MATLAB: Multi step ahead forecasting with LSTM

Deep Learning Toolboxlstm

How to perform multi-step ahead forecasting with LSTM. I want to predict 2,3, and 4 time stesp ahead prediction with LSTM?
Please help. Thanks in advance.

Best Answer

Forecasting is basicaly sequence-to-sequence regression, let suppos that your entire sequence is data,
1. You divide data into train and test parts, you can specify the proportion as you wish:
numTimeStepsTrain = floor(0.9*numel(data));% 90% for training 10%for testing
dataTrain = data(1:numTimeStepsTrain+1);
dataTest = data(numTimeStepsTrain+1:end);
2. Preparing training data and response sequences by shifting data by one time step, such as for data(t) the response will be data(t+1)
XTrain = dataTrain(1:end-1);
YTrain = dataTrain(2:end);
3. Preparing the network and training hyperparameters, then train the network using training data and training responses
numFeatures = 1;
numResponses = 1;
numHiddenUnits = 200;
layers = [ ...
    sequenceInputLayer(numFeatures)
    lstmLayer(numHiddenUnits)
    fullyConnectedLayer(numResponses)
    regressionLayer];
options = trainingOptions('adam', ...
    'MaxEpochs',250, ...
    'GradientThreshold',1, ...
    'InitialLearnRate',0.005, ...
    'Verbose',0, ...
    'Plots','training-progress');
net = trainNetwork(XTrain,YTrain,layers,options);
3. Now you can forecast 1, 2, 3 or 4 steps ahead using predictAndUpdateState function, since you use predicted values to update the network state and you don’t use actual values contained in dataTest for this, you can make predictions on any time step number
net = predictAndUpdateState(net,XTrain);
[net,YPred] = predictAndUpdateState(net,YTrain(end));
stepsAhead = 4; % you can use 1,2,3,4 on any value of steps ahead
for i = 2:stepsAhead+1
    [net,YPred(:,i)] = predictAndUpdateState(net,YPred(:,i-1));
end
Related Question