Statistical and Computational Tradeoff in Genetic Algorithm-Based Estimation

When a Genetic Algorithm (GA), or a stochastic algorithm in general, is employed in a statistical problem, the obtained result is affected by both variability due to sampling, that refers to the fact that only a sample is observed, and variability due to the stochastic elements of the algorithm. This topic can be easily set in a framework of statistical and computational tradeoff question, crucial in recent problems, for which statisticians must carefully set statistical and computational part of the analysis, taking account of some resource or time constraints. In the present work we analyze estimation problems tackled by GAs, for which variability of estimates can be decomposed in the two sources of variability, considering some constraints in the form of cost functions, related to both data acquisition and runtime of the algorithm. Simulation studies will be presented to discuss the statistical and computational tradeoff question.Comment: 17 pages, 5 figure

Modelling and trading the Greek stock market with gene expression and genetic programing algorithms

This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well-known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter

A MPC Strategy for the Optimal Management of Microgrids Based on Evolutionary Optimization

In this paper, a novel model predictive control strategy, with a 24-h prediction horizon, is proposed to reduce the operational cost of microgrids. To overcome the complexity of the optimization problems arising from the operation of the microgrid at each step, an adaptive evolutionary strategy with a satisfactory trade-off between exploration and exploitation capabilities was added to the model predictive control. The proposed strategy was evaluated using a representative microgrid that includes a wind turbine, a photovoltaic plant, a microturbine, a diesel engine, and an energy storage system. The achieved results demonstrate the validity of the proposed approach, outperforming a global scheduling planner-based on a genetic algorithm by 14.2% in terms of operational cost. In addition, the proposed approach also better manages the use of the energy storage system.Ministerio de Economía y Competitividad DPI2016-75294-C2-2-RUnión Europea (Programa Horizonte 2020) 76409

Forecasting foreign exchange rates with adaptive neural networks using radial basis functions and particle swarm optimization

The motivation for this paper is to introduce a hybrid Neural Network architecture of Particle Swarm Optimization and Adaptive Radial Basis Function (ARBF-PSO), a time varying leverage trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a Neural Network fitness function for financial forecasting purposes. This is done by benchmarking the ARBF-PSO results with those of three different Neural Networks architectures, a Nearest Neighbors algorithm (k-NN), an autoregressive moving average model (ARMA), a moving average convergence/divergence model (MACD) plus a naïve strategy. More specifically, the trading and statistical performance of all models is investigated in a forecast simulation of the EUR/USD, EUR/GBP and EUR/JPY ECB exchange rate fixing time series over the period January 1999 to March 2011 using the last two years for out-of-sample testing

Modeling Financial Time Series with Artificial Neural Networks

Financial time series convey the decisions and actions of a population of human actors over time. Econometric and regressive models have been developed in the past decades for analyzing these time series. More recently, biologically inspired artificial neural network models have been shown to overcome some of the main challenges of traditional techniques by better exploiting the non-linear, non-stationary, and oscillatory nature of noisy, chaotic human interactions. This review paper explores the options, benefits, and weaknesses of the various forms of artificial neural networks as compared with regression techniques in the field of financial time series analysis.CELEST, a National Science Foundation Science of Learning Center (SBE-0354378); SyNAPSE program of the Defense Advanced Research Project Agency (HR001109-03-0001

Multi-regime models for nonlinear nonstationary time series

Nonlinear nonstationary models for time series are considered, where the series is generated from an autoregressive equation whose coe±cients change both according to time and the delayed values of the series itself, switching between several regimes. The transition from one regime to the next one may be discontinuous (self-exciting threshold model), smooth (smooth transition model) or continuous linear (piecewise linear threshold model). A genetic algorithm for identifying and estimating such models is proposed, and its behavior is evaluated through a simulation study and application to temperature data and a financial index.

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

Fruit production forecasting by neuro-fuzzy techniques

Neuro-fuzzy techniques are finding a practical application in many fields such as in model identification and forecasting of linear and non-linear systems. This paper presents a neuro-fuzzy model for forecasting the fruit production of some agriculture products (olives, lemons, oranges, cherries and pistachios). The model utilizes a time series of yearly data. The fruit forecasting is based on Adaptive Neural Fuzzy Inference System (ANFIS). ANFIS uses a combination of the least-squares method and the backprobagation gradient descent method to estimate the optimal food forecast parameters for each year. The results are compared to those of an Autoregressive (AR) model and an Autoregressive Moving Average model (ARMA).Fruit forecasting, neuro-fuzzy, ANFIS, AR, ARMA, forecasting, fruit production, Agricultural Finance, Crop Production/Industries,

Fitness landscape of the cellular automata majority problem: View from the Olympus

In this paper we study cellular automata (CAs) that perform the computational Majority task. This task is a good example of what the phenomenon of emergence in complex systems is. We take an interest in the reasons that make this particular fitness landscape a difficult one. The first goal is to study the landscape as such, and thus it is ideally independent from the actual heuristics used to search the space. However, a second goal is to understand the features a good search technique for this particular problem space should possess. We statistically quantify in various ways the degree of difficulty of searching this landscape. Due to neutrality, investigations based on sampling techniques on the whole landscape are difficult to conduct. So, we go exploring the landscape from the top. Although it has been proved that no CA can perform the task perfectly, several efficient CAs for this task have been found. Exploiting similarities between these CAs and symmetries in the landscape, we define the Olympus landscape which is regarded as the ''heavenly home'' of the best local optima known (blok). Then we measure several properties of this subspace. Although it is easier to find relevant CAs in this subspace than in the overall landscape, there are structural reasons that prevent a searcher from finding overfitted CAs in the Olympus. Finally, we study dynamics and performance of genetic algorithms on the Olympus in order to confirm our analysis and to find efficient CAs for the Majority problem with low computational cost

Review of Nature-Inspired Forecast Combination Techniques

Effective and efficient planning in various areas can be significantly supported by forecasting a variable like an economy growth rate or product demand numbers for a future point in time. More than one forecast for the same variable is often available, leading to the question whether one should choose one of the single models or combine several of them to obtain a forecast with improved accuracy. In the almost 40 years of research in the area of forecast combination, an impressive amount of work has been done. This paper reviews forecast combination techniques that are nonlinear and have in some way been inspired by nature