107 research outputs found

    Multiobjective Evolutionary Optimization of Type-2 Fuzzy Rule-Based Systems for Financial Data Classification

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    Classification techniques are becoming essential in the financial world for reducing risks and possible disasters. Managers are interested in not only high accuracy, but in interpretability and transparency as well. It is widely accepted now that the comprehension of how inputs and outputs are related to each other is crucial for taking operative and strategic decisions. Furthermore, inputs are often affected by contextual factors and characterized by a high level of uncertainty. In addition, financial data are usually highly skewed toward the majority class. With the aim of achieving high accuracies, preserving the interpretability, and managing uncertain and unbalanced data, this paper presents a novel method to deal with financial data classification by adopting type-2 fuzzy rule-based classifiers (FRBCs) generated from data by a multiobjective evolutionary algorithm (MOEA). The classifiers employ an approach, denoted as scaled dominance, for defining rule weights in such a way to help minority classes to be correctly classified. In particular, we have extended PAES-RCS, an MOEA-based approach to learn concurrently the rule and data bases of FRBCs, for managing both interval type-2 fuzzy sets and unbalanced datasets. To the best of our knowledge, this is the first work that generates type-2 FRBCs by concurrently maximizing accuracy and minimizing the number of rules and the rule length with the objective of producing interpretable models of real-world skewed and incomplete financial datasets. The rule bases are generated by exploiting a rule and condition selection (RCS) approach, which selects a reduced number of rules from a heuristically generated rule base and a reduced number of conditions for each selected rule during the evolutionary process. The weight associated with each rule is scaled by the scaled dominance approach on the fuzzy frequency of the output class, in order to give a higher weight to the minority class. As regards the data base learning, the membership function parameters of the interval type-2 fuzzy sets used in the rules are learned concurrently to the application of RCS. Unbalanced datasets are managed by using, in addition to complexity, selectivity and specificity as objectives of the MOEA rather than only the classification rate. We tested our approach, named IT2-PAES-RCS, on 11 financial datasets and compared our results with the ones obtained by the original PAES-RCS with three objectives and with and without scaled dominance, the FRBCs, fuzzy association rule-based classification model for high-dimensional dataset (FARC-HD) and fuzzy unordered rules induction algorithm (FURIA), the classical C4.5 decision tree algorithm, and its cost-sensitive version. Using nonparametric statistical tests, we will show that IT2-PAES-RCS generates FRBCs with, on average, accuracy statistically comparable with and complexity lower than the ones generated by the two versions of the original PAES-RCS. Further, the FRBCs generated by FARC-HD and FURIA and the decision trees computed by C4.5 and its cost-sensitive version, despite the highest complexity, result to be less accurate than the FRBCs generated by IT2-PAES-RCS. Finally, we will highlight how these FRBCs are easily interpretable by showing and discussing one of them

    Low-level interpretability and high-level interpretability: a unified view of data-driven interpretable fuzzy system modelling

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    This paper aims at providing an in-depth overview of designing interpretable fuzzy inference models from data within a unified framework. The objective of complex system modelling is to develop reliable and understandable models for human being to get insights into complex real-world systems whose first-principle models are unknown. Because system behaviour can be described naturally as a series of linguistic rules, data-driven fuzzy modelling becomes an attractive and widely used paradigm for this purpose. However, fuzzy models constructed from data by adaptive learning algorithms usually suffer from the loss of model interpretability. Model accuracy and interpretability are two conflicting objectives, so interpretation preservation during adaptation in data-driven fuzzy system modelling is a challenging task, which has received much attention in fuzzy system modelling community. In order to clearly discriminate the different roles of fuzzy sets, input variables, and other components in achieving an interpretable fuzzy model, a taxonomy of fuzzy model interpretability is first proposed in terms of low-level interpretability and high-level interpretability in this paper. The low-level interpretability of fuzzy models refers to fuzzy model interpretability achieved by optimizing the membership functions in terms of semantic criteria on fuzzy set level, while the high-level interpretability refers to fuzzy model interpretability obtained by dealing with the coverage, completeness, and consistency of the rules in terms of the criteria on fuzzy rule level. Some criteria for low-level interpretability and high-level interpretability are identified, respectively. Different data-driven fuzzy modelling techniques in the literature focusing on the interpretability issues are reviewed and discussed from the perspective of low-level interpretability and high-level interpretability. Furthermore, some open problems about interpretable fuzzy models are identified and some potential new research directions on fuzzy model interpretability are also suggested. Crown Copyright © 2008

    A multi-objective optimization approach for the synthesis of granular computing-based classification systems in the graph domain

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    The synthesis of a pattern recognition system usually aims at the optimization of a given performance index. However, in many real-world scenarios, there exist other desired facets to take into account. In this regard, multi-objective optimization acts as the main tool for the optimization of different (and possibly conflicting) objective functions in order to seek for potential trade-offs among them. In this paper, we propose a three-objective optimization problem for the synthesis of a granular computing-based pattern recognition system in the graph domain. The core pattern recognition engine searches for suitable information granules (i.e., recurrent and/or meaningful subgraphs from the training data) on the top of which the graph embedding procedure towards the Euclidean space is performed. In the latter, any classification system can be employed. The optimization problem aims at jointly optimizing the performance of the classifier, the number of information granules and the structural complexity of the classification model. Furthermore, we address the problem of selecting a suitable number of solutions from the resulting Pareto Fronts in order to compose an ensemble of classifiers to be tested on previously unseen data. To perform such selection, we employed a multi-criteria decision making routine by analyzing different case studies that differ on how much each objective function weights in the ranking process. Results on five open-access datasets of fully labeled graphs show that exploiting the ensemble is effective (especially when the structural complexity of the model plays a minor role in the decision making process) if compared against the baseline solution that solely aims at maximizing the performances

    Meta Heuristics based Machine Learning and Neural Mass Modelling Allied to Brain Machine Interface

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    New understanding of the brain function and increasing availability of low-cost-non-invasive electroencephalograms (EEGs) recording devices have made brain-computer-interface (BCI) as an alternative option to augmentation of human capabilities by providing a new non-muscular channel for sending commands, which could be used to activate electronic or mechanical devices based on modulation of thoughts. In this project, our emphasis will be on how to develop such a BCI using fuzzy rule-based systems (FRBSs), metaheuristics and Neural Mass Models (NMMs). In particular, we treat the BCI system as an integrated problem consisting of mathematical modelling, machine learning and classification. Four main steps are involved in designing a BCI system: 1) data acquisition, 2) feature extraction, 3) classification and 4) transferring the classification outcome into control commands for extended peripheral capability. Our focus has been placed on the first three steps. This research project aims to investigate and develop a novel BCI framework encompassing classification based on machine learning, optimisation and neural mass modelling. The primary aim in this project is to bridge the gap of these three different areas in a bid to design a more reliable and accurate communication path between the brain and external world. To achieve this goal, the following objectives have been investigated: 1) Steady-State Visual Evoked Potential (SSVEP) EEG data are collected from human subjects and pre-processed; 2) Feature extraction procedure is implemented to detect and quantify the characteristics of brain activities which indicates the intention of the subject.; 3) a classification mechanism called an Immune Inspired Multi-Objective Fuzzy Modelling Classification algorithm (IMOFM-C), is adapted as a binary classification approach for classifying binary EEG data. Then, the DDAG-Distance aggregation approach is proposed to aggregate the outcomes of IMOFM-C based binary classifiers for multi-class classification; 4) building on IMOFM-C, a preference-based ensemble classification framework known as IMOFM-CP is proposed to enhance the convergence performance and diversity of each individual component classifier, leading to an improved overall classification accuracy of multi-class EEG data; and 5) finally a robust parameterising approach which combines a single-objective GA and a clustering algorithm with a set of newly devised objective and penalty functions is proposed to obtain robust sets of synaptic connectivity parameters of a thalamic neural mass model (NMM). The parametrisation approach aims to cope with nonlinearity nature normally involved in describing multifarious features of brain signals

    Computational Intelligence for classification and forecasting of solar photovoltaic energy production and energy consumption in buildings

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    This thesis presents a few novel applications of Computational Intelligence techniques in the field of energy-related problems. More in detail, we refer to the assessment of the energy produced by a solar photovoltaic installation and to the evaluation of building’s energy consumptions. In fact, recently, thanks also to the growing evolution of technologies, the energy sector has drawn the attention of the research community in proposing useful tools to deal with issues of energy efficiency in buildings and with solar energy production management. Thus, we will address two kinds of problem. The first problem is related to the efficient management of solar photovoltaic energy installations, e.g., for efficiently monitoring the performance as well as for finding faults, or for planning the energy distribution in the electrical grid. This problem was faced with two different approaches: a forecasting approach and a fuzzy classification approach for energy production estimation, starting from some knowledge about environmental variables. The forecasting system developed is able to reproduce the instantaneous curve of daily energy produced by the solar panels of the installation, with a forecasting horizon of one day. It combines neural networks and time series analysis models. The fuzzy classification system, rather, extracts some linguistic knowledge about the amount of energy produced by the installation, exploiting an optimal fuzzy rule base and genetic algorithms. The developed model is the result of a novel hierarchical methodology for building fuzzy systems, which may be applied in several areas. The second problem is related to energy efficiency in buildings, for cost reduction and load scheduling purposes, and was tackled by proposing a forecasting system of energy consumption in office buildings. The proposed system exploits a neural network to estimate the energy consumption due to lighting on a time interval of a few hours, starting from considerations on available natural daylight

    Machine learning for network based intrusion detection: an investigation into discrepancies in findings with the KDD cup '99 data set and multi-objective evolution of neural network classifier ensembles from imbalanced data.

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    For the last decade it has become commonplace to evaluate machine learning techniques for network based intrusion detection on the KDD Cup '99 data set. This data set has served well to demonstrate that machine learning can be useful in intrusion detection. However, it has undergone some criticism in the literature, and it is out of date. Therefore, some researchers question the validity of the findings reported based on this data set. Furthermore, as identified in this thesis, there are also discrepancies in the findings reported in the literature. In some cases the results are contradictory. Consequently, it is difficult to analyse the current body of research to determine the value in the findings. This thesis reports on an empirical investigation to determine the underlying causes of the discrepancies. Several methodological factors, such as choice of data subset, validation method and data preprocessing, are identified and are found to affect the results significantly. These findings have also enabled a better interpretation of the current body of research. Furthermore, the criticisms in the literature are addressed and future use of the data set is discussed, which is important since researchers continue to use it due to a lack of better publicly available alternatives. Due to the nature of the intrusion detection domain, there is an extreme imbalance among the classes in the KDD Cup '99 data set, which poses a significant challenge to machine learning. In other domains, researchers have demonstrated that well known techniques such as Artificial Neural Networks (ANNs) and Decision Trees (DTs) often fail to learn the minor class(es) due to class imbalance. However, this has not been recognized as an issue in intrusion detection previously. This thesis reports on an empirical investigation that demonstrates that it is the class imbalance that causes the poor detection of some classes of intrusion reported in the literature. An alternative approach to training ANNs is proposed in this thesis, using Genetic Algorithms (GAs) to evolve the weights of the ANNs, referred to as an Evolutionary Neural Network (ENN). When employing evaluation functions that calculate the fitness proportionally to the instances of each class, thereby avoiding a bias towards the major class(es) in the data set, significantly improved true positive rates are obtained whilst maintaining a low false positive rate. These findings demonstrate that the issues of learning from imbalanced data are not due to limitations of the ANNs; rather the training algorithm. Moreover, the ENN is capable of detecting a class of intrusion that has been reported in the literature to be undetectable by ANNs. One limitation of the ENN is a lack of control of the classification trade-off the ANNs obtain. This is identified as a general issue with current approaches to creating classifiers. Striving to create a single best classifier that obtains the highest accuracy may give an unfruitful classification trade-off, which is demonstrated clearly in this thesis. Therefore, an extension of the ENN is proposed, using a Multi-Objective GA (MOGA), which treats the classification rate on each class as a separate objective. This approach produces a Pareto front of non-dominated solutions that exhibit different classification trade-offs, from which the user can select one with the desired properties. The multi-objective approach is also utilised to evolve classifier ensembles, which yields an improved Pareto front of solutions. Furthermore, the selection of classifier members for the ensembles is investigated, demonstrating how this affects the performance of the resultant ensembles. This is a key to explaining why some classifier combinations fail to give fruitful solutions

    Advances in Evolutionary Algorithms

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    With the recent trends towards massive data sets and significant computational power, combined with evolutionary algorithmic advances evolutionary computation is becoming much more relevant to practice. Aim of the book is to present recent improvements, innovative ideas and concepts in a part of a huge EA field
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