Computational intelligence for evolving trading rules

Copyright © 2008 IEEEThis paper describes an adaptive computational intelligence system for learning trading rules. The trading rules are represented using a fuzzy logic rule base, and using an artificial evolutionary process the system learns to form rules that can perform well in dynamic market conditions. A comprehensive analysis of the results of applying the system for portfolio construction using portfolio evaluation tools widely accepted by both the financial industry and academia is provided.Adam Ghandar, Zbigniew Michalewicz, Martin Schmidt, Thuy-Duong Tô, and Ralf Zurbrug

A genetic-fuzzy system modeling of trip distribution

Thesis (Doctoral)--Izmir Institute of Technology, City and Regional Planning, Izmir, 2010Includes bibliographical references (leaves: 89-96)Text in English; Abstract: Turkish and Englishix, 141 leavesTrip distribution modelling is one of the most active parts of travel demand analysis. In recent years, use of soft computing techniques has introduced effective modelling approaches to the trip distribution problem. Fuzzy Rule-Based System (FRBS) and Genetic Fuzzy Rule-Based System (GFRBS: fuzzy system improved by a knowledge base learning process with genetic algorithms) modelling of trip distribution are two of these new approaches. However, much of the potential of these techniques has not been demonstrated so far. The present study explores the potential capabilities of these approaches in an urban trip distribution problem with some new features. For this purpose, a simple FRBS and a novel GFRBS were designed to model Istanbul intra-city passenger flows. Subsequently, their accuracy, applicability, and generalizability characteristics were evaluated against the well-known gravity and neural networks based trip distribution models. The overall results show that: i) traditional doubly constrained gravity models are still simple and efficient; ii) neural networks may not show expected performance when they are forced to satisfy production-attraction constraints; iii) simply-designed FRBSs, learning from observations and expertise, are both interpretable and efficient in forecasting trip interchanges even if the data is large and noisy; and iv) use of genetic algorithms in fuzzy rule base learning considerably increases modelling performance, although it brings additional computation costs

Forecasting seasonal time series with computational intelligence: contribution of a combination of distinct methods

Accurate time series forecasting are important for displaying the manner in which the past contin- ues to affect the future and for planning our day to day activities. In recent years, a large litera- ture has evolved on the use of computational in- telligence in many forecasting applications. In this paper, several computational intelligence techniques (genetic algorithms, neural networks, support vec- tor machine, fuzzy rules) are combined in a distinct way to forecast a set of referenced time series. Fore- casting performance is compared to the a standard and method frequently used in practice.Project DAR 1M0572 of the MŠMT ČR

Curvature-based sparse rule base generation for fuzzy rule interpolation

Fuzzy logic has been successfully widely utilised in many real-world applications. The most common application of fuzzy logic is the rule-based fuzzy inference system, which is composed of mainly two parts including an inference engine and a fuzzy rule base. Conventional fuzzy inference systems always require a rule base that fully covers the entire problem domain (i.e., a dense rule base). Fuzzy rule interpolation (FRI) makes inference possible with sparse rule bases which may not cover some parts of the problem domain (i.e., a sparse rule base). In addition to extending the applicability of fuzzy inference systems, fuzzy interpolation can also be used to reduce system complexity for over-complex fuzzy inference systems. There are typically two methods to generate fuzzy rule bases, i.e., the knowledge driven and data-driven approaches. Almost all of these approaches only target dense rule bases for conventional fuzzy inference systems. The knowledge-driven methods may be negatively affected by the limited availability of expert knowledge and expert knowledge may be subjective, whilst redundancy often exists in fuzzy rule-based models that are acquired from numerical data. Note that various rule base reduction approaches have been proposed, but they are all based on certain similarity measures and are likely to cause performance deterioration along with the size reduction. This project, for the first time, innovatively applies curvature values to distinguish important features and instances in a dataset, to support the construction of a neat and concise sparse rule base for fuzzy rule interpolation. In addition to working in a three-dimensional problem space, the work also extends the natural three-dimensional curvature calculation to problems with high dimensions, which greatly broadens the applicability of the proposed approach. As a result, the proposed approach alleviates the ‘curse of dimensionality’ and helps to reduce the computational cost for fuzzy inference systems. The proposed approach has been validated and evaluated by three real-world applications. The experimental results demonstrate that the proposed approach is able to generate sparse rule bases with less rules but resulting in better performance, which confirms the power of the proposed system. In addition to fuzzy rule interpolation, the proposed curvature-based approach can also be readily used as a general feature selection tool to work with other machine learning approaches, such as classifiers

Literature Review of the Recent Trends and Applications in various Fuzzy Rule based systems

Fuzzy rule based systems (FRBSs) is a rule-based system which uses linguistic fuzzy variables as antecedents and consequent to represent human understandable knowledge. They have been applied to various applications and areas throughout the soft computing literature. However, FRBSs suffers from many drawbacks such as uncertainty representation, high number of rules, interpretability loss, high computational time for learning etc. To overcome these issues with FRBSs, there exists many extensions of FRBSs. This paper presents an overview and literature review of recent trends on various types and prominent areas of fuzzy systems (FRBSs) namely genetic fuzzy system (GFS), hierarchical fuzzy system (HFS), neuro fuzzy system (NFS), evolving fuzzy system (eFS), FRBSs for big data, FRBSs for imbalanced data, interpretability in FRBSs and FRBSs which use cluster centroids as fuzzy rules. The review is for years 2010-2021. This paper also highlights important contributions, publication statistics and current trends in the field. The paper also addresses several open research areas which need further attention from the FRBSs research community.Comment: 49 pages, Accepted for publication in ijf

Fuzzy Rules from Ant-Inspired Computation

Centre for Intelligent Systems and their ApplicationsThis research identifies and investigates major issues in inducing accurate and comprehensible fuzzy rules from datasets.A review of the current literature on fuzzy rulebase induction uncovers two significant issues: A. There is a tradeoff between inducing accurate fuzzy rules and inducing comprehensible fuzzy rules; and, B. A common strategy for the induction of fuzzy rulebases, that of iterative rule learning where the rules are generated one by one and independently of each other, may not be an optimal one.FRANTIC, a system that provides a framework for exploring the claims above is developed. At the core lies a mechanism for creating individual fuzzy rules. This is based on a significantly modified social insect-inspired heuristic for combinatorial optimisation -- Ant Colony Optimisation. The rule discovery mechanism is utilised in two very different strategies for the induction of a complete fuzzy rulebase: 1. The first follows the common iterative rule learning approach for the induction of crisp and fuzzy rules; 2. The second has been designed during this research explicitly for the induction of a fuzzy rulebase, and generates all rules in parallel.Both strategies have been tested on a number of classification problems, including medical diagnosis and industrial plant fault detection, and compared against other crisp or fuzzy induction algorithms that use more well-established approaches. The results challenge statement A above, by presenting evidence to show that one criterion need not be met at the expense of the other. This research also uncovers the cost that is paid -- that of computational expenditure -- and makes concrete suggestions on how this may be resolved.With regards to statement B, until now little or no evidence has been put forward to support or disprove the claim. The results of this research indicate that definite advantages are offered by the second simultaneous strategy, that are not offered by the iterative one. These benefits include improved accuracy over a wide range of values for several key system parameters. However, both approaches also fare well when compared to other learning algorithms. This latter fact is due to the rule discovery mechanism itself -- the adapted Ant Colony Optimisation algorithm -- which affords several additional advantages. These include a simple mechanism within the rule construction process that enables it to cope with datasets that have an imbalanced distribution between the classes, and another for controlling the amount of fit to the training data.In addition, several system parameters have been designed to be semi-autonomous so as to avoid unnecessary user intervention, and in future work the social insect metaphor may be exploited and extended further to enable it to deal with industrial-strength data mining issues involving large volumes of data, and distributed and/or heterogeneous databases

Multiple mobile robots - Fuzzy behavior based architecture and behavior evolution

Ph.DDOCTOR OF PHILOSOPH