Multi step ahead forecasting with LSTM

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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.
  1 Comment
Nikolaos Efkarpidis
Nikolaos Efkarpidis on 13 Jan 2021
Dear,
How did you finally perform multi-step ahead forecasting with LSTM and predictAndUpdateState ?
I am also struggling with this issue.
Best regards,
Nick

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Accepted Answer

adel adel
adel adel on 25 May 2020
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
  2 Comments
Aniroodh Kumaraswamy
Aniroodh Kumaraswamy on 28 Mar 2022
Very valid question, I too am confused how multiple historical values can be used (say 10 values) to get a forecast into the future. Would appreciate a response from someone who knows

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More Answers (1)

David Willingham
David Willingham on 28 Mar 2022
Hi,
Please see this updated example in R2022a that shows multi-step ahead (closed loop) predictions:

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