Spatial Evolutionary Generative Adversarial Networks

Generative adversary networks (GANs) suffer from training pathologies such as instability and mode collapse. These pathologies mainly arise from a lack of diversity in their adversarial interactions. Evolutionary generative adversarial networks apply the principles of evolutionary computation to mitigate these problems. We hybridize two of these approaches that promote training diversity. One, E-GAN, at each batch, injects mutation diversity by training the (replicated) generator with three independent objective functions then selecting the resulting best performing generator for the next batch. The other, Lipizzaner, injects population diversity by training a two-dimensional grid of GANs with a distributed evolutionary algorithm that includes neighbor exchanges of additional training adversaries, performance based selection and population-based hyper-parameter tuning. We propose to combine mutation and population approaches to diversity improvement. We contribute a superior evolutionary GANs training method, Mustangs, that eliminates the single loss function used across Lipizzaner's grid. Instead, each training round, a loss function is selected with equal probability, from among the three E-GAN uses. Experimental analyses on standard benchmarks, MNIST and CelebA, demonstrate that Mustangs provides a statistically faster training method resulting in more accurate networks

Evolutionary Multiobjective Optimization Driven by Generative Adversarial Networks (GANs)

Recently, increasing works have proposed to drive evolutionary algorithms using machine learning models. Usually, the performance of such model based evolutionary algorithms is highly dependent on the training qualities of the adopted models. Since it usually requires a certain amount of data (i.e. the candidate solutions generated by the algorithms) for model training, the performance deteriorates rapidly with the increase of the problem scales, due to the curse of dimensionality. To address this issue, we propose a multi-objective evolutionary algorithm driven by the generative adversarial networks (GANs). At each generation of the proposed algorithm, the parent solutions are first classified into real and fake samples to train the GANs; then the offspring solutions are sampled by the trained GANs. Thanks to the powerful generative ability of the GANs, our proposed algorithm is capable of generating promising offspring solutions in high-dimensional decision space with limited training data. The proposed algorithm is tested on 10 benchmark problems with up to 200 decision variables. Experimental results on these test problems demonstrate the effectiveness of the proposed algorithm

Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination

Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or discover how to combine weak signals in novel alpha creating manners. Both aspects, namely fine-tuning and combination, have been extensively researched using several methods, but emerging techniques such as Generative Adversarial Networks can have an impact into such aspects. Therefore, our work proposes the use of Conditional Generative Adversarial Networks (cGANs) for trading strategies calibration and aggregation. To this purpose, we provide a full methodology on: (i) the training and selection of a cGAN for time series data; (ii) how each sample is used for strategies calibration; and (iii) how all generated samples can be used for ensemble modelling. To provide evidence that our approach is well grounded, we have designed an experiment with multiple trading strategies, encompassing 579 assets. We compared cGAN with an ensemble scheme and model validation methods, both suited for time series. Our results suggest that cGANs are a suitable alternative for strategies calibration and combination, providing outperformance when the traditional techniques fail to generate any alpha