European exchange trading funds trading with locally weighted support vector regression

In this paper, two different Locally Weighted Support Vector Regression (wSVR) algorithms are generated and applied to the task of forecasting and trading five European Exchange Traded Funds. The trading application covers the recent European Monetary Union debt crisis. The performance of the proposed models is benchmarked against traditional Support Vector Regression (SVR) models. The Radial Basis Function, the Wavelet and the Mahalanobis kernel are explored and tested as SVR kernels. Finally, a novel statistical SVR input selection procedure is introduced based on a principal component analysis and the Hansen, Lunde, and Nason (2011) model confidence test. The results demonstrate the superiority of the wSVR models over the traditional SVRs and of the v-SVR over the ε-SVR algorithms. We note that the performance of all models varies and considerably deteriorates in the peak of the debt crisis. In terms of the kernels, our results do not confirm the belief that the Radial Basis Function is the optimum choice for financial series

Combining domain knowledge and statistical models in time series analysis

This paper describes a new approach to time series modeling that combines subject-matter knowledge of the system dynamics with statistical techniques in time series analysis and regression. Applications to American option pricing and the Canadian lynx data are given to illustrate this approach.Comment: Published at http://dx.doi.org/10.1214/074921706000001049 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org

Improving the prediction accuracy of recurrent neural network by a PID controller.

International audienceIn maintenance field, prognostic is recognized as a key feature as the prediction of the remaining useful life of a system which allows avoiding inopportune maintenance spending. Assuming that it can be difficult to provide models for that purpose, artificial neural networks appear to be well suited. In this paper, an approach combining a Recurrent Radial Basis Function network (RRBF) and a proportional integral derivative controller (PID) is proposed in order to improve the accuracy of predictions. The PID controller attempts to correct the error between the real process variable and the neural network predictions

Forecasting bus passenger flows by using a clustering-based support vector regression approach

As a significant component of the intelligent transportation system, forecasting bus passenger flows plays a key role in resource allocation, network planning, and frequency setting. However, it remains challenging to recognize high fluctuations, nonlinearity, and periodicity of bus passenger flows due to varied destinations and departure times. For this reason, a novel forecasting model named as affinity propagation-based support vector regression (AP-SVR) is proposed based on clustering and nonlinear simulation. For the addressed approach, a clustering algorithm is first used to generate clustering-based intervals. A support vector regression (SVR) is then exploited to forecast the passenger flow for each cluster, with the use of particle swarm optimization (PSO) for obtaining the optimized parameters. Finally, the prediction results of the SVR are rearranged by chronological order rearrangement. The proposed model is tested using real bus passenger data from a bus line over four months. Experimental results demonstrate that the proposed model performs better than other peer models in terms of absolute percentage error and mean absolute percentage error. It is recommended that the deterministic clustering technique with stable cluster results (AP) can improve the forecasting performance significantly.info:eu-repo/semantics/publishedVersio

A functional link network based adaptive power system stabilizer

An on-line identifier using Functional Link Network (FLN) and Pole-shift (PS) controller for power system stabilizer (PSS) application are presented in this thesis. To have the satisfactory performance of the PSS controller, over a wide range of operating conditions, it is desirable to adapt PSS parameters in real time. Artificial Neural Networks (ANNs) transform the inputs in a low-dimensional space to high-dimensional nonlinear hidden unit space and they have the ability to model the nonlinear characteristics of the power system. The ability of ANNs to learn makes them more suitable for use in adaptive control techniques. On-line identification obtains a mathematical model at each sampling period to track the dynamic behavior of the plant. The ANN identifier consisting of a Functional link Network (FLN) is used for identifying the model parameters. A FLN model eliminates the need of hidden layer while retaining the nonlinear mapping capability of the neural network by using enhanced inputs. This network may be conveniently used for function approximation with faster convergence rate and lesser computational load. The most commonly used Pole Assignment (PA) algorithm for adaptive control purposes assign the pole locations to fixed locations within the unit circle in the z-plane. It may not be optimum for different operating conditions. In this thesis, PS type of adaptive control algorithm is used. This algorithm, instead of assigning the closed-loop poles to fixed locations within the unit circle in the z-plane, this algorithm assumes that the pole characteristic polynomial of the closed-loop system has the same form as the pole characteristic of the open-loop system and shifts the open-loop poles radially towards the centre of the unit circle in the z-plane by a shifting factor α according to some rules. In this control algorithm, no coefficients need to be tuned manually, so manual parameter tuning (which is a drawback in conventional power system stabilizer) is minimized. The PS control algorithm uses the on-line updated ARMA parameters to calculate the new closed-loop poles of the system that are always inside the unit circle in the z-plane. Simulation studies on a single-machine infinite bus and on a multi-machine power system for various operating condition changes, verify the effectiveness of the combined model of FLN identifier and PS control in damping the local and multi-mode oscillations occurring in the system. Simulation studies prove that the APSSs have significant benefits over conventional PSSs: performance improvement and no requirement for parameter tuning

A new adaptive multiple modelling approach for non-linear and non-stationary systems

This paper proposes a novel adaptive multiple modelling algorithm for non-linear and non-stationary systems. This simple modelling paradigm comprises K candidate sub-models which are all linear. With data available in an online fashion, the performance of all candidate sub-models are monitored based on the most recent data window, and M best sub-models are selected from the K candidates. The weight coefficients of the selected sub-model are adapted via the recursive least square (RLS) algorithm, while the coefficients of the remaining sub-models are unchanged. These M model predictions are then optimally combined to produce the multi-model output. We propose to minimise the mean square error based on a recent data window, and apply the sum to one constraint to the combination parameters, leading to a closed-form solution, so that maximal computational efficiency can be achieved. In addition, at each time step, the model prediction is chosen from either the resultant multiple model or the best sub-model, whichever is the best. Simulation results are given in comparison with some typical alternatives, including the linear RLS algorithm and a number of online non-linear approaches, in terms of modelling performance and time consumption

Systematic Analysis of Nonlinear Reduced-Order Models for Aeroelastic Applications

Molti velivoli moderni operano per gran parte della loro vita in regime transonico, dove le equazioni che modellano le forze aerodinamiche non sono linearizzabili. Diviene quindi necessario adottare modelli fluidodinamici più accurati, la cui soluzione eleva il carico computazionale. Per mantenere basso il carico computazionale e catturare le non linearità nel flusso si adottano modelli di ordine ridotto. Questi modelli saranno poi impiegati per un analisi aeroelastica di un profilo alare