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  • Time Series Forecasting of Crude Oil

    Consumption Using Neuro-Fuzzy Inference

    Shaya Rubinstein, Aaron Goor, and Alexander Rotshtein Dept. of Industrial Engineering & Management Jerusalem College of Technology, Jerusalem, Israel

    Email: {shaya.rubinstein, Agoor84}@gmail.com, alexrot@inbox.ru

    AbstractForecasting time series with lengthy and chaotic

    history can be challenging and complex. The demand of

    crude oil in the U.S. from 1974 2012 has much chaotic

    behavior. Many statistical methods are available for time

    series modeling for forecasting, however choosing the right

    method or methods is a difficult task. Forecasting and

    prediction models based on adaptive neuro-fuzzy inference

    systems (ANFIS) have shown to predict satisfactory error

    ranges in multiple fields of study. By experimenting with

    ANFIS we have succeeded to develop a method for modeling

    time series data parameters: the embedded delay and

    number of input variables. Our results show that ANFIS

    behavior across data models is intuitive and its projected

    forecast errors are indeed satisfactory. In addition, our best

    12-month delay model in ANFIS provided a 12-month-

    ahead forecast with strikingly similar seasonal behavior to a

    forecast provided by the U.S. Dept. of Energy Energy

    Information Administration for the same time period, and

    resulted in a lower overall projected forecast error. ANFIS

    as a parameter modeling tool for unaltered time series is

    therefore suggested to be quite helpful.

    Index TermsANFIS, crude oil, forecasting, fuzzy logic,

    neural networks


    Forecasting time series that are chaotic in behavior

    over long periods of time can be challenging. While more

    widely-used methods such as linear and non-linear

    regression, trend analysis, and deseasonalization are

    common, the exact combination of which methods to

    employ for which time series is quite difficult to manage,

    in addition to determining which time series modeling

    parameters are optimal. In recent years, there has been

    significant research conducted in various fields to test the

    usefulness of neural network sets and fuzzy logic for

    constructing predictive models.

    We have selected the demand of crude oil in the

    United States as our time series data object, and we are

    investigating the projected reliability and usefulness of

    forecasting models using neural networks and fuzzy logic

    sets, namely, ANFIS (Adaptive Neuro-Fuzzy Inference


    ANFIS as a method for forecasting will be discussed,

    with a main focus on the results of experiments

    conducted to test its advantages over classical statistical

    Manuscript received March 8, 2014; revised July 8, 2014.

    forecasting method(s), which are largely based on classic

    [Bayesian] probability. We will attempt to demonstrate


    1) ANFIS can be used as a forecasting method which is both simpler to use and less expensive

    than other inference methods bearing optimistic


    2) To accomplish this, we will attempt to determine an optimum number of input variables for

    building a time series data set for forecasting,

    while preserving the forecast error measured over

    time to a minimum.

    3) When compared to other time series modeling methods (simple moving average, polynomial

    regression, and Gaussian regression), ANFIS may

    be the more attractive model to choose, as we

    intend to check all of the same parameters of

    forecast error in both methods, with the same data.


    A. Demand of Crude oil in the US has declined and has not recovered

    The United States was until recently the worlds

    largest importer of foreign crude oil, only to be surpassed

    by China (source: United States Energy Information

    Administration, Department of Energy). In 2008 crude oil

    prices (per barrel) climbed sharply and thus the demand

    for crude oil in the U.S. dropped accordingly. However

    since then the prices have balanced and global production

    has continued its previous growth trends while the

    demand for oil in the U.S. has not recovered to its

    previous trend. If this continues, the U.S. demand for oil

    will no longer be able to be considered as a stable

    consumer index and thus forecasting the behavior for

    demand of crude oil in the U.S. is significant.

    Finding a method that could perhaps provide reliable,

    inexpensive and intuitive forecasting models for data of

    this type could be very useful. Today, the U.S. Energy

    Information Administration (US EIA) uses millions of

    dollars of congressional budget funds for maintaining

    and operating the NEMS (National Energy Modeling

    System) which is employed to model the data of many

    energy data inputs and provide short- and long-term

    forecasts for their monthly and annual reports. While the

    projections are made public, so are the basics of their

    modeling system as well as their congressional budget

    2015 Engineering and Technology Publishing 84doi: 10.12720/jiii.3.2.84-90

    Journal of Industrial and Intelligent Information Vol. 3, No. 2, June 2015


  • requests. In the 2012 budget request, the EIA (via the U.S.

    Dept. of Energy) requested roughly $3.7 million for

    overhauling the NEMS which they explain, has many

    issues and is preventing them from producing reliable

    projections. [1] If this is the case, it seems worthwhile to

    invest time and resources to the research of alternative

    data modeling and forecasting methods.

    For these reasons, we investigate the usefulness of

    forecasting the demand of crude oil in the U.S., and

    particularly with ANFIS as it has been seen to be useful

    when modeling different types of time series [2]-[5].

    B. Fuzzy Inference

    Classical logic systems cannot cope with problems that

    deal with approximate degrees of measurement [6]. If I

    were to say that most people with an industrial

    engineering degree and considerable experience earn a

    substantial income, what can be said about Joe, who is

    probably an experienced engineer, and his likely


    There are 2 main reasons classical logic systems will

    not succeed in evaluating this kind of problem: one, there

    is no system designed for representing the meanings of

    these measurements when the meaning is imprecise;

    second, there is no mechanism for inference in those

    cases in which the meaning can be represented

    symbolically in a meaning representation language.

    Lotfi Zadeh brings to light [6] a form of representing

    inferences from linguistic variables in a distinct

    mathematic logic-based framework, the details of which

    are not necessary to list here. (Most important and

    relevant to our work is the general idea that an inference

    model can be designed and used for later calculations,

    and especially within the ANFIS structure.)

    C. Neuro-Fuzzy Inference Systems

    The architecture and learning procedure underlying

    ANFIS (adaptive-network-based fuzzy inference system)

    is presented by JSR Jang, which is a fuzzy inference

    system implemented in the framework of adaptive

    networks. By using a hybrid learning procedure, the

    proposed ANFIS can construct an input-output mapping

    based on both human knowledge (in the form of fuzzy if-

    then rules) and stipulated input-output data pairs [7].

    Jang compares the results of his experiments with

    results from non-linear function models, where the

    outputs were calculated by regression modeling, which

    was also used by Tagaki, Sugeno and others to verify

    their approaches [8], [9].

    Jang concluded that ANFIS can achieve a highly non-

    linear mapping; therefore, it is superior to common linear

    methods in reproducing non-linear time series. The

    ANFIS used in his work had considerably less adjustable

    parameters needed to achieve remarkable results, when

    compared with other methods. Though without much

    knowledge prior, the initial parameter settings of ANFIS

    are intuitively reasonable, and it leads to fast learning that

    captures the underlying dynamics of the overall system.

    Finally, by employing a hybrid learning procedure, the

    proposed architecture can refine fuzzy if-then rules

    obtained from human experts to describe the input-output

    behavior of a complex system. However, if human

    expertise is not available, we can still set up intuitively

    reasonable initial membership functions and start the

    learning process to generate a set of fuzzy if-then rules to

    approximate a desired data set.


    Our work focuses on three principal questions: 1) Can a neuro-fuzzy inference system (ANFIS)

    provide a reliable forecast model for non-

    stationary time series?

    2) Is there a working method for determining optimum input parameters for use with ANFIS in

    time series forecasting?

    3) Can forecasting using ANFIS be compared to more well-known statistical methods?

    To resolve these problems, we have concentrated

    around the following processes: 1) Data model restructuring: analyzing the original

    time series data for mo