Early portfolio pruning: a scalable approach to hybrid portfolio selection

Driving the decisions of stock market investors is among the most challenging financial research problems. Markowitz’s approach to portfolio selection models stock profitability and risk level through a mean–variance model, which involves estimating a very large number of parameters. In addition to requiring considerable computational effort, this raises serious concerns about the reliability of the model in real-world scenarios. This paper presents a hybrid approach that combines itemset extraction with portfolio selection. We propose to adapt Markowitz’s model logic to deal with sets of candidate portfolios rather than with single stocks. We overcome some of the known issues of the Markovitz model as follows: (i) Complexity: we reduce the model complexity, in terms of parameter estimation, by studying the interactions among stocks within a shortlist of candidate stock portfolios previously selected by an itemset mining algorithm. (ii) Portfolio-level constraints: we not only perform stock-level selection, but also support the enforcement of arbitrary constraints at the portfolio level, including the properties of diversification and the fundamental indicators. (iii) Usability: we simplify the decision-maker’s work by proposing a decision support system that enables flexible use of domain knowledge and human-in-the-loop feedback. The experimental results, achieved on the US stock market, confirm the proposed approach’s flexibility, effectiveness, and scalability

Coordinated Machine Learning and Decision Support for Situation Awareness

For applications such as force protection, an effective decision maker needs to maintain an unambiguous grasp of the environment. Opportunities exist to leverage computational mechanisms for the adaptive fusion of diverse information sources. The current research employs neural networks and Markov chains to process information from sources including sensors, weather data, and law enforcement. Furthermore, the system operator\u27s input is used as a point of reference for the machine learning algorithms. More detailed features of the approach are provided, along with an example force protection scenario

A Decade of Neural Networks: Practical Applications and Prospects

The Jet Propulsion Laboratory Neural Network Workshop, sponsored by NASA and DOD, brings together sponsoring agencies, active researchers, and the user community to formulate a vision for the next decade of neural network research and application prospects. While the speed and computing power of microprocessors continue to grow at an ever-increasing pace, the demand to intelligently and adaptively deal with the complex, fuzzy, and often ill-defined world around us remains to a large extent unaddressed. Powerful, highly parallel computing paradigms such as neural networks promise to have a major impact in addressing these needs. Papers in the workshop proceedings highlight benefits of neural networks in real-world applications compared to conventional computing techniques. Topics include fault diagnosis, pattern recognition, and multiparameter optimization

Novel analysis and modelling methodologies applied to pultrusion and other processes

Often a manufacturing process may be a bottleneck or critical to a business. This thesis focuses on the analysis and modelling of such processest, to both better understand them, and to support the enhancement of quality or output capability of the process. The main thrusts of this thesis therefore are: To model inter-process physics, inter-relationships, and complex processes in a manner that enables re-exploitation, re-interpretation and reuse of this knowledge and generic elements e.g. using Object Oriented (00) & Qualitative Modelling (QM) techniques. This involves the development of superior process models to capture process complexity and reuse any generic elements; To demonstrate advanced modelling and simulation techniques (e.g. Artificial Neural Networks(ANN), Rule-Based-Systems (RBS), and statistical modelling) on a number of complex manufacturing case studies; To gain a better understanding of the physics and process inter-relationships exhibited in a number of complex manufacturing processes (e.g. pultrusion, bioprocess, and logistics) using analysis and modelling. To these ends, both a novel Object Oriented Qualitative (Problem) Analysis (OOQA) methodology, and a novel Artificial Neural Network Process Modelling (ANNPM) methodology were developed and applied to a number of complex manufacturing case studies- thermoset and thermoplastic pultrusion, bioprocess reactor, and a logistics supply chain. It has been shown that these methodologies and the models developed support capture of complex process inter-relationships, enable reuse of generic elements, support effective variable selection for ANN models, and perform well as a predictor of process properties. In particular the ANN pultrusion models, using laboratory data from IKV, Aachen and Pera, Melton Mowbray, predicted product properties very well

Machine Learning

Machine Learning can be defined in various ways related to a scientific domain concerned with the design and development of theoretical and implementation tools that allow building systems with some Human Like intelligent behavior. Machine learning addresses more specifically the ability to improve automatically through experience