Using attribute construction to improve the predictability of a GP financial forecasting algorithm

Financial forecasting is an important area in computational finance. EDDIE 8 is an established Genetic Programming financial forecasting algorithm, which has successfully been applied to a number of international datasets. The purpose of this paper is to further increase the algorithm’s predictive performance, by improving its data space representation. In order to achieve this, we use attribute construction to create new (high-level) attributes from the original (low-level) attributes. To examine the effectiveness of the above method, we test the extended EDDIE’s predictive performance across 25 datasets and compare it to the performance of two previous EDDIE algorithms. Results show that the introduction of attribute construction benefits the algorithm, allowing EDDIE to explore the use of new attributes to improve its predictive accuracy

Improving the Interpretability of Classification Rules Discovered by an Ant Colony Algorithm: Extended Results

The vast majority of Ant Colony Optimization (ACO) algorithms for inducing classification rules use an ACO-based procedure to create a rule in an one-at-a-time fashion. An improved search strategy has been proposed in the cAnt-MinerPB algorithm, where an ACO-based procedure is used to create a complete list of rules (ordered rules)-i.e., the ACO search is guided by the quality of a list of rules, instead of an individual rule. In this paper we propose an extension of the cAnt-MinerPB algorithm to discover a set of rules (unordered rules). The main motivations for this work are to improve the interpretation of individual rules by discovering a set of rules and to evaluate the impact on the predictive accuracy of the algorithm. We also propose a new measure to evaluate the interpretability of the discovered rules to mitigate the fact that the commonly-used model size measure ignores how the rules are used to make a class prediction. Comparisons with state-of-the-art rule induction algorithms, support vector machines and the cAnt-MinerPB producing ordered rules are also presented

Learning Multi-Tree Classification Models with Ant Colony Optimization

Ant Colony Optimization (ACO) is a meta-heuristic for solving combinatorial optimization problems, inspired by the behaviour of biological ant colonies. One of the successful applications of ACO is learning classification models (classifiers). A classifier encodes the relationships between the input attribute values and the values of a class attribute in a given set of labelled cases and it can be used to predict the class value of new unlabelled cases. Decision trees have been widely used as a type of classification model that represent comprehensible knowledge to the user. In this paper, we propose the use of ACO-based algorithms for learning an extended multi-tree classification model, which consists of multiple decision trees, one for each class value. Each class-based decision trees is responsible for discriminating between its class value and all other values available in the class domain. Our proposed algorithms are empirically evaluated against well-known decision trees induction algorithms, as well as the ACO-based Ant-Tree-Miner algorithm. The results show an overall improvement in predictive accuracy over 32 benchmark datasets. We also discuss how the new multi-tree models can provide the user with more understanding and knowledge-interpretability in a given domain

Using a unified measure function for heuristics, discretization, and rule quality evaluation in Ant-Miner

Ant-Miner is a classification rule discovery algorithm that is based on Ant Colony Optimization (ACO) meta-heuristic. cAnt-Miner is the extended version of the algorithm that handles continuous attributes on-the-fly during the rule construction process, while ?Ant-Miner is an extension of the algorithm that selects the rule class prior to its construction, and utilizes multiple pheromone types, one for each permitted rule class. In this paper, we combine these two algorithms to derive a new approach for learning classification rules using ACO. The proposed approach is based on using the measure function for 1) computing the heuristics for rule term selection, 2) a criteria for discretizing continuous attributes, and 3) evaluating the quality of the constructed rule for pheromone update as well. We explore the effect of using different measure functions for on the output model in terms of predictive accuracy and model size. Empirical evaluations found that hypothesis of different functions produce different results are acceptable according to Friedman’s statistical test

A Genetic Programming Problem Definition Language Code Generator for the EpochX Framework

There are many different genetic programming (GP) frameworks that can be used to implement algorithms to solve a particular optimization problem. In order to use a framework, users need to become familiar with a large numbers of source code before actually implementing the algorithm, adding a learning overhead. In some cases, this can prevent users from trying out different frameworks. This paper discusses the implementation of a code generator in the EpochX framework to facilitate the implementation of GP algorithms. The code generator is based on the GP defini- tion language (GPDL), which is a framework-independent language that can be used to specify GP problems

Monotonicity in Ant Colony Classification Algorithms

Classification algorithms generally do not use existing domain knowledge during model construction. The creation of models that conflict with existing knowledge can reduce model acceptance, as users have to trust the models they use. Domain knowledge can be integrated into algorithms using semantic constraints to guide model construction. This paper proposes an extension to an existing ACO-based classification rule learner to create lists of monotonic classification rules. The proposed algorithm was compared to a majority classifier and the Ordinal Learning Model (OLM) monotonic learner. Our results show that the proposed algorithm successfully outperformed OLM’s predictive accuracy while still producing monotonic models

Heuristic procedures for improving the predictability of a genetic programming financial forecasting algorithm

Financial forecasting is an important area in computational finance. Evolutionary Dynamic Data Investment Evaluator (EDDIE) is an established genetic programming (GP) financial forecasting algorithm, which has successfully been applied to a number of international financial datasets. The purpose of this paper is to further improve the algorithm’s predictive performance, by incorporating heuristics in the search. We propose the use of two heuristics: a sequential covering strategy to iteratively build a solution in combination with the GP search and the use of an entropy-based dynamic discretisation procedure of numeric values. To examine the effectiveness of the proposed improvements, we test the new EDDIE version (EDDIE 9) across 20 datasets and compare its predictive performance against three previous EDDIE algorithms. In addition, we also compare our new algorithm’s performance against C4.5 and RIPPER, two state-of-the-art classification algorithms. Results show that the introduction of heuristics is very successful, allowing the algorithm to outperform all previous EDDIE versions and the well-known C4.5 and RIPPER algorithms. Results also show that the algorithm is able to return significantly high rates of return across the majority of the datasets

A new sequential covering strategy for inducing classification rules with ant colony algorithms

Ant colony optimization (ACO) algorithms have been successfully applied to discover a list of classification rules. In general, these algorithms follow a sequential covering strategy, where a single rule is discovered at each iteration of the algorithm in order to build a list of rules. The sequential covering strategy has the drawback of not coping with the problem of rule interaction, i.e., the outcome of a rule affects the rules that can be discovered subsequently since the search space is modified due to the removal of examples covered by previous rules. This paper proposes a new sequential covering strategy for ACO classification algorithms to mitigate the problem of rule interaction, where the order of the rules is implicitly encoded as pheromone values and the search is guided by the quality of a candidate list of rules. Our experiments using 18 publicly available data sets show that the predictive accuracy obtained by a new ACO classification algorithm implementing the proposed sequential covering strategy is statistically significantly higher than the predictive accuracy of state-of-the-art rule induction classification algorithms

Investigating Evaluation Measures in Ant Colony Algorithms for Learning Decision Tree Classifiers

Ant-Tree-Miner is a decision tree induction algorithm that is based on the Ant Colony Optimization (ACO) meta- heuristic. Ant-Tree-Miner-M is a recently introduced extension of Ant-Tree-Miner that learns multi-tree classification models. A multi-tree model consists of multiple decision trees, one for each class value, where each class-based decision tree is responsible for discriminating between its class value and all other values present in the class domain (one vs. all). In this paper, we investigate the use of 10 different classification quality evaluation measures in Ant-Tree-Miner-M, which are used for both candidate model evaluation and model pruning. Our experimental results, using 40 popular benchmark datasets, identify several quality functions that substantially improve on the simple Accuracy quality function that was previously used in Ant-Tree-Miner-M

Event-based graphical monitoring in the EpochX genetic programming framework

EpochX is a genetic programming framework with provision for event management – similar to the Java event model – allowing the notification of particular actions during the lifecycle of the evolutionary algorithm. It also provides a flexible Stats system to gather statistics measures. This paper introduces a graphical interface to the EpochX genetic programming framework, taking full advantage of EpochX's event management. A set of representation-independent and tree-dependent GUI components are presented, showing how statistic information can be presented in a rich format using the information provided by EpochX's Stats system