1,097 research outputs found

    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

    Representation of Functional Data in Neural Networks

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    Functional Data Analysis (FDA) is an extension of traditional data analysis to functional data, for example spectra, temporal series, spatio-temporal images, gesture recognition data, etc. Functional data are rarely known in practice; usually a regular or irregular sampling is known. For this reason, some processing is needed in order to benefit from the smooth character of functional data in the analysis methods. This paper shows how to extend the Radial-Basis Function Networks (RBFN) and Multi-Layer Perceptron (MLP) models to functional data inputs, in particular when the latter are known through lists of input-output pairs. Various possibilities for functional processing are discussed, including the projection on smooth bases, Functional Principal Component Analysis, functional centering and reduction, and the use of differential operators. It is shown how to incorporate these functional processing into the RBFN and MLP models. The functional approach is illustrated on a benchmark of spectrometric data analysis.Comment: Also available online from: http://www.sciencedirect.com/science/journal/0925231

    Functional Multi-Layer Perceptron: a Nonlinear Tool for Functional Data Analysis

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    In this paper, we study a natural extension of Multi-Layer Perceptrons (MLP) to functional inputs. We show that fundamental results for classical MLP can be extended to functional MLP. We obtain universal approximation results that show the expressive power of functional MLP is comparable to that of numerical MLP. We obtain consistency results which imply that the estimation of optimal parameters for functional MLP is statistically well defined. We finally show on simulated and real world data that the proposed model performs in a very satisfactory way.Comment: http://www.sciencedirect.com/science/journal/0893608

    A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

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    We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formulas, network pricing formulas may be more accurate and computationally more efficient alternatives when the underlying asset's price dynamics are unknown, or when the pricing equation associated with no-arbitrage condition cannot be solved analytically. To assess the potential value of network pricing formulas, we simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis function networks, multilayer perceptron networks, and projection pursuit. To illustrate the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures options from 1987 to 1991.

    A Connection Between GRBF and MLP

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    Both multilayer perceptrons (MLP) and Generalized Radial Basis Functions (GRBF) have good approximation properties, theoretically and experimentally. Are they related? The main point of this paper is to show that for normalized inputs, multilayer perceptron networks are radial function networks (albeit with a non-standard radial function). This provides an interpretation of the weights w as centers t of the radial function network, and therefore as equivalent to templates. This insight may be useful for practical applications, including better initialization procedures for MLP. In the remainder of the paper, we discuss the relation between the radial functions that correspond to the sigmoid for normalized inputs and well-behaved radial basis functions, such as the Gaussian. In particular, we observe that the radial function associated with the sigmoid is an activation function that is good approximation to Gaussian basis functions for a range of values of the bias parameter. The implication is that a MLP network can always simulate a Gaussian GRBF network (with the same number of units but less parameters); the converse is true only for certain values of the bias parameter. Numerical experiments indicate that this constraint is not always satisfied in practice by MLP networks trained with backpropagation. Multiscale GRBF networks, on the other hand, can approximate MLP networks with a similar number of parameters

    Priors Stabilizers and Basis Functions: From Regularization to Radial, Tensor and Additive Splines

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    We had previously shown that regularization principles lead to approximation schemes, as Radial Basis Functions, which are equivalent to networks with one layer of hidden units, called Regularization Networks. In this paper we show that regularization networks encompass a much broader range of approximation schemes, including many of the popular general additive models, Breiman's hinge functions and some forms of Projection Pursuit Regression. In the probabilistic interpretation of regularization, the different classes of basis functions correspond to different classes of prior probabilities on the approximating function spaces, and therefore to different types of smoothness assumptions. In the final part of the paper, we also show a relation between activation functions of the Gaussian and sigmoidal type

    A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

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    We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S&P 500 futures options data from 1987 to 1991

    Techniques of replica symmetry breaking and the storage problem of the McCulloch-Pitts neuron

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    In this article the framework for Parisi's spontaneous replica symmetry breaking is reviewed, and subsequently applied to the example of the statistical mechanical description of the storage properties of a McCulloch-Pitts neuron. The technical details are reviewed extensively, with regard to the wide range of systems where the method may be applied. Parisi's partial differential equation and related differential equations are discussed, and a Green function technique introduced for the calculation of replica averages, the key to determining the averages of physical quantities. The ensuing graph rules involve only tree graphs, as appropriate for a mean-field-like model. The lowest order Ward-Takahashi identity is recovered analytically and is shown to lead to the Goldstone modes in continuous replica symmetry breaking phases. The need for a replica symmetry breaking theory in the storage problem of the neuron has arisen due to the thermodynamical instability of formerly given solutions. Variational forms for the neuron's free energy are derived in terms of the order parameter function x(q), for different prior distribution of synapses. Analytically in the high temperature limit and numerically in generic cases various phases are identified, among them one similar to the Parisi phase in the Sherrington-Kirkpatrick model. Extensive quantities like the error per pattern change slightly with respect to the known unstable solutions, but there is a significant difference in the distribution of non-extensive quantities like the synaptic overlaps and the pattern storage stability parameter. A simulation result is also reviewed and compared to the prediction of the theory.Comment: 103 Latex pages (with REVTeX 3.0), including 15 figures (ps, epsi, eepic), accepted for Physics Report

    Operator State Estimation for Adaptive Aiding in Uninhabited Combat Air Vehicles

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    This research demonstrated the first closed-loop implementation of adaptive automation using operator functional state in an operationally relevant environment. In the Uninhabited Combat Air Vehicle (UCAV) environment, operators can become cognitively overloaded and their performance may decrease during mission critical events. This research demonstrates an unprecedented closed-loop system, one that adaptively aids UCAV operators based on their cognitive functional state A series of experiments were conducted to 1) determine the best classifiers for estimating operator functional state, 2) determine if physiological measures can be used to develop multiple cognitive models based on information processing demands and task type, 3) determine the salient psychophysiological measures in operator functional state, and 4) demonstrate the benefits of intelligent adaptive aiding using operator functional state. Aiding the operator actually improved performance and increased mission effectiveness by 67%
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