| Summary: | Complex time series data exists widely in actual systems, and its forecasting has great practical significance. Simultaneously, the classical linear model cannot obtain satisfactory performance due to nonlinearity and multicomponent characteristics. Based on the data-driven mechanism, this paper proposes a deep learning method coupled with Bayesian optimization based on wavelet decomposition to model the time series data and forecasting its trend. Firstly, the data is decomposed by wavelet transform to reduce the complexity of the time series data. The Gated Recurrent Unit (GRU) network is trained as a submodel for each decomposition component. The hyperparameters of wavelet decomposition and each submodel are optimized with Bayesian sequence model-based optimization (SMBO) to develop the modeling accuracy. Finally, the results of all submodels are added to obtain forecasting results. The PM2.5 data collected by the US Air Quality Monitoring Station is used for experiments. By comparing with other networks, it can be found that the proposed method outperforms well in the multisteps forecasting task for the complex time series.
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