A Comprehensive Survey on Pi-Sigma Neural Network for Time Series Prediction

Prediction of time series grabs received much attention because of its effect on the vast range of real life applications. This paper presents a survey of time series applications using Higher Order Neural Network (HONN) model. The basic motivation behind using HONN is the ability to expand the input space, to solve complex problems it becomes more efficient and perform high learning abilities of the time series forecasting. Pi-Sigma Neural Network (PSNN) includes indirectly the capabilities of higher order networks using product cells as the output units and less number of weights. The goal of this research is to present the reader awareness about PSNN for time series prediction, to highlight some benefits and challenges using PSNN. Possible fields of PSNN applications in comparison with existing methods are presented and future directions are also explored in advantage with the properties of error feedback and recurrent networks

Computational intelligence approaches for energy load forecasting in smart energy management grids: state of the art, future challenges, and research directions and Research Directions

Energy management systems are designed to monitor, optimize, and control the smart grid energy market. Demand-side management, considered as an essential part of the energy management system, can enable utility market operators to make better management decisions for energy trading between consumers and the operator. In this system, a priori knowledge about the energy load pattern can help reshape the load and cut the energy demand curve, thus allowing a better management and distribution of the energy in smart grid energy systems. Designing a computationally intelligent load forecasting (ILF) system is often a primary goal of energy demand management. This study explores the state of the art of computationally intelligent (i.e., machine learning) methods that are applied in load forecasting in terms of their classification and evaluation for sustainable operation of the overall energy management system. More than 50 research papers related to the subject identified in existing literature are classified into two categories: namely the single and the hybrid computational intelligence (CI)-based load forecasting technique. The advantages and disadvantages of each individual techniques also discussed to encapsulate them into the perspective into the energy management research. The identified methods have been further investigated by a qualitative analysis based on the accuracy of the prediction, which confirms the dominance of hybrid forecasting methods, which are often applied as metaheurstic algorithms considering the different optimization techniques over single model approaches. Based on extensive surveys, the review paper predicts a continuous future expansion of such literature on different CI approaches and their optimizations with both heuristic and metaheuristic methods used for energy load forecasting and their potential utilization in real-time smart energy management grids to address future challenges in energy demand managemen

Collaborative Multiobjective Evolutionary Algorithms in search of better Pareto Fronts. An application to trading systems

Technical indicators use graphic representations of data sets by applying various mathematical formulas to financial time series of prices. These formulas comprise a set of rules and parameters whose values are not necessarily known and depend on many factors: the market in which it operates, the size of the time window, and others. This paper focuses on the real-time optimization of the parameters applied for analyzing time series of data. In particular, we optimize the parameters of technical and financial indicators and propose other applications, such as glucose time series. We propose the combination of several Multi-objective Evolutionary Algorithms (MOEAs). Unlike other approaches, this paper applies a set of different MOEAs, collaborating to construct a global Pareto Set of solutions. Solutions for financial problems seek high returns with minimal risk. The optimization process is continuous and occurs at the same frequency as the investment time interval. This technique permits the application of non-dominated solutions obtained with different MOEAs simultaneously. Experimental results show that this technique increases the returns of the commonly used Buy \& Hold strategy and other multi-objective strategies, even for daily operations

Artificial Neural Network and its Applications in the Energy Sector – An Overview

In order to realize the goal of optimal use of energy sources and cleaner environment at a minimal cost, researchers; field professionals; and industrialists have identified the expediency of harnessing the computational benefits provided by artificial intelligence (AI) techniques. This article provides an overview of AI, chronological blueprints of the emergence of artificial neural networks (ANNs) and some of its applications in the energy sector. This short survey reveals that despite the initial hiccups at the developmental stages of ANNs, ANN has tremendously evolved, is still evolving and have been found to be effective in handling highly complex problems even in the areas of modeling, control, and optimization, to mention a few

DYNAMIC SELF-ORGANISED NEURAL NETWORK INSPIRED BY THE IMMUNE ALGORITHM FOR FINANCIAL TIME SERIES PREDICTION AND MEDICAL DATA CLASSIFICATION

Artificial neural networks have been proposed as useful tools in time series analysis in a variety of applications. They are capable of providing good solutions for a variety of problems, including classification and prediction. However, for time series analysis, it must be taken into account that the variables of data are related to the time dimension and are highly correlated. The main aim of this research work is to investigate and develop efficient dynamic neural networks in order to deal with data analysis issues. This research work proposes a novel dynamic self-organised multilayer neural network based on the immune algorithm for financial time series prediction and biomedical signal classification, combining the properties of both recurrent and self-organised neural networks. The first case study that has been addressed in this thesis is prediction of financial time series. The financial time series signal is in the form of historical prices of different companies. The future prediction of price in financial time series enables businesses to make profits by predicting or simply guessing these prices based on some historical data. However, the financial time series signal exhibits a highly random behaviour, which is non-stationary and nonlinear in nature. Therefore, the prediction of this type of time series is very challenging. In this thesis, a number of experiments have been simulated to evaluate the ability of the designed recurrent neural network to forecast the future value of financial time series. The resulting forecast made by the proposed network shows substantial profits on financial historical signals when compared to the self-organised hidden layer inspired by immune algorithm and multilayer perceptron neural networks. These results suggest that the proposed dynamic neural networks has a better ability to capture the chaotic movement in financial signals. The second case that has been addressed in this thesis is for predicting preterm birth and diagnosing preterm labour. One of the most challenging tasks currently facing the healthcare community is the identification of preterm labour, which has important significances for both healthcare and the economy. Premature birth occurs when the baby is born before completion of the 37-week gestation period. Incomplete understanding of the physiology of the uterus and parturition means that premature labour prediction is a difficult task. The early prediction of preterm births could help to improve prevention, through appropriate medical and lifestyle interventions. One promising method is the use of Electrohysterography. This method records the uterine electrical activity during pregnancy. In this thesis, the proposed dynamic neural network has been used for classifying between term and preterm labour using uterine signals. The results indicated that the proposed network generated improved classification accuracy in comparison to the benchmarked neural network architectures

Machine Learning and Finance: A Review using Latent Dirichlet Allocation Technique (LDA)

The aim of this paper is provide a first comprehensive structuring of the literature applying machine learning to finance. We use a probabilistic topic modelling approach to make sense of this diverse body of research spanning across the disciplines of finance, economics, computer sciences, and decision sciences. Through the topic modelling approach, a Latent Dirichlet Allocation Technique (LDA), we can extract the 14 coherent research topics that are the focus of the 6,148 academic articles during the years 1990-2019 analysed. We first describe and structure these topics, and then further show how the topic focus has evolved over the last two decades. Our study thus provides a structured topography for finance researchers seeking to integrate machine learning research approaches in their exploration of finance phenomena. We also showcase the benefits to finance researchers of the method of probabilistic modelling of topics for deep comprehension of a body of literature, especially when that literature has diverse multi-disciplinary actors

Antecipação na tomada de decisão com múltiplos critérios sob incerteza

Orientador: Fernando José Von ZubenTese (doutorado) - Universidade Estadual de Campinas, Faculdade de Engenharia Elétrica e de ComputaçãoResumo: A presença de incerteza em resultados futuros pode levar a indecisões em processos de escolha, especialmente ao elicitar as importâncias relativas de múltiplos critérios de decisão e de desempenhos de curto vs. longo prazo. Algumas decisões, no entanto, devem ser tomadas sob informação incompleta, o que pode resultar em ações precipitadas com consequências imprevisíveis. Quando uma solução deve ser selecionada sob vários pontos de vista conflitantes para operar em ambientes ruidosos e variantes no tempo, implementar alternativas provisórias flexíveis pode ser fundamental para contornar a falta de informação completa, mantendo opções futuras em aberto. A engenharia antecipatória pode então ser considerada como a estratégia de conceber soluções flexíveis as quais permitem aos tomadores de decisão responder de forma robusta a cenários imprevisíveis. Essa estratégia pode, assim, mitigar os riscos de, sem intenção, se comprometer fortemente a alternativas incertas, ao mesmo tempo em que aumenta a adaptabilidade às mudanças futuras. Nesta tese, os papéis da antecipação e da flexibilidade na automação de processos de tomada de decisão sequencial com múltiplos critérios sob incerteza é investigado. O dilema de atribuir importâncias relativas aos critérios de decisão e a recompensas imediatas sob informação incompleta é então tratado pela antecipação autônoma de decisões flexíveis capazes de preservar ao máximo a diversidade de escolhas futuras. Uma metodologia de aprendizagem antecipatória on-line é então proposta para melhorar a variedade e qualidade dos conjuntos futuros de soluções de trade-off. Esse objetivo é alcançado por meio da previsão de conjuntos de máximo hipervolume esperado, para a qual as capacidades de antecipação de metaheurísticas multi-objetivo são incrementadas com rastreamento bayesiano em ambos os espaços de busca e dos objetivos. A metodologia foi aplicada para a obtenção de decisões de investimento, as quais levaram a melhoras significativas do hipervolume futuro de conjuntos de carteiras financeiras de trade-off avaliadas com dados de ações fora da amostra de treino, quando comparada a uma estratégia míope. Além disso, a tomada de decisões flexíveis para o rebalanceamento de carteiras foi confirmada como uma estratégia significativamente melhor do que a de escolher aleatoriamente uma decisão de investimento a partir da fronteira estocástica eficiente evoluída, em todos os mercados artificiais e reais testados. Finalmente, os resultados sugerem que a antecipação de opções flexíveis levou a composições de carteiras que se mostraram significativamente correlacionadas com as melhorias observadas no hipervolume futuro esperado, avaliado com dados fora das amostras de treinoAbstract: The presence of uncertainty in future outcomes can lead to indecision in choice processes, especially when eliciting the relative importances of multiple decision criteria and of long-term vs. near-term performance. Some decisions, however, must be taken under incomplete information, what may result in precipitated actions with unforeseen consequences. When a solution must be selected under multiple conflicting views for operating in time-varying and noisy environments, implementing flexible provisional alternatives can be critical to circumvent the lack of complete information by keeping future options open. Anticipatory engineering can be then regarded as the strategy of designing flexible solutions that enable decision makers to respond robustly to unpredictable scenarios. This strategy can thus mitigate the risks of strong unintended commitments to uncertain alternatives, while increasing adaptability to future changes. In this thesis, the roles of anticipation and of flexibility on automating sequential multiple criteria decision-making processes under uncertainty are investigated. The dilemma of assigning relative importances to decision criteria and to immediate rewards under incomplete information is then handled by autonomously anticipating flexible decisions predicted to maximally preserve diversity of future choices. An online anticipatory learning methodology is then proposed for improving the range and quality of future trade-off solution sets. This goal is achieved by predicting maximal expected hypervolume sets, for which the anticipation capabilities of multi-objective metaheuristics are augmented with Bayesian tracking in both the objective and search spaces. The methodology has been applied for obtaining investment decisions that are shown to significantly improve the future hypervolume of trade-off financial portfolios for out-of-sample stock data, when compared to a myopic strategy. Moreover, implementing flexible portfolio rebalancing decisions was confirmed as a significantly better strategy than to randomly choosing an investment decision from the evolved stochastic efficient frontier in all tested artificial and real-world markets. Finally, the results suggest that anticipating flexible choices has lead to portfolio compositions that are significantly correlated with the observed improvements in out-of-sample future expected hypervolumeDoutoradoEngenharia de ComputaçãoDoutor em Engenharia Elétric