Hi Jack,
When using narxnet, the network performs only a one-step ahead prediction after it has been trained. Therefore, you need to use closeloop to perform a multi-step-ahead prediction and turn the network into parallel configuration.
Take a look at this example for a multi-step-ahead prediction, N steps. This uses the dataset magdata.mat which is available in the Neural Network Toolbox. Also, some of the inputs will be used for performing the multi-step-ahead prediction, and results validated with the original data. I hope the comments help to understand.
Edited in September 2015 to simplify step 5
%% 1. Importing data
S = load('magdata');
X = con2seq(S.u);
T = con2seq(S.y);
%% 2. Data preparation
N = 300;
inputSeries = X(1:end-N);
targetSeries = T(1:end-N);
inputSeriesVal = X(end-N+1:end);
targetSeriesVal = T(end-N+1:end);
%% 3. Network Architecture
delay = 2;
neuronsHiddenLayer = 10;
net = narxnet(1:delay,1:delay,neuronsHiddenLayer);
%% 4. Training the network
[Xs,Xi,Ai,Ts] = preparets(net,inputSeries,{},targetSeries);
net = train(net,Xs,Ts,Xi,Ai);
view(net)
Y = net(Xs,Xi,Ai);
perf = perform(net,Ts,Y);
%% 5. Multi-step ahead prediction
[Xs1,Xio,Aio] = preparets(net,inputSeries(1:end-delay),{},targetSeries(1:end-delay));
[Y1,Xfo,Afo] = net(Xs1,Xio,Aio);
[netc,Xic,Aic] = closeloop(net,Xfo,Afo);
[yPred,Xfc,Afc] = netc(inputSeriesVal,Xic,Aic);
multiStepPerformance = perform(net,yPred,targetSeriesVal);
view(netc)
figure;
plot([cell2mat(targetSeries),nan(1,N);
nan(1,length(targetSeries)),cell2mat(yPred);
nan(1,length(targetSeries)),cell2mat(targetSeriesVal)]')
legend('Original Targets','Network Predictions','Expected Outputs')
Best Answer