27,303 research outputs found
Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms: support vector regression forecast combinations
The motivation of this paper is to introduce a hybrid Rolling Genetic Algorithm-Support Vector Regression (RG-SVR) model for optimal parameter selection and feature subset combination. The algorithm is applied to the task of forecasting and trading the EUR/USD, EUR/GBP and EUR/JPY exchange rates. The proposed methodology genetically searches over a feature space (pool of individual forecasts) and then combines the optimal feature subsets (SVR forecast combinations) for each exchange rate. This is achieved by applying a fitness function specialized for financial purposes and adopting a sliding window approach. The individual forecasts are derived from several linear and non-linear models. RG-SVR is benchmarked against genetically and non-genetically optimized SVRs and SVMs models that are dominating the relevant literature, along with the robust ARBF-PSO neural network. The statistical and trading performance of all models is investigated during the period of 1999–2012. As it turns out, RG-SVR presents the best performance in terms of statistical accuracy and trading efficiency for all the exchange rates under study. This superiority confirms the success of the implemented fitness function and training procedure, while it validates the benefits of the proposed algorithm
Metaheuristic design of feedforward neural networks: a review of two decades of research
Over the past two decades, the feedforward neural network (FNN) optimization has been a key interest among the researchers and practitioners of multiple disciplines. The FNN optimization is often viewed from the various perspectives: the optimization of weights, network architecture, activation nodes, learning parameters, learning environment, etc. Researchers adopted such different viewpoints mainly to improve the FNN's generalization ability. The gradient-descent algorithm such as backpropagation has been widely applied to optimize the FNNs. Its success is evident from the FNN's application to numerous real-world problems. However, due to the limitations of the gradient-based optimization methods, the metaheuristic algorithms including the evolutionary algorithms, swarm intelligence, etc., are still being widely explored by the researchers aiming to obtain generalized FNN for a given problem. This article attempts to summarize a broad spectrum of FNN optimization methodologies including conventional and metaheuristic approaches. This article also tries to connect various research directions emerged out of the FNN optimization practices, such as evolving neural network (NN), cooperative coevolution NN, complex-valued NN, deep learning, extreme learning machine, quantum NN, etc. Additionally, it provides interesting research challenges for future research to cope-up with the present information processing era
Classifying sequences by the optimized dissimilarity space embedding approach: a case study on the solubility analysis of the E. coli proteome
We evaluate a version of the recently-proposed classification system named
Optimized Dissimilarity Space Embedding (ODSE) that operates in the input space
of sequences of generic objects. The ODSE system has been originally presented
as a classification system for patterns represented as labeled graphs. However,
since ODSE is founded on the dissimilarity space representation of the input
data, the classifier can be easily adapted to any input domain where it is
possible to define a meaningful dissimilarity measure. Here we demonstrate the
effectiveness of the ODSE classifier for sequences by considering an
application dealing with the recognition of the solubility degree of the
Escherichia coli proteome. Solubility, or analogously aggregation propensity,
is an important property of protein molecules, which is intimately related to
the mechanisms underlying the chemico-physical process of folding. Each protein
of our dataset is initially associated with a solubility degree and it is
represented as a sequence of symbols, denoting the 20 amino acid residues. The
herein obtained computational results, which we stress that have been achieved
with no context-dependent tuning of the ODSE system, confirm the validity and
generality of the ODSE-based approach for structured data classification.Comment: 10 pages, 49 reference
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