Development of Accuracy for the Weighted Fuzzy Time Series Forecasting Model Using Lagrange Quadratic Programming

Agus Fachrur Rozy; Solimun Solimun; Ni Wayan Surya Wardhani

doi:10.31764/jtam.v7i4.16783

Development of Accuracy for the Weighted Fuzzy Time Series Forecasting Model Using Lagrange Quadratic Programming

Agus Fachrur Rozy, Solimun Solimun, Ni Wayan Surya Wardhani

Abstract

Limitation within the WFTS model, which relies on midpoints within intervals and linguistic variable relationships for assigning weights. This reliance can result in reduced accuracy, especially when dealing with extreme values during trend to seasonality transformations. This study employs the Weighted Fuzzy Time Series (WFTS) method to adjust predictive values based on actual data. Using Lagrange Quadratic Programming (LQP), estimated weights enhance the WFTS model. MAPE assesses accuracy as the model analyzes monthly IHSG closing prices from January 2017 to January 2023.The MAPE value of 0.61% results from optimizing WFTS with LQP. It utilizes a deterministic approach based on set membership counts in class intervals, continuously adjusting weights during fuzzification, minimizing the deviation between forecasted and actual data values.The Weighted Fuzzy Time Series Forecasting Model with Lagrange Quadratic Programming is effective in forecasting, indicated by a low MAPE value. This method evaluates each data point and adjusts weights, offering reliable investment insights for IHSG strategies..

Keywords

Fuzzy Time Series; Weighted Fuzzy Time Series; Lagrange Quadratic Programming; Mean Absolute Percentage Error.

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DOI: https://doi.org/10.31764/jtam.v7i4.16783