An active learning-based incremental deep-broad learning algorithm for unbalanced time series prediction

Time series are a kind of streaming data, which are chaotic and sequential. As real-world time series data are often not available at once and drift with time growth, Incremental Learning (IL) is well suited for Time Series Prediction (TSP). Most previous incremental TSP algorithms are limited by the assumption of data balance. However, real-world time series data are often unbalanced, with long-tailed distribution and other characteristics resulting in the failure of IL algorithms. In this paper, a balanced-driven Active Learning (AL) strategy is proposed to deal with data imbalance problems in IL processes. What's more, by integrating the advantages of Deep Learning (DL) and the Broad Learning System (BLS), a novel Deep-Broad Learning (DeepBL) network with its incremental learning algorithm is proposed. The proposed Active Learning-based Incremental Deep-Broad Learning (AI_DeepBL) algorithm is applied to real-world univariate and multivariate time series datasets and achieves superior performance compared with classical and state-of-the-art TSP algorithms.