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

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

Self learning neuro-fuzzy modeling using hybrid genetic probabilistic approach for engine air/fuel ratio prediction

Machine Learning is concerned in constructing models which can learn and make predictions based on data. Rule extraction from real world data that are usually tainted with noise, ambiguity, and uncertainty, automatically requires feature selection. Neuro-Fuzzy system (NFS) which is known with its prediction performance has the difficulty in determining the proper number of rules and the number of membership functions for each rule. An enhanced hybrid Genetic Algorithm based Fuzzy Bayesian classifier (GA-FBC) was proposed to help the NFS in the rule extraction. Feature selection was performed in the rule level overcoming the problems of the FBC which depends on the frequency of the features leading to ignore the patterns of small classes. As dealing with a real world problem such as the Air/Fuel Ratio (AFR) prediction, a multi-objective problem is adopted. The GA-FBC uses mutual information entropy, which considers the relevance between feature attributes and class attributes. A fitness function is proposed to deal with multi-objective problem without weight using a new composition method. The model was compared to other learning algorithms for NFS such as Fuzzy c-means (FCM) and grid partition algorithm. Predictive accuracy and the complexity of the Fuzzy Rule Base System (FRBS) including number of rules and number of terms in each rule were taken as terms of evaluation. It was also compared to the original GA-FBC depending on the frequency not on Mutual Information (MI). Experimental results using Air/Fuel Ratio (AFR) data sets show that the new model participates in decreasing the average number of attributes in the rule and sometimes in increasing the average performance compared to other models. This work facilitates in achieving a self-generating FRBS from real data. The GA-FBC can be used as a new direction in machine learning research. This research contributes in controlling automobile emissions in helping the reduction of one of the most causes of pollution to produce greener environment

Special Issue on Genetic Fuzzy Systems and the Interpretability–Accuracy Trade-off

This special issue encompasses four papers devoted to the recent developments in the field of ‘‘Genetic fuzzy systems and the trade-off between interpretability and accuracy’’. The issue was originated from several contributions presented at the First International Workshop on Genetic Fuzzy Systems (GFS2005) that was held in Granada, Spain, March 17–19, 2005. Six conference papers were selected and the authors were asked to develop extended versions which were submitted to the special issue. Each of them was revised by at least three referees and finally four of them were accepted according to the reviewers’ evaluations

Multiobjective Evolutionary Optimization for Prototype-Based Fuzzy Classifiers

Evolving intelligent systems (EISs), particularly, the zero-order ones have demonstrated strong performance on many real-world problems concerning data stream classification, while offering high model transparency and interpretability thanks to their prototype-based nature. Zero-order EISs typically learn prototypes by clustering streaming data online in a “one pass” manner for greater computation efficiency. However, such identified prototypes often lack optimality, resulting in less precise classification boundaries, thereby hindering the potential classification performance of the systems. To address this issue, a commonly adopted strategy is to minimise the training error of the models on historical training data or alternatively, to iteratively minimise the intra-cluster variance of the clusters obtained via online data partitioning. This recognises the fact that the ultimate classification performance of zero-order EISs is driven by the positions of prototypes in the data space. Yet, simply minimising the training error may potentially lead to overfitting, whilst minimising the intra-cluster variance does not necessarily ensure the optimised prototype-based models to attain improved classification outcomes. To achieve better classification performance whilst avoiding overfitting for zero-order EISs, this paper presents a novel multi-objective optimisation approach, enabling EISs to obtain optimal prototypes via involving these two disparate but complementary strategies simultaneously. Five decision-making schemes are introduced for selecting a suitable solution to deploy from the final non-dominated set of the resulting optimised models. Systematic experimental studies are carried out to demonstrate the effectiveness of the proposed optimisation approach in improving the classification performance of zero-order EISs

Automatic synthesis of fuzzy systems: An evolutionary overview with a genetic programming perspective

Studies in Evolutionary Fuzzy Systems (EFSs) began in the 90s and have experienced a fast development since then, with applications to areas such as pattern recognition, curve‐fitting and regression, forecasting and control. An EFS results from the combination of a Fuzzy Inference System (FIS) with an Evolutionary Algorithm (EA). This relationship can be established for multiple purposes: fine‐tuning of FIS's parameters, selection of fuzzy rules, learning a rule base or membership functions from scratch, and so forth. Each facet of this relationship creates a strand in the literature, as membership function fine‐tuning, fuzzy rule‐based learning, and so forth and the purpose here is to outline some of what has been done in each aspect. Special focus is given to Genetic Programming‐based EFSs by providing a taxonomy of the main architectures available, as well as by pointing out the gaps that still prevail in the literature. The concluding remarks address some further topics of current research and trends, such as interpretability analysis, multiobjective optimization, and synthesis of a FIS through Evolving methods

Multi-Objective Evolutionary Optimisation for Prototype-Based Fuzzy Classifiers

Evolving intelligent systems (EISs), particularly, the zero-order ones have demonstrated strong performance on many real-world problems concerning data stream classification, while offering high model transparency and interpretability thanks to their prototype-based nature. Zero-order EISs typically learn prototypes by clustering streaming data online in a “one pass” manner for greater computation efficiency. However, such identified prototypes often lack optimality, resulting in less precise classification boundaries, thereby hindering the potential classification performance of the systems. To address this issue, a commonly adopted strategy is to minimise the training error of the models on historical training data or alternatively, to iteratively minimise the intra-cluster variance of the clusters obtained via online data partitioning. This recognises the fact that the ultimate classification performance of zero-order EISs is driven by the positions of prototypes in the data space. Yet, simply minimising the training error may potentially lead to overfitting, whilst minimising the intra-cluster variance does not necessarily ensure the optimised prototype-based models to attain improved classification outcomes. To achieve better classification performance whilst avoiding overfitting for zero-order EISs, this paper presents a novel multi-objective optimisation approach, enabling EISs to obtain optimal prototypes via involving these two disparate but complementary strategies simultaneously. Five decision-making schemes are introduced for selecting a suitable solution to deploy from the final non-dominated set of the resulting optimised models. Systematic experimental studies are carried out to demonstrate the effectiveness of the proposed optimisation approach in improving the classification performance of zero-order EISs

Multiobjective optimization of classifiers by means of 3-D convex Hull based evolutionary algorithms

The receiver operating characteristic (ROC) and detection error tradeoff (DET) curves are frequently used in the machine learning community to analyze the performance of binary classifiers. Recently, the convex-hull-based multiobjective genetic programming algorithm was proposed and successfully applied to maximize the convex hull area for binary classification problems by minimizing false positive rate and maximizing true positive rate at the same time using indicator-based evolutionary algorithms. The area under the ROC curve was used for the performance assessment and to guide the search. Here we extend this research and propose two major advancements: Firstly we formulate the algorithm in detection error tradeoff space, minimizing false positives and false negatives, with the advantage that misclassification cost tradeoff can be assessed directly. Secondly, we add complexity as an objective function, which gives rise to a 3D objective space (as opposed to a 2D previous ROC space). A domain specific performance indicator for 3D Pareto front approximations, the volume above DET surface, is introduced, and used to guide the indicator -based evolutionary algorithm to find optimal approximation sets. We assess the performance of the new algorithm on designed theoretical problems with different geometries of Pareto fronts and DET surfaces, and two application-oriented benchmarks: (1) Designing spam filters with low numbers of false rejects, false accepts, and low computational cost using rule ensembles, and (2) finding sparse neural networks for binary classification of test data from the UCI machine learning benchmark. The results show a high performance of the new algorithm as compared to conventional methods for multicriteria optimization.info:eu-repo/semantics/submittedVersio