Volatility smile extrapolation with an artificial neural network

I use a multi-layer feedforward perceptron, with backpropagation learning implemented via stochastic gradient descent, to extrapolate the volatility smile of Euribor derivatives over low-strikes by training the network on parametric prices.

Validation procedures in radiological diagnostic models. Neural network and logistic regression

The objective of this paper is to compare the performance of twopredictive radiological models, logistic regression (LR) and neural network (NN), with five different resampling methods. One hundred and sixty-seven patients with proven calvarial lesions as the only known disease were enrolled. Clinical and CT data were used for LR and NN models. Both models were developed with cross validation, leave-one-out and three different bootstrap algorithms. The final results of each model were compared with error rate and the area under receiver operating characteristic curves (Az). The neural network obtained statistically higher Az than LR with cross validation. The remaining resampling validation methods did not reveal statistically significant differences between LR and NN rules. The neural network classifier performs better than the one based on logistic regression. This advantage is well detected by three-fold cross-validation, but remains unnoticed when leave-one-out or bootstrap algorithms are used.

Hierarchical neural network with high storage capacity

A recent method used to optimize biased neural networks with low levels of activity is applied to a hierarchical model. As a consequence, the performance of the system is strongly enhanced. The steps to achieve optimization are analyzed in detail.

Efficient learning of reactive robot behaviors with a Neural-Q_learning approach

The purpose of this paper is to propose a Neural-Q_learning approach designed for online learning of simple and reactive robot behaviors. In this approach, the Q_function is generalized by a multi-layer neural network allowing the use of continuous states and actions. The algorithm uses a database of the most recent learning samples to accelerate and guarantee the convergence. Each Neural-Q_learning function represents an independent, reactive and adaptive behavior which maps sensorial states to robot control actions. A group of these behaviors constitutes a reactive control scheme designed to fulfill simple missions. The paper centers on the description of the Neural-Q_learning based behaviors showing their performance with an underwater robot in a target following task. Real experiments demonstrate the convergence and stability of the learning system, pointing out its suitability for online robot learning. Advantages and limitations are discussed

Semi-online neural-Q_leaming for real-time robot learning

Reinforcement learning (RL) is a very suitable technique for robot learning, as it can learn in unknown environments and in real-time computation. The main difficulties in adapting classic RL algorithms to robotic systems are the generalization problem and the correct observation of the Markovian state. This paper attempts to solve the generalization problem by proposing the semi-online neural-Q_learning algorithm (SONQL). The algorithm uses the classic Q_learning technique with two modifications. First, a neural network (NN) approximates the Q_function allowing the use of continuous states and actions. Second, a database of the most representative learning samples accelerates and stabilizes the convergence. The term semi-online is referred to the fact that the algorithm uses the current but also past learning samples. However, the algorithm is able to learn in real-time while the robot is interacting with the environment. The paper shows simulated results with the "mountain-car" benchmark and, also, real results with an underwater robot in a target following behavior

Forecasting tourism demand to Catalonia: neural networks vs. time series models

The increasing interest aroused by more advanced forecasting techniques, together with the requirement for more accurate forecasts of tourismdemand at the destination level due to the constant growth of world tourism, has lead us to evaluate the forecasting performance of neural modelling relative to that of time seriesmethods at a regional level. Seasonality and volatility are important features of tourism data, which makes it a particularly favourable context in which to compare the forecasting performance of linear models to that of nonlinear alternative approaches. Pre-processed official statistical data of overnight stays and tourist arrivals fromall the different countries of origin to Catalonia from 2001 to 2009 is used in the study. When comparing the forecasting accuracy of the different techniques for different time horizons, autoregressive integrated moving average models outperform self-exciting threshold autoregressions and artificial neural network models, especially for shorter horizons. These results suggest that the there is a trade-off between the degree of pre-processing and the accuracy of the forecasts obtained with neural networks, which are more suitable in the presence of nonlinearity in the data. In spite of the significant differences between countries, which can be explained by different patterns of consumer behaviour,we also find that forecasts of tourist arrivals aremore accurate than forecasts of overnight stays.

Transfer entropy reconstruction and labeling of neuronal connections from simulated calcium imaging

Neuronal dynamics are fundamentally constrained by the underlying structural network architecture, yet much of the details of this synaptic connectivity are still unknown even in neuronal cultures in vitro. Here we extend a previous approach based on information theory, the Generalized Transfer Entropy, to the reconstruction of connectivity of simulated neuronal networks of both excitatory and inhibitory neurons. We show that, due to the model-free nature of the developed measure, both kinds of connections can be reliably inferred if the average firing rate between synchronous burst events exceeds a small minimum frequency. Furthermore, we suggest, based on systematic simulations, that even lower spontaneous inter-burst rates could be raised to meet the requirements of our reconstruction algorithm by applying a weak spatially homogeneous stimulation to the entire network. By combining multiple recordings of the same in silico network before and after pharmacologically blocking inhibitory synaptic transmission, we show then how it becomes possible to infer with high confidence the excitatory or inhibitory nature of each individual neuron.

Integrating defeasible argumentation with fuzzy ART neural networks for pattern classification

Many classification systems rely on clustering techniques in which a collection of training examples is provided as an input, and a number of clusters c1,...cm modelling some concept C results as an output, such that every cluster ci is labelled as positive or negative. Given a new, unlabelled instance enew, the above classification is used to determine to which particular cluster ci this new instance belongs. In such a setting clusters can overlap, and a new unlabelled instance can be assigned to more than one cluster with conflicting labels. In the literature, such a case is usually solved non-deterministically by making a random choice. This paper presents a novel, hybrid approach to solve this situation by combining a neural network for classification along with a defeasible argumentation framework which models preference criteria for performing clustering.

Modelling bird species richness with neural networks for forest landscape management in NE Spain

Para preservar la biodiversidad de los ecosistemas forestales de la Europa mediterránea en escenarios actuales y futuros de cambio global mediante una gestión forestal sostenible es necesario determinar cómo influye el medio ambiente y las propias características de los bosques sobre la biodiversidad que éstos albergan. Con este propósito, se analizó la influencia de diferentes factores ambientales y de estructura y composición del bosque sobre la riqueza de aves forestales a escala 1 × 1 km en Cataluña (NE de España). Se construyeron modelos univariantes y multivariantes de redes neuronales para respectivamente explorar la respuesta individual a las variables y obtener un modelo parsimonioso (ecológicamente interpretable) y preciso. La superficie de bosque (con una fracción de cabida cubierta superior a 5%), la fracción de cabida cubierta media, la temperatura anual y la precipitación estival medias fueron los mejores predictores de la riqueza de aves forestales. La red neuronal multivariante obtenida tuvo una buena capacidad de generalización salvo en las localidades con una mayor riqueza. Además, los bosques con diferentes grados de apertura del dosel arbóreo, más maduros y más diversos en cuanto a su composición de especies arbóreas se asociaron de forma positiva con una mayor riqueza de aves forestales. Finalmente, se proporcionan directrices de gestión para la planificación forestal que permitan promover la diversidad ornítica en esta región de la Europa mediterránea.

Neural mechanisms underlying adaptive actions after slips

An increase in cognitive control has been systematically observed in responses produced immediately after the commission of an error. Such responses show a delay in reaction time (post-error slowing) and an increase in accuracy. To characterize the neurophysiological mechanism involved in the adaptation of cognitive control, we examined oscillatory electrical brain activity by electroencephalogram and its corresponding neural network by event-related functional magnetic resonance imaging in three experiments. We identified a new oscillatory thetabeta component related to the degree of post-error slowing in the correct responses following an erroneous trial. Additionally, we found that the activity of the right dorsolateral prefrontal cortex, the right inferior frontal cortex, and the right superior frontal cortex was correlated with the degree of caution shown in the trial following the commission of an error. Given the overlap between this brain network and the regions activated by the need to inhibit motor responses in a stop-signal manipulation, we conclude that the increase in cognitive control observed after the commission of an error is implemented through the participation of an inhibitory mechanism.

Sistema gràfic de depuració per xarxes (NoC)

Aquest projecte descriu el disseny i desenvolupament d’una eina gràfica per a la depuració de projectes desenvolupats amb un llenguatge de descripció de sistemes com és el SystemC. Amb aquest llenguatge s’ha desenvolupat una NoC (Network on Chip). L’eina desenvolupada mostra de forma visual l’arquitectura de la xarxa NoC, els valors dels senyals que es transmeten a través de la xarxa i estadístiques sobre aquests per tal de poder fer un seguiment exhaustiu i agilitzar la recerca d’errors com interbloquejos, pèrdua de dades i d’altres. Al concentrar en un únic entorn la descripció de la NoC i les dades relatives a les senyals en temps de simulació, proporciona un valor afegit a altres eines disponibles per a realitzar aquesta tasca.

Design of Novel Frequency Generation Circuit with Application to Ultra-Wideband Distributed Oscillators

Given the urgence of a new paradigm in wireless digital trasmission which should allow for higher bit rate, lower latency and tigher delay constaints, it has been proposed to investigate the fundamental building blocks that at the circuital/device level, will boost the change towards a more efficient network architecture, with high capacity, higher bandwidth and a more satisfactory end user experience. At the core of each transciever, there are inherently analog devices capable of providing the carrier signal, the oscillators. It is strongly believed that many limitations in today's communication protocols, could be relieved by permitting high carrier frequency radio transmission, and having some degree of reconfigurability. This led us to studying distributed oscillator architectures which work in the microwave range and possess wideband tuning capability. As microvave oscillators are essentially nonlinear devices, a full nonlinear analyis, synthesis, and optimization had to be considered for their implementation. Consequently, all the most used nonlinear numerical techniques in commercial EDA software had been reviewed. An application of all the aforementioned techniques has been shown, considering a systems of three coupled oscillator ("triple push" oscillator) in which the stability of the various oscillating modes has been studied. Provided that a certain phase distribution is maintained among the oscillating elements, this topology permits a rise in the output power of the third harmonic; nevertheless due to circuit simmetry, "unwanted" oscillating modes coexist with the intenteded one. Starting with the necessary background on distributed amplification and distributed oscillator theory, the design of a four stage reverse mode distributed voltage controlled oscillator (DVCO) using lumped elments has been presented. All the design steps have been reported and for the first time a method for an optimized design with reduced variations in the output power has been presented. Ongoing work is devoted to model a wideband DVCO and to implement a frequency divider.

Using self organizing maps on compositional data

Self-organizing maps (Kohonen 1997) is a type of artificial neural network developedto explore patterns in high-dimensional multivariate data. The conventional versionof the algorithm involves the use of Euclidean metric in the process of adaptation ofthe model vectors, thus rendering in theory a whole methodology incompatible withnon-Euclidean geometries.In this contribution we explore the two main aspects of the problem:1. Whether the conventional approach using Euclidean metric can shed valid resultswith compositional data.2. If a modification of the conventional approach replacing vectorial sum and scalarmultiplication by the canonical operators in the simplex (i.e. perturbation andpowering) can converge to an adequate solution.Preliminary tests showed that both methodologies can be used on compositional data.However, the modified version of the algorithm performs poorer than the conventionalversion, in particular, when the data is pathological. Moreover, the conventional ap-proach converges faster to a solution, when data is \well-behaved".Key words: Self Organizing Map; Artificial Neural networks; Compositional data

Hybrid coordination of reinforcement learning-based behaviors for AUV control

This paper proposes a hybrid coordination method for behavior-based control architectures. The hybrid method takes advantages of the robustness and modularity in competitive approaches as well as optimized trajectories in cooperative ones. This paper shows the feasibility of applying this hybrid method with a 3D-navigation to an autonomous underwater vehicle (AUV). The behaviors are learnt online by means of reinforcement learning. A continuous Q-learning implemented with a feed-forward neural network is employed. Realistic simulations were carried out. The results obtained show the good performance of the hybrid method on behavior coordination as well as the convergence of the behaviors

A behavior-based scheme using reinforcement learning for autonomous underwater vehicles

This paper presents a hybrid behavior-based scheme using reinforcement learning for high-level control of autonomous underwater vehicles (AUVs). Two main features of the presented approach are hybrid behavior coordination and semi on-line neural-Q_learning (SONQL). Hybrid behavior coordination takes advantages of robustness and modularity in the competitive approach as well as efficient trajectories in the cooperative approach. SONQL, a new continuous approach of the Q_learning algorithm with a multilayer neural network is used to learn behavior state/action mapping online. Experimental results show the feasibility of the presented approach for AUVs