Modeling time series data with deep Fourier neural networks

We present a method for training a deep neural network containing sinusoidal activation functions to fit to time-series data. Weights are initialized using a fast Fourier transform, then trained with regularization to improve generalization. A simple dynamic parameter tuning method is employed to adjust both the learning rate and the regularization term, such that both stability and efficient training are achieved. We show how deeper layers can be utilized to model the observed sequence using a sparser set of sinusoid units, and how non-uniform regularization can improve generalization by promoting the shifting of weight toward simpler units. The method is demonstrated with time-series problems to show that it leads to effective extrapolation of nonlinear trends. (C) 2015 Elsevier B.V. All rights reserved.