Deep Learning Neural Networks for Time Series Prediction

Question

I'm starting a work on Internet traffic prediction (time series prediction) using artificial neural networks, but I have few experience with the matter.

1. Does anyone knows which method is the best for that? (which type of neural network to use for time series prediction)

2. Is Deep Learning with unsupervised training a good idea for time series learning?

Answer 1

You can do time-series prediction with neural nets, but it can get pretty tricky.

1) The obvious choice is a recurrent neural network (RNN). However, these can be really difficult to train, and I would not recommend RNNs if this is your first time using neural nets. Recently there has been some interesting work on easing the training of RNNs (e.g. Hessian-free optimization), but again - it's probably not for beginners ;-) Alternatively, you could try a scheme where you use a standard neural net (i.e. not a RNN), and try to predict the next frame of data from the previous? That might work.

2) This question is too general, there is no categorical right answer. Yes, you can use unsupervised feature learning as part of your solution (e.g. pre-training your model), but if your end goal is time-series prediction you will need to do some supervised learning too.

Good luck!