3,879 research outputs found
Forecasting foreign exchange rates with adaptive neural networks using radial basis functions and particle swarm optimization
The motivation for this paper is to introduce a hybrid Neural Network architecture of Particle
Swarm Optimization and Adaptive Radial Basis Function (ARBF-PSO), a time varying leverage
trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a
Neural Network fitness function for financial forecasting purposes. This is done by
benchmarking the ARBF-PSO results with those of three different Neural Networks
architectures, a Nearest Neighbors algorithm (k-NN), an autoregressive moving average model
(ARMA), a moving average convergence/divergence model (MACD) plus a naïve strategy.
More specifically, the trading and statistical performance of all models is investigated in a
forecast simulation of the EUR/USD, EUR/GBP and EUR/JPY ECB exchange rate fixing time
series over the period January 1999 to March 2011 using the last two years for out-of-sample
testing
PSO based Neural Networks vs. Traditional Statistical Models for Seasonal Time Series Forecasting
Seasonality is a distinctive characteristic which is often observed in many
practical time series. Artificial Neural Networks (ANNs) are a class of
promising models for efficiently recognizing and forecasting seasonal patterns.
In this paper, the Particle Swarm Optimization (PSO) approach is used to
enhance the forecasting strengths of feedforward ANN (FANN) as well as Elman
ANN (EANN) models for seasonal data. Three widely popular versions of the basic
PSO algorithm, viz. Trelea-I, Trelea-II and Clerc-Type1 are considered here.
The empirical analysis is conducted on three real-world seasonal time series.
Results clearly show that each version of the PSO algorithm achieves notably
better forecasting accuracies than the standard Backpropagation (BP) training
method for both FANN and EANN models. The neural network forecasting results
are also compared with those from the three traditional statistical models,
viz. Seasonal Autoregressive Integrated Moving Average (SARIMA), Holt-Winters
(HW) and Support Vector Machine (SVM). The comparison demonstrates that both
PSO and BP based neural networks outperform SARIMA, HW and SVM models for all
three time series datasets. The forecasting performances of ANNs are further
improved through combining the outputs from the three PSO based models.Comment: 4 figures, 4 tables, 31 references, conference proceeding
A Multi Hidden Recurrent Neural Network with a Modified Grey Wolf Optimizer
Identifying university students' weaknesses results in better learning and
can function as an early warning system to enable students to improve. However,
the satisfaction level of existing systems is not promising. New and dynamic
hybrid systems are needed to imitate this mechanism. A hybrid system (a
modified Recurrent Neural Network with an adapted Grey Wolf Optimizer) is used
to forecast students' outcomes. This proposed system would improve instruction
by the faculty and enhance the students' learning experiences. The results show
that a modified recurrent neural network with an adapted Grey Wolf Optimizer
has the best accuracy when compared with other models.Comment: 34 pages, published in PLoS ON
Unsupervised Heart-rate Estimation in Wearables With Liquid States and A Probabilistic Readout
Heart-rate estimation is a fundamental feature of modern wearable devices. In
this paper we propose a machine intelligent approach for heart-rate estimation
from electrocardiogram (ECG) data collected using wearable devices. The novelty
of our approach lies in (1) encoding spatio-temporal properties of ECG signals
directly into spike train and using this to excite recurrently connected
spiking neurons in a Liquid State Machine computation model; (2) a novel
learning algorithm; and (3) an intelligently designed unsupervised readout
based on Fuzzy c-Means clustering of spike responses from a subset of neurons
(Liquid states), selected using particle swarm optimization. Our approach
differs from existing works by learning directly from ECG signals (allowing
personalization), without requiring costly data annotations. Additionally, our
approach can be easily implemented on state-of-the-art spiking-based
neuromorphic systems, offering high accuracy, yet significantly low energy
footprint, leading to an extended battery life of wearable devices. We
validated our approach with CARLsim, a GPU accelerated spiking neural network
simulator modeling Izhikevich spiking neurons with Spike Timing Dependent
Plasticity (STDP) and homeostatic scaling. A range of subjects are considered
from in-house clinical trials and public ECG databases. Results show high
accuracy and low energy footprint in heart-rate estimation across subjects with
and without cardiac irregularities, signifying the strong potential of this
approach to be integrated in future wearable devices.Comment: 51 pages, 12 figures, 6 tables, 95 references. Under submission at
Elsevier Neural Network
Batch Reinforcement Learning on the Industrial Benchmark: First Experiences
The Particle Swarm Optimization Policy (PSO-P) has been recently introduced
and proven to produce remarkable results on interacting with academic
reinforcement learning benchmarks in an off-policy, batch-based setting. To
further investigate the properties and feasibility on real-world applications,
this paper investigates PSO-P on the so-called Industrial Benchmark (IB), a
novel reinforcement learning (RL) benchmark that aims at being realistic by
including a variety of aspects found in industrial applications, like
continuous state and action spaces, a high dimensional, partially observable
state space, delayed effects, and complex stochasticity. The experimental
results of PSO-P on IB are compared to results of closed-form control policies
derived from the model-based Recurrent Control Neural Network (RCNN) and the
model-free Neural Fitted Q-Iteration (NFQ). Experiments show that PSO-P is not
only of interest for academic benchmarks, but also for real-world industrial
applications, since it also yielded the best performing policy in our IB
setting. Compared to other well established RL techniques, PSO-P produced
outstanding results in performance and robustness, requiring only a relatively
low amount of effort in finding adequate parameters or making complex design
decisions
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