Deep-ESN: A Multiple Projection-encoding Hierarchical Reservoir Computing Framework
This work addresses a bottleneck in time series analysis for researchers and practitioners using reservoir computing, though it is incremental as it builds on existing hierarchical ESN-based models.
The paper tackles the problem of capturing multiscale structures in time series, which single-layer reservoir computing models struggle with, by proposing Deep-ESN, a hierarchical framework that uses alternating projection and encoding layers; experimental results show it outperforms standard ESNs and previous hierarchical models on artificial and real-world datasets.
As an efficient recurrent neural network (RNN) model, reservoir computing (RC) models, such as Echo State Networks, have attracted widespread attention in the last decade. However, while they have had great success with time series data [1], [2], many time series have a multiscale structure, which a single-hidden-layer RC model may have difficulty capturing. In this paper, we propose a novel hierarchical reservoir computing framework we call Deep Echo State Networks (Deep-ESNs). The most distinctive feature of a Deep-ESN is its ability to deal with time series through hierarchical projections. Specifically, when an input time series is projected into the high-dimensional echo-state space of a reservoir, a subsequent encoding layer (e.g., a PCA, autoencoder, or a random projection) can project the echo-state representations into a lower-dimensional space. These low-dimensional representations can then be processed by another ESN. By using projection layers and encoding layers alternately in the hierarchical framework, a Deep-ESN can not only attenuate the effects of the collinearity problem in ESNs, but also fully take advantage of the temporal kernel property of ESNs to explore multiscale dynamics of time series. To fuse the multiscale representations obtained by each reservoir, we add connections from each encoding layer to the last output layer. Theoretical analyses prove that stability of a Deep-ESN is guaranteed by the echo state property (ESP), and the time complexity is equivalent to a conventional ESN. Experimental results on some artificial and real world time series demonstrate that Deep-ESNs can capture multiscale dynamics, and outperform both standard ESNs and previous hierarchical ESN-based models.