Application of Higher-Order Neural Networks to Financial Time-Series Prediction

Financial time series data is characterized by non-linearities, discontinuities and high frequency, multi-polynomial components. Not surprisingly, conventional Artificial Neural Networks (ANNs) have difficulty in modelling such complex data. A more appropriate approach is to apply Higher-Order ANNs, which are capable of extracting higher order polynomial coefficients in the data. Moreover, since there is a one-to-one correspondence between network weights and polynomial coefficients, HONNs (unlike ANNs generally) can be considered open-, rather than 'closed box' solutions, and thus hold more appeal to the financial community. After developing Polynomial and Trigonometric HONNs, we introduce the concept of HONN groups. The latter incorporate piecewise continuous activation functions and thresholds, and as a result are capable of modelling discontinuous (piecewise continuous) data, and what's more to any degree of accuracy. Several other PHONN variants are also described. The performance of P(T)HONNs and HONN groups on representative financial time series is described (credit ratings and exchange rates). In short, HONNs offer roughly twice the performance of MLP/BP on financial time series prediction, and HONN groups around 10% further improvement

An analysis of training and generalization errors in shallow and deep networks

This paper is motivated by an open problem around deep networks, namely, the apparent absence of over-fitting despite large over-parametrization which allows perfect fitting of the training data. In this paper, we analyze this phenomenon in the case of regression problems when each unit evaluates a periodic activation function. We argue that the minimal expected value of the square loss is inappropriate to measure the generalization error in approximation of compositional functions in order to take full advantage of the compositional structure. Instead, we measure the generalization error in the sense of maximum loss, and sometimes, as a pointwise error. We give estimates on exactly how many parameters ensure both zero training error as well as a good generalization error. We prove that a solution of a regularization problem is guaranteed to yield a good training error as well as a good generalization error and estimate how much error to expect at which test data.Comment: 21 pages; Accepted for publication in Neural Network

Curve Skeleton and Moments of Area Supported Beam Parametrization in Multi-Objective Compliance Structural Optimization

This work addresses the end-to-end virtual automation of structural optimization up to the derivation of a parametric geometry model that can be used for application areas such as additive manufacturing or the verification of the structural optimization result with the finite element method. A holistic design in structural optimization can be achieved with the weighted sum method, which can be automatically parameterized with curve skeletonization and cross-section regression to virtually verify the result and control the local size for additive manufacturing. is investigated in general. In this paper, a holistic design is understood as a design that considers various compliances as an objective function. This parameterization uses the automated determination of beam parameters by so-called curve skeletonization with subsequent cross-section shape parameter estimation based on moments of area, especially for multi-objective optimized shapes. An essential contribution is the linking of the parameterization with the results of the structural optimization, e.g., to include properties such as boundary conditions, load conditions, sensitivities or even density variables in the curve skeleton parameterization. The parameterization focuses on guiding the skeletonization based on the information provided by the optimization and the finite element model. In addition, the cross-section detection considers circular, elliptical, and tensor product spline cross-sections that can be applied to various shape descriptors such as convolutional surfaces, subdivision surfaces, or constructive solid geometry. The shape parameters of these cross-sections are estimated using stiffness distributions, moments of area of 2D images, and convolutional neural networks with a tailored loss function to moments of area. Each final geometry is designed by extruding the cross-section along the appropriate curve segment of the beam and joining it to other beams by using only unification operations. The focus of multi-objective structural optimization considering 1D, 2D and 3D elements is on cases that can be modeled using equations by the Poisson equation and linear elasticity. This enables the development of designs in application areas such as thermal conduction, electrostatics, magnetostatics, potential flow, linear elasticity and diffusion, which can be optimized in combination or individually. Due to the simplicity of the cases defined by the Poisson equation, no experts are required, so that many conceptual designs can be generated and reconstructed by ordinary users with little effort. Specifically for 1D elements, a element stiffness matrices for tensor product spline cross-sections are derived, which can be used to optimize a variety of lattice structures and automatically convert them into free-form surfaces. For 2D elements, non-local trigonometric interpolation functions are used, which should significantly increase interpretability of the density distribution. To further improve the optimization, a parameter-free mesh deformation is embedded so that the compliances can be further reduced by locally shifting the node positions. Finally, the proposed end-to-end optimization and parameterization is applied to verify a linear elasto-static optimization result for and to satisfy local size constraint for the manufacturing with selective laser melting of a heat transfer optimization result for a heat sink of a CPU. For the elasto-static case, the parameterization is adjusted until a certain criterion (displacement) is satisfied, while for the heat transfer case, the manufacturing constraints are satisfied by automatically changing the local size with the proposed parameterization. This heat sink is then manufactured without manual adjustment and experimentally validated to limit the temperature of a CPU to a certain level.:TABLE OF CONTENT III I LIST OF ABBREVIATIONS V II LIST OF SYMBOLS V III LIST OF FIGURES XIII IV LIST OF TABLES XVIII 1. INTRODUCTION 1 1.1 RESEARCH DESIGN AND MOTIVATION 6 1.2 RESEARCH THESES AND CHAPTER OVERVIEW 9 2. PRELIMINARIES OF TOPOLOGY OPTIMIZATION 12 2.1 MATERIAL INTERPOLATION 16 2.2 TOPOLOGY OPTIMIZATION WITH PARAMETER-FREE SHAPE OPTIMIZATION 17 2.3 MULTI-OBJECTIVE TOPOLOGY OPTIMIZATION WITH THE WEIGHTED SUM METHOD 18 3. SIMULTANEOUS SIZE, TOPOLOGY AND PARAMETER-FREE SHAPE OPTIMIZATION OF WIREFRAMES WITH B-SPLINE CROSS-SECTIONS 21 3.1 FUNDAMENTALS IN WIREFRAME OPTIMIZATION 22 3.2 SIZE AND TOPOLOGY OPTIMIZATION WITH PERIODIC B-SPLINE CROSS-SECTIONS 27 3.3 PARAMETER-FREE SHAPE OPTIMIZATION EMBEDDED IN SIZE OPTIMIZATION 32 3.4 WEIGHTED SUM SIZE AND TOPOLOGY OPTIMIZATION 36 3.5 CROSS-SECTION COMPARISON 39 4. NON-LOCAL TRIGONOMETRIC INTERPOLATION IN TOPOLOGY OPTIMIZATION 41 4.1 FUNDAMENTALS IN MATERIAL INTERPOLATIONS 43 4.2 NON-LOCAL TRIGONOMETRIC SHAPE FUNCTIONS 45 4.3 NON-LOCAL PARAMETER-FREE SHAPE OPTIMIZATION WITH TRIGONOMETRIC SHAPE FUNCTIONS 49 4.4 NON-LOCAL AND PARAMETER-FREE MULTI-OBJECTIVE TOPOLOGY OPTIMIZATION 54 5. FUNDAMENTALS IN SKELETON GUIDED SHAPE PARAMETRIZATION IN TOPOLOGY OPTIMIZATION 58 5.1 SKELETONIZATION IN TOPOLOGY OPTIMIZATION 61 5.2 CROSS-SECTION RECOGNITION FOR IMAGES 66 5.3 SUBDIVISION SURFACES 67 5.4 CONVOLUTIONAL SURFACES WITH META BALL KERNEL 71 5.5 CONSTRUCTIVE SOLID GEOMETRY 73 6. CURVE SKELETON GUIDED BEAM PARAMETRIZATION OF TOPOLOGY OPTIMIZATION RESULTS 75 6.1 FUNDAMENTALS IN SKELETON SUPPORTED RECONSTRUCTION 76 6.2 SUBDIVISION SURFACE PARAMETRIZATION WITH PERIODIC B-SPLINE CROSS-SECTIONS 78 6.3 CURVE SKELETONIZATION TAILORED TO TOPOLOGY OPTIMIZATION WITH PRE-PROCESSING 82 6.4 SURFACE RECONSTRUCTION USING LOCAL STIFFNESS DISTRIBUTION 86 7. CROSS-SECTION SHAPE PARAMETRIZATION FOR PERIODIC B-SPLINES 96 7.1 PRELIMINARIES IN B-SPLINE CONTROL GRID ESTIMATION 97 7.2 CROSS-SECTION EXTRACTION OF 2D IMAGES 101 7.3 TENSOR SPLINE PARAMETRIZATION WITH MOMENTS OF AREA 105 7.4 B-SPLINE PARAMETRIZATION WITH MOMENTS OF AREA GUIDED CONVOLUTIONAL NEURAL NETWORK 110 8. FULLY AUTOMATED COMPLIANCE OPTIMIZATION AND CURVE-SKELETON PARAMETRIZATION FOR A CPU HEAT SINK WITH SIZE CONTROL FOR SLM 115 8.1 AUTOMATED 1D THERMAL COMPLIANCE MINIMIZATION, CONSTRAINED SURFACE RECONSTRUCTION AND ADDITIVE MANUFACTURING 118 8.2 AUTOMATED 2D THERMAL COMPLIANCE MINIMIZATION, CONSTRAINT SURFACE RECONSTRUCTION AND ADDITIVE MANUFACTURING 120 8.3 USING THE HEAT SINK PROTOTYPES COOLING A CPU 123 9. CONCLUSION 127 10. OUTLOOK 131 LITERATURE 133 APPENDIX 147 A PREVIOUS STUDIES 147 B CROSS-SECTION PROPERTIES 149 C CASE STUDIES FOR THE CROSS-SECTION PARAMETRIZATION 155 D EXPERIMENTAL SETUP 15

Generic bounds on the approximation error for physics-informed (and) operator learning

We propose a very general framework for deriving rigorous bounds on the approximation error for physics-informed neural networks (PINNs) and operator learning architectures such as DeepONets and FNOs as well as for physics-informed operator learning. These bounds guarantee that PINNs and (physics-informed) DeepONets or FNOs will efficiently approximate the underlying solution or solution operator of generic partial differential equations (PDEs). Our framework utilizes existing neural network approximation results to obtain bounds on more involved learning architectures for PDEs. We illustrate the general framework by deriving the first rigorous bounds on the approximation error of physics-informed operator learning and by showing that PINNs (and physics-informed DeepONets and FNOs) mitigate the curse of dimensionality in approximating nonlinear parabolic PDEs