6,904 research outputs found
Financial model calibration using consistency hints
We introduce a technique for forcing the calibration of a financial model to produce valid parameters. The technique is based on learning from hints. It converts simple curve fitting into genuine calibration, where broad conclusions can be inferred from parameter values. The technique augments the error function of curve fitting with consistency hint error functions based on the Kullback-Leibler distance. We introduce an efficient EM-type optimization algorithm tailored to this technique. We also introduce other consistency hints, and balance their weights using canonical errors. We calibrate the correlated multifactor Vasicek model of interest rates, and apply it successfully to Japanese Yen swaps market and US dollar yield market
Hints
The systematic use of hints in the learning-from-examples paradigm is the subject of this review. Hints are the properties of the target function that are known to us independently of the training examples. The use of hints is tantamount to combining rules and data in learning, and is compatible with different learning models, optimization techniques, and regularization techniques. The hints are represented to the learning process by virtual examples, and the training examples of the target function are treated on equal footing with the rest of the hints. A balance is achieved between the information provided by the different hints through the choice of objective functions and learning schedules. The Adaptive Minimization algorithm achieves this balance by relating the performance on each hint to the overall performance. The application of hints in forecasting the very noisy foreign-exchange markets is illustrated. On the theoretical side, the information value of hints is contrasted to the complexity value and related to the VC dimension
The Vapnik-Chervonenkis Dimension: Information versus Complexity in Learning
When feasible, learning is a very attractive alternative to explicit programming. This is particularly true in areas where the problems do not lend themselves to systematic programming, such as pattern recognition in natural environments. The feasibility of learning an unknown function from examples depends on two questions:
1. Do the examples convey enough information to determine the function?
2. Is there a speedy way of constructing the function from the examples?
These questions contrast the roles of information and complexity in learning. While the two roles share some ground, they are conceptually and technically different. In the common language of learning, the information question is that of generalization and the complexity question is that of scaling. The work of Vapnik and Chervonenkis (1971) provides the key tools for dealing with the information issue. In this review, we develop the main ideas of this framework and discuss how complexity fits in
Hints and the VC Dimension
Learning from hints is a generalization of learning from examples that allows for a variety of information about the unknown function to be used in the learning process. In this paper, we use the VC dimension, an established tool for analyzing learning from examples, to analyze learning from hints. In particular, we show how the VC dimension is affected by the introduction of a hint. We also derive a new quantity that defines a VC dimension for the hint itself. This quantity is used to estimate the number of examples needed to "absorb" the hint. We carry out the analysis for two types of hints, invariances and catalysts. We also describe how the same method can be applied to other types of hints
Information theory, complexity and neural networks
Some of the main results in the mathematical evaluation of neural networks as information processing systems are discussed. The basic operation of feedback and feed-forward neural networks is described. Their memory capacity and computing power are considered. The concept of learning by example as it applies to neural networks is examined
An algorithm for learning from hints
To take advantage of prior knowledge (hints) about the function one wants to learn, we introduce a method that generalizes learning from examples to learning from hints. A canonical representation of hints is defined and illustrated. All hints are represented to the learning process by examples, and examples of the function are treated on equal footing with the rest of the hints. During learning, examples from different hints are selected for processing according to a given schedule. We present two types of schedules; fixed schedules that specify the relative emphasis of each hint, and adaptive schedules that are based on how well each hint has been learned so far. Our learning method is compatible with any descent technique
The capacity of multilevel threshold functions
Lower and upper bounds for the capacity of multilevel threshold elements are estimated, using two essentially different enumeration techniques. It is demonstrated that the exact number of multilevel threshold functions depends strongly on the relative topology of the input set. The results correct a previously published estimate and indicate that adding threshold levels enhances the capacity more than adding variables
Effect of Liquid Droplets on Turbulence Structure in a Round Gaseous Jet
A second-order model which predicts the modulation of turbulence in jets laden with uniform size solid particles or liquid droplets is discussed. The approach followed is to start from the separate momentum and continuity equations of each phase and derive two new conservation equations. The first is for the carrier fluid's kinetic energy of turbulence and the second for the dissipation rate of that energy. Closure of the set of transport equations is achieved by modeling the turbulence correlations up to a third order. The coefficients (or constants) appearing in the modeled equations are then evaluated by comparing the predictions with LDA-measurements obtained recently in a turbulent jet laden with 200 microns solid particles. This set of constants is then used to predict the same jet flow but laden with 50 microns solid particles. The agreement with the measurement in this case is very good
An analog feedback associative memory
A method for the storage of analog vectors, i.e., vectors whose components are real-valued, is developed for the Hopfield continuous-time network. An important requirement is that each memory vector has to be an asymptotically stable (i.e. attractive) equilibrium of the network. Some of the limitations imposed by the continuous Hopfield model on the set of vectors that can be stored are pointed out. These limitations can be relieved by choosing a network containing visible as well as hidden units. An architecture consisting of several hidden layers and a visible layer, connected in a circular fashion, is considered. It is proved that the two-layer case is guaranteed to store any number of given analog vectors provided their number does not exceed 1 + the number of neurons in the hidden layer. A learning algorithm that correctly adjusts the locations of the equilibria and guarantees their asymptotic stability is developed. Simulation results confirm the effectiveness of the approach
- …