Time Series Modeling Based on ITO Algorithm
Wenyong Dong, Yuanming Hu · 2007
The ITO algorithm, which is based on the ITO process, is a new intelligent meta-heuristic algorithm. Two new operators, named excursion ratio and fluctuate ratio, are introduced in the algorithm. The two operators integrate Einstein's displacement equation, which describes Brownian motion. This strategy can effectively deals with contradictions between the 'exploration' and 'exploitation'. We study the ITO algorithm by using it to model the time series, and the influence of parameters is also studied.