Chaotic Time Series Prediction using Spatio-Temporal RBF Neural Networks

Due to the dynamic nature, chaotic time series are difficult predict. In conventional signal processing approaches signals are treated either in time or in space domain only. Spatio-temporal analysis of signal provides more advantages over conventional uni-dimensional approaches by harnessing the information from both the temporal and spatial domains. Herein, we propose an spatio-temporal extension of RBF neural networks for the prediction of chaotic time series. The proposed algorithm utilizes the concept of time-space orthogonality and separately deals with the temporal dynamics and spatial non-linearity(complexity) of the chaotic series. The proposed RBF architecture is explored for the prediction of Mackey-Glass time series and results are compared with the standard RBF. The spatio-temporal RBF is shown to out perform the standard RBFNN by achieving significantly reduced estimation error.Comment: Published in: 2018 3rd International Conference on Emerging Trends in Engineering, Sciences and Technology (ICEEST). arXiv admin note: substantial text overlap with arXiv:1908.0132

Doctor of Philosophy

dissertationThe goal of machine learning is to develop efficient algorithms that use training data to create models that generalize well to unseen data. Learning algorithms can use labeled data, unlabeled data or both. Supervised learning algorithms learn a model using labeled data only. Unsupervised learning methods learn the internal structure of a dataset using only unlabeled data. Lastly, semisupervised learning is the task of finding a model using both labeled and unlabeled data. In this research work, we contribute to both supervised and semisupervised learning. We contribute to supervised learning by proposing an efficient high-dimensional space coverage scheme which is based on the disjunctive normal form. We use conjunctions of a set of half-spaces to create a set of convex polytopes. Disjunction of these polytopes can provide desirable coverage of space. Unlike traditional methods based on neural networks, we do not initialize the model parameters randomly. As a result, our model minimizes the risk of poor local minima and higher learning rates can be used which leads to faster convergence. We contribute to semisupervised learning by proposing 2 unsupervised loss functions that form the basis of a novel semisupervised learning method. The first loss function is called Mutual-Exclusivity. The motivation of this method is the observation that an optimal decision boundary lies between the manifolds of different classes where there are no or very few samples. Decision boundaries can be pushed away from training samples by maximizing their margin and it is not necessary to know the class labels of the samples to maximize the margin. The second loss is named Transformation/Stability and is based on the fact that the prediction of a classifier for a data sample should not change with respect to transformations and perturbations applied to that data sample. In addition, internal variations of a learning system should have little to no effect on the output. The proposed loss minimizes the variation in the prediction of the network for a specific data sample. We also show that the same technique can be used to improve the robustness of a learning model with respect to adversarial examples

European exchange trading funds trading with locally weighted support vector regression

In this paper, two different Locally Weighted Support Vector Regression (wSVR) algorithms are generated and applied to the task of forecasting and trading five European Exchange Traded Funds. The trading application covers the recent European Monetary Union debt crisis. The performance of the proposed models is benchmarked against traditional Support Vector Regression (SVR) models. The Radial Basis Function, the Wavelet and the Mahalanobis kernel are explored and tested as SVR kernels. Finally, a novel statistical SVR input selection procedure is introduced based on a principal component analysis and the Hansen, Lunde, and Nason (2011) model confidence test. The results demonstrate the superiority of the wSVR models over the traditional SVRs and of the v-SVR over the ε-SVR algorithms. We note that the performance of all models varies and considerably deteriorates in the peak of the debt crisis. In terms of the kernels, our results do not confirm the belief that the Radial Basis Function is the optimum choice for financial series

Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms: support vector regression forecast combinations

The motivation of this paper is to introduce a hybrid Rolling Genetic Algorithm-Support Vector Regression (RG-SVR) model for optimal parameter selection and feature subset combination. The algorithm is applied to the task of forecasting and trading the EUR/USD, EUR/GBP and EUR/JPY exchange rates. The proposed methodology genetically searches over a feature space (pool of individual forecasts) and then combines the optimal feature subsets (SVR forecast combinations) for each exchange rate. This is achieved by applying a fitness function specialized for financial purposes and adopting a sliding window approach. The individual forecasts are derived from several linear and non-linear models. RG-SVR is benchmarked against genetically and non-genetically optimized SVRs and SVMs models that are dominating the relevant literature, along with the robust ARBF-PSO neural network. The statistical and trading performance of all models is investigated during the period of 1999–2012. As it turns out, RG-SVR presents the best performance in terms of statistical accuracy and trading efficiency for all the exchange rates under study. This superiority confirms the success of the implemented fitness function and training procedure, while it validates the benefits of the proposed algorithm

Support Vector Machine optimization with fractional gradient descent for data classification

Data classification has several problems one of which is a large amount of data that will reduce computing time. SVM is a reliable linear classifier for linear or non-linear data, for large-scale data, there are computational time constraints. The Fractional gradient descent method is an unconstrained optimization algorithm to train classifiers with support vector machines that have convex problems. Compared to the classic integer-order model, a model built with fractional calculus has a significant advantage to accelerate computing time. In this research, it is to conduct investigate the current state of this new optimization method fractional derivatives that can be implemented in the classifier algorithm. The results of the SVM Classifier with fractional gradient descent optimization, it reaches a convergence point of approximately 50 iterations smaller than SVM-SGD. The process of updating or fixing the model is smaller in fractional because the multiplier value is less than 1 or in the form of fractions. The SVM-Fractional SGD algorithm is proven to be an effective method for rainfall forecast decisions