Prediction for nonlinear time series by improved deep echo state network based on reservoir states reconstruction

Abstract With the aim to enhance prediction accuracy for nonlinear time series, this paper put forward an improved deep Echo State Network based on reservoir states reconstruction driven by a Self-Normalizing Activation (SNA) function as the replacement for the traditional Hyperbolic tangent activation function to reduce the model’s sensitivity to hyper-parameters. The Strategy was implemented in a two-state reconstruction process by first inputting the time series data to the model separately. Once, the time data passes through the reservoirs and is activated by the SNA activation function, the new state for the reservoirs is created. The state is input to the next layer, and the concatenate states module saves. Pairs of states are selected from the activated multi-layer reservoirs and input into the state reconstruction module. Multiple input states are transformed through the state reconstruction module and finally saved to the concatenate state module. Two evaluation metrics were used to benchmark against three other ESNs with SNA activation functions to achieve better prediction accuracy.