Metaheuristic design of feedforward neural networks: a review of two decades of research

Over the past two decades, the feedforward neural network (FNN) optimization has been a key interest among the researchers and practitioners of multiple disciplines. The FNN optimization is often viewed from the various perspectives: the optimization of weights, network architecture, activation nodes, learning parameters, learning environment, etc. Researchers adopted such different viewpoints mainly to improve the FNN's generalization ability. The gradient-descent algorithm such as backpropagation has been widely applied to optimize the FNNs. Its success is evident from the FNN's application to numerous real-world problems. However, due to the limitations of the gradient-based optimization methods, the metaheuristic algorithms including the evolutionary algorithms, swarm intelligence, etc., are still being widely explored by the researchers aiming to obtain generalized FNN for a given problem. This article attempts to summarize a broad spectrum of FNN optimization methodologies including conventional and metaheuristic approaches. This article also tries to connect various research directions emerged out of the FNN optimization practices, such as evolving neural network (NN), cooperative coevolution NN, complex-valued NN, deep learning, extreme learning machine, quantum NN, etc. Additionally, it provides interesting research challenges for future research to cope-up with the present information processing era

Multivariate time series analysis for short-term forecasting of ground level ozone (O3) in Malaysia

The declining of air quality mostly affects the elderly, children, people with asthma, as well as a restriction on outdoor activities. Therefore, there is an importance to provide a statistical modelling to forecast the future values of surface layer ozone (O3) concentration. The objectives of this study are to obtain the best multivariate time series (MTS) model and develop an online air quality forecasting system for O3 concentration in Malaysia. The implementations of MTS model improve the recent statistical model on air quality for short-term prediction. Ten air quality monitoring stations situated at four (4) different types of location were selected in this study. The first type is industrial represent by Pasir Gudang, Perai, and Nilai, second type is urban represent by Kuala Terengganu, Kota Bharu, and Alor Setar. The third is suburban located in Banting, Kangar, and Tanjung Malim, also the only background station at Jerantut. The hourly record data from 2010 to 2017 were used to assess the characteristics and behaviour of O3 concentration. Meanwhile, the monthly record data of O3, particulate matter (PM10), nitrogen dioxide (NO2), sulphur dioxide (SO2), carbon monoxide (CO), temperature (T), wind speed (WS), and relative humidity (RH) were used to examine the best MTS models. Three methods of MTS namely vector autoregressive (VAR), vector moving average (VMA), and vector autoregressive moving average (VARMA), has been applied in this study. Based on the performance error, the most appropriate MTS model located in Pasir Gudang, Kota Bharu and Kangar is VAR(1), Kuala Terengganu and Alor Setar for VAR(2), Perai and Nilai for VAR(3), Tanjung Malim for VAR(4) and Banting for VAR(5). Only Jerantut obtained the VMA(2) as the best model. The lowest root mean square error (RMSE) and normalized absolute error is 0.0053 and <0.0001 which is for MTS model in Perai and Kuala Terengganu, respectively. Meanwhile, for mean absolute error (MAE), the lowest is in Banting and Jerantut at 0.0013. The online air quality forecasting system for O3 was successfully developed based on the best MTS models to represent each monitoring station

Pricing options and computing implied volatilities using neural networks

This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being universal function approximators, this method trains an optimized ANN on a data set generated by a sophisticated financial model, and runs the trained ANN as an agent of the original solver in a fast and efficient way. We test this approach on three different types of solvers, including the analytic solution for the Black-Scholes equation, the COS method for the Heston stochastic volatility model and Brent's iterative root-finding method for the calculation of implied volatilities. The numerical results show that the ANN solver can reduce the computing time significantly

A neural network-based framework for financial model calibration

A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training hidden neurons within a machine learning framework, based on available financial option prices. The framework consists of two parts: a forward pass in which we train the weights of the ANN off-line, valuing options under many different asset model parameter settings; and a backward pass, in which we evaluate the trained ANN-solver on-line, aiming to find the weights of the neurons in the input layer. The rapid on-line learning of implied volatility by ANNs, in combination with the use of an adapted parallel global optimization method, tackles the computation bottleneck and provides a fast and reliable technique for calibrating model parameters while avoiding, as much as possible, getting stuck in local minima. Numerical experiments confirm that this machine-learning framework can be employed to calibrate parameters of high-dimensional stochastic volatility models efficiently and accurately.Comment: 34 pages, 9 figures, 11 table