Performance of LSTM and BiLSTM in Forecasting Time Series

Sima Siami-Namini, Neda Tavakoli, Akbar Siami Namin

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

25 Scopus citations

Abstract

Machine and deep learning-based algorithms are the emerging approaches in addressing prediction problems in time series. These techniques have been shown to produce more accurate results than conventional regression-based modeling. It has been reported that artificial Recurrent Neural Networks (RNN) with memory, such as Long Short-Term Memory (LSTM), are superior compared to Autoregressive Integrated Moving Average (ARIMA) with a large margin. The LSTM-based models incorporate additional 'gates' for the purpose of memorizing longer sequences of input data. The major question is that whether the gates incorporated in the LSTM architecture already offers a good prediction and whether additional training of data would be necessary to further improve the prediction. Bidirectional LSTMs (BiLSTMs) enable additional training by traversing the input data twice (i.e., 1) left-to-right, and 2) right-to-left). The research question of interest is then whether BiLSTM, with additional training capability, outperforms regular unidirectional LSTM. This paper reports a behavioral analysis and comparison of BiLSTM and LSTM models. The objective is to explore to what extend additional layers of training of data would be beneficial to tune the involved parameters. The results show that additional training of data and thus BiLSTM-based modeling offers better predictions than regular LSTM-based models. More specifically, it was observed that BiLSTM models provide better predictions compared to ARIMA and LSTM models. It was also observed that BiLSTM models reach the equilibrium much slower than LSTM-based models.

Original languageEnglish
Title of host publicationProceedings - 2019 IEEE International Conference on Big Data, Big Data 2019
EditorsChaitanya Baru, Jun Huan, Latifur Khan, Xiaohua Tony Hu, Ronay Ak, Yuanyuan Tian, Roger Barga, Carlo Zaniolo, Kisung Lee, Yanfang Fanny Ye
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages3285-3292
Number of pages8
ISBN (Electronic)9781728108582
DOIs
StatePublished - Dec 2019
Event2019 IEEE International Conference on Big Data, Big Data 2019 - Los Angeles, United States
Duration: Dec 9 2019Dec 12 2019

Publication series

NameProceedings - 2019 IEEE International Conference on Big Data, Big Data 2019

Conference

Conference2019 IEEE International Conference on Big Data, Big Data 2019
Country/TerritoryUnited States
CityLos Angeles
Period12/9/1912/12/19

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