12,992 research outputs found

    Forecasting Long-Term Government Bond Yields: An Application of Statistical and AI Models

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    This paper evaluates several artificial intelligence and classical algorithms on their ability of forecasting the monthly yield of the US 10-year Treasury bonds from a set of four economic indicators. Due to the complexity of the prediction problem, the task represents a challenging test for the algorithms under evaluation. At the same time, the study is of particular significance for the important and paradigmatic role played by the US market in the world economy. Four data-driven artificial intelligence approaches are considered, namely, a manually built fuzzy logic model, a machine learned fuzzy logic model, a self-organising map model and a multi-layer perceptron model. Their performance is compared with the performance of two classical approaches, namely, a statistical ARIMA model and an econometric error correction model. The algorithms are evaluated on a complete series of end-month US 10-year Treasury bonds yields and economic indicators from 1986:1 to 2004:12. In terms of prediction accuracy and reliability of the modelling procedure, the best results are obtained by the three parametric regression algorithms, namely the econometric, the statistical and the multi-layer perceptron model. Due to the sparseness of the learning data samples, the manual and the automatic fuzzy logic approaches fail to follow with adequate precision the range of variations of the US 10-year Treasury bonds. For similar reasons, the self-organising map model gives an unsatisfactory performance. Analysis of the results indicates that the econometric model has a slight edge over the statistical and the multi-layer perceptron models. This suggests that pure data-driven induction may not fully capture the complicated mechanisms ruling the changes in interest rates. Overall, the prediction accuracy of the best models is only marginally better than the prediction accuracy of a basic one-step lag predictor. This result highlights the difficulty of the modelling task and, in general, the difficulty of building reliable predictors for financial markets.interest rates; forecasting; neural networks; fuzzy logic.

    Neural Collaborative Filtering

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    In recent years, deep neural networks have yielded immense success on speech recognition, computer vision and natural language processing. However, the exploration of deep neural networks on recommender systems has received relatively less scrutiny. In this work, we strive to develop techniques based on neural networks to tackle the key problem in recommendation -- collaborative filtering -- on the basis of implicit feedback. Although some recent work has employed deep learning for recommendation, they primarily used it to model auxiliary information, such as textual descriptions of items and acoustic features of musics. When it comes to model the key factor in collaborative filtering -- the interaction between user and item features, they still resorted to matrix factorization and applied an inner product on the latent features of users and items. By replacing the inner product with a neural architecture that can learn an arbitrary function from data, we present a general framework named NCF, short for Neural network-based Collaborative Filtering. NCF is generic and can express and generalize matrix factorization under its framework. To supercharge NCF modelling with non-linearities, we propose to leverage a multi-layer perceptron to learn the user-item interaction function. Extensive experiments on two real-world datasets show significant improvements of our proposed NCF framework over the state-of-the-art methods. Empirical evidence shows that using deeper layers of neural networks offers better recommendation performance.Comment: 10 pages, 7 figure

    Data-driven Soft Sensors in the Process Industry

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    In the last two decades Soft Sensors established themselves as a valuable alternative to the traditional means for the acquisition of critical process variables, process monitoring and other tasks which are related to process control. This paper discusses characteristics of the process industry data which are critical for the development of data-driven Soft Sensors. These characteristics are common to a large number of process industry fields, like the chemical industry, bioprocess industry, steel industry, etc. The focus of this work is put on the data-driven Soft Sensors because of their growing popularity, already demonstrated usefulness and huge, though yet not completely realised, potential. A comprehensive selection of case studies covering the three most important Soft Sensor application fields, a general introduction to the most popular Soft Sensor modelling techniques as well as a discussion of some open issues in the Soft Sensor development and maintenance and their possible solutions are the main contributions of this work

    Theoretical Properties of Projection Based Multilayer Perceptrons with Functional Inputs

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    Many real world data are sampled functions. As shown by Functional Data Analysis (FDA) methods, spectra, time series, images, gesture recognition data, etc. can be processed more efficiently if their functional nature is taken into account during the data analysis process. This is done by extending standard data analysis methods so that they can apply to functional inputs. A general way to achieve this goal is to compute projections of the functional data onto a finite dimensional sub-space of the functional space. The coordinates of the data on a basis of this sub-space provide standard vector representations of the functions. The obtained vectors can be processed by any standard method. In our previous work, this general approach has been used to define projection based Multilayer Perceptrons (MLPs) with functional inputs. We study in this paper important theoretical properties of the proposed model. We show in particular that MLPs with functional inputs are universal approximators: they can approximate to arbitrary accuracy any continuous mapping from a compact sub-space of a functional space to R. Moreover, we provide a consistency result that shows that any mapping from a functional space to R can be learned thanks to examples by a projection based MLP: the generalization mean square error of the MLP decreases to the smallest possible mean square error on the data when the number of examples goes to infinity

    Review and Comparison of Intelligent Optimization Modelling Techniques for Energy Forecasting and Condition-Based Maintenance in PV Plants

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    Within the field of soft computing, intelligent optimization modelling techniques include various major techniques in artificial intelligence. These techniques pretend to generate new business knowledge transforming sets of "raw data" into business value. One of the principal applications of these techniques is related to the design of predictive analytics for the improvement of advanced CBM (condition-based maintenance) strategies and energy production forecasting. These advanced techniques can be used to transform control system data, operational data and maintenance event data to failure diagnostic and prognostic knowledge and, ultimately, to derive expected energy generation. One of the systems where these techniques can be applied with massive potential impact are the legacy monitoring systems existing in solar PV energy generation plants. These systems produce a great amount of data over time, while at the same time they demand an important e ort in order to increase their performance through the use of more accurate predictive analytics to reduce production losses having a direct impact on ROI. How to choose the most suitable techniques to apply is one of the problems to address. This paper presents a review and a comparative analysis of six intelligent optimization modelling techniques, which have been applied on a PV plant case study, using the energy production forecast as the decision variable. The methodology proposed not only pretends to elicit the most accurate solution but also validates the results, in comparison with the di erent outputs for the di erent techniques
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