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Decomposition genetic programming: An extensive evaluation on rainfall prediction in the context of weather derivatives

Cramer, Sam and Kampouridis, Michael and Freitas, Alex A (2018) 'Decomposition genetic programming: An extensive evaluation on rainfall prediction in the context of weather derivatives.' Applied Soft Computing, 70. pp. 208-224. ISSN 1568-4946

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Abstract

Regression problems provide some of the most challenging research opportunities in the area of machine learning, where the predictions of some target variables are critical to a specific application. Rainfall is a prime example, as it exhibits unique characteristics of high volatility and chaotic patterns that do not exist in other time series data. Moreover, rainfall is essential for applications that surround financial securities, such as rainfall derivatives. This paper extensively evaluates a novel algorithm called Decomposition Genetic Programming (DGP), which is an algorithm that decomposes the problem of rainfall into subproblems. Decomposition allows the GP to focus on each subproblem, before combining back into the full problem. The GP does this by having a separate regression equation for each subproblem, based on the level of rainfall. As we turn our attention to subproblems, this reduces the difficulty when dealing with data sets with high volatility and extreme rainfall values, since these values can be focused on independently. We extensively evaluate our algorithm on 42 cities from Europe and the USA, and compare its performance to the current state-of-the-art (Markov chain extended with rainfall prediction), and six other popular machine learning algorithms (Genetic Programming without decomposition, Support Vector Regression, Radial Basis Neural Networks, M5 Rules, M5 Model trees, and k-Nearest Neighbours). Results show that the DGP is able to consistently and significantly outperform all other algorithms. Lastly, another contribution of this work is to discuss the effect that DGP has had on the coverage of the rainfall predictions and whether it shows robust performance across different climates.

Item Type: Article
Uncontrolled Keywords: Weather derivatives, rainfall prediction, problem decomposition, genetic programming, genetic algorithm
Divisions: Faculty of Science and Health
Faculty of Science and Health > Computer Science and Electronic Engineering, School of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 18 Aug 2020 08:16
Last Modified: 23 Sep 2022 19:39
URI: http://repository.essex.ac.uk/id/eprint/27191

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