Learning short multivariate time series models through evolutionary and sparse matrix computation

Multivariate time series (MTS) data are widely available in different fields including medicine, finance, bioinformatics, science and engineering. Modelling MTS data accurately is important for many decision making activities. One area that has been largely overlooked so far is the particular type of time series where the data set consists of a large number of variables but with a small number of observations. In this paper we describe the development of a novel computational method based on Natural Computation and sparse matrices that bypasses the size restrictions of traditional statistical MTS methods, makes no distribution assumptions, and also locates the associated parameters. Extensive results are presented, where the proposed method is compared with both traditional statistical and heuristic search techniques and evaluated on a number of criteria. The results have implications for a wide range of applications involving the learning of short MTS models

Predicting glaucomatous visual field deterioration through short multivariate time series modelling

In bio-medical domains there are many applications involving the modelling of multivariate time series (MTS) data. One area that has been largely overlooked so far is the particular type of time series where the data set consists of a large number of variables but with a small number of observations. In this paper we describe the development of a novel computational method based on genetic algorithms that bypasses the size restrictions of traditional statistical MTS methods, makes no distribution assumptions, and also locates the order and associated parameters as a whole step. We apply this method to the prediction and modelling of glaucomatous visual field deterioration

Modelling and trading the Greek stock market with gene expression and genetic programing algorithms

This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well-known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter

Modelling tourism demand to Spain with machine learning techniques. The impact of forecast horizon on model selection

This study assesses the influence of the forecast horizon on the forecasting performance of several machine learning techniques. We compare the fo recastaccuracy of Support Vector Regression (SVR) to Neural Network (NN) models, using a linear model as a benchmark. We focus on international tourism demand to all seventeen regions of Spain. The SVR with a Gaussian radial basis function kernel outperforms the rest of the models for the longest forecast horizons. We also find that machine learning methods improve their forecasting accuracy with respect to linear models as forecast horizons increase. This results shows the suitability of SVR for medium and long term forecasting.Peer ReviewedPostprint (published version

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

Predicting expected TCP throughput using genetic algorithm

Predicting the expected throughput of TCP is important for several aspects such as e.g. determining handover criteria for future multihomed mobile nodes or determining the expected throughput of a given MPTCP subflow for load-balancing reasons. However, this is challenging due to time varying behavior of the underlying network characteristics. In this paper, we present a genetic-algorithm-based prediction model for estimating TCP throughput values. Our approach tries to find the best matching combination of mathematical functions that approximate a given time series that accounts for the TCP throughput samples using genetic algorithm. Based on collected historical datapoints about measured TCP throughput samples, our algorithm estimates expected throughput over time. We evaluate the quality of the prediction using different selection and diversity strategies for creating new chromosomes. Also, we explore the use of different fitness functions in order to evaluate the goodness of a chromosome. The goal is to show how different tuning on the genetic algorithm may have an impact on the prediction. Using extensive simulations over several TCP throughput traces, we find that the genetic algorithm successfully finds reasonable matching mathematical functions that allow to describe the TCP sampled throughput values with good fidelity. We also explore the effectiveness of predicting time series throughput samples for a given prediction horizon and estimate the prediction error and confidence.Peer ReviewedPostprint (author's final draft

A Review on the Application of Natural Computing in Environmental Informatics

Natural computing offers new opportunities to understand, model and analyze the complexity of the physical and human-created environment. This paper examines the application of natural computing in environmental informatics, by investigating related work in this research field. Various nature-inspired techniques are presented, which have been employed to solve different relevant problems. Advantages and disadvantages of these techniques are discussed, together with analysis of how natural computing is generally used in environmental research.Comment: Proc. of EnviroInfo 201

Rough sets theory for travel demand analysis in Malaysia

This study integrates the rough sets theory into tourism demand analysis. Originated from the area of Artificial Intelligence, the rough sets theory was introduced to disclose important structures and to classify objects. The Rough Sets methodology provides definitions and methods for finding which attributes separates one class or classification from another. Based on this theory can propose a formal framework for the automated transformation of data into knowledge. This makes the rough sets approach a useful classification and pattern recognition technique. This study introduces a new rough sets approach for deriving rules from information table of tourist in Malaysia. The induced rules were able to forecast change in demand with certain accuracy