Neural network DEA for measuring the efficiency of mutual funds

Efficiency in the mutual fund (MF), is one of the issues that has attracted many investors in countries with advanced financial market for many years. Due to the need for frequent study of MF's efficiency in short-term periods, investors need a method that not only has high accuracy, but also high speed. Data envelopment analysis (DEA) is proven to be one of the most widely used methods in the measurement of the efficiency and productivity of decision making units (DMUs). DEA for a large dataset with many inputs/outputs would require huge computer resources in terms of memory and CPU time. This paper uses neural network back-ropagation DEA in measurement of mutual funds efficiency and shows the requirements, in the proposed method, for computer memory and CPU time are far less than that needed by conventional DEA methods and can therefore be a useful tool in measuring the efficiency of a large set of MFs. Copyright © 2014 Inderscience Enterprises Ltd.

Evaluation efficiency of large-scale data set with negative data:an artificial neural network approach

Data envelopment analysis (DEA) is the most widely used methods for measuring the efficiency and productivity of decision-making units (DMUs). The need for huge computer resources in terms of memory and CPU time in DEA is inevitable for a large-scale data set, especially with negative measures. In recent years, wide ranges of studies have been conducted in the area of artificial neural network and DEA combined methods. In this study, a supervised feed-forward neural network is proposed to evaluate the efficiency and productivity of large-scale data sets with negative values in contrast to the corresponding DEA method. Results indicate that the proposed network has some computational advantages over the corresponding DEA models; therefore, it can be considered as a useful tool for measuring the efficiency of DMUs with (large-scale) negative data.

On Logical Correction of Neural Network Algorithms for Pattern Recognition

The paper is devoted to the description of hybrid pattern recognition method developed by research groups from Russia, Armenia and Spain. The method is based upon logical correction over the set of conventional neural networks. Output matrices of neural networks are processed according to the potentiality principle which allows increasing of recognition reliability.

Neural Network Based Optimal Control with Constraints

In the present paper the problems of the optimal control of systems when constraints are imposed on the control is considered. The optimality conditions are given in the form of Pontryagin’s maximum principle. The obtained piecewise linear function is approximated by using feedforward neural network. A numerical example is given.

Neural Network Based Approach for Developing the Enterprise Strategy

Modern enterprises work in highly dynamic environment. Thus, the developing of company strategy is of crucial importance. It determines the surviving of the enterprise and its evolution. Adapting the desired management goal in accordance with the environment changes is a complex problem. In the present paper, an approach for solving this problem is suggested. It is based on predictive control philosophy. The enterprise is modelled as a cybernetic system and the future plant response is predicted by a neural network model. The predictions are passed to an optimization routine, which attempts to minimize the quadratic performance criterion.

Neural Control of Chaos and Aplications

Signal processing is an important topic in technological research today. In the areas of nonlinear dynamics search, the endeavor to control or order chaos is an issue that has received increasing attention over the last few years. Increasing interest in neural networks composed of simple processing elements (neurons) has led to widespread use of such networks to control dynamic systems learning. This paper presents backpropagation-based neural network architecture that can be used as a controller to stabilize unsteady periodic orbits. It also presents a neural network-based method for transferring the dynamics among attractors, leading to more efficient system control. The procedure can be applied to every point of the basin, no matter how far away from the attractor they are. Finally, this paper shows how two mixed chaotic signals can be controlled using a backpropagation neural network as a filter to separate and control both signals at the same time. The neural network provides more effective control, overcoming the problems that arise with control feedback methods. Control is more effective because it can be applied to the system at any point, even if it is moving away from the target state, which prevents waiting times. Also control can be applied even if there is little information about the system and remains stable longer even in the presence of random dynamic noise.

Training a Linear Neural Network with a Stable LSP Solution for Jamming Cancellation

Two jamming cancellation algorithms are developed based on a stable solution of least squares problem (LSP) provided by regularization. They are based on filtered singular value decomposition (SVD) and modifications of the Greville formula. Both algorithms allow an efficient hardware implementation. Testing results on artificial data modeling difficult real-world situations are also provided.

Practical, Computation Efficient High-Order Neural Network for Rotation and Shift Invariant Pattern Recognition

In this paper, a modification for the high-order neural network (HONN) is presented. Third order networks are considered for achieving translation, rotation and scale invariant pattern recognition. They require however much storage and computation power for the task. The proposed modified HONN takes into account a priori knowledge of the binary patterns that have to be learned, achieving significant gain in computation time and memory requirements. This modification enables the efficient computation of HONNs for image fields of greater that 100 × 100 pixels without any loss of pattern information.

The Cascade Orthogonal Neural Network

In the paper new non-conventional growing neural network is proposed. It coincides with the Cascade- Correlation Learning Architecture structurally, but uses ortho-neurons as basic structure units, which can be adjusted using linear tuning procedures. As compared with conventional approximating neural networks proposed approach allows significantly to reduce time required for weight coefficients adjustment and the training dataset size.

Outliers Resistant Learning Algorithm for Radial-basis-fuzzy-wavelet-neural Network in Stomach Acute Injury Diagnosis Tasks

In this paper an outliers resistant learning algorithm for the radial-basis-fuzzy-wavelet-neural network based on R. Welsh criterion is proposed. Suggested learning algorithm under consideration allows the signals processing in presence of significant noise level and outliers. The robust learning algorithm efficiency is investigated and confirmed by the number of experiments including medical applications.

Bayesian neural network approach for determining the risk of re-intervention after endovascular aortic aneurysm repair

This article proposes a Bayesian neural network approach to determine the risk of re-intervention after endovascular aortic aneurysm repair surgery. The target of proposed technique is to determine which patients have high chance to re-intervention (high-risk patients) and which are not (low-risk patients) after 5 years of the surgery. Two censored datasets relating to the clinical conditions of aortic aneurysms have been collected from two different vascular centers in the United Kingdom. A Bayesian network was first employed to solve the censoring issue in the datasets. Then, a back propagation neural network model was built using the uncensored data of the first center to predict re-intervention on the second center and classify the patients into high-risk and low-risk groups. Kaplan-Meier curves were plotted for each group of patients separately to show whether there is a significant difference between the two risk groups. Finally, the logrank test was applied to determine whether the neural network model was capable of predicting and distinguishing between the two risk groups. The results show that the Bayesian network used for uncensoring the data has improved the performance of the neural networks that were built for the two centers separately. More importantly, the neural network that was trained with uncensored data of the first center was able to predict and discriminate between groups of low risk and high risk of re-intervention after 5 years of endovascular aortic aneurysm surgery at center 2 (p = 0.0037 in the logrank test).

Trained Neural Network Characterizing Variables for Predicting Organic Retention by Nanofiltration Membranes

Many organic compounds cause an irreversible damage to human health and the ecosystem and are present in water resources. Among these hazard substances, phenolic compounds play an important role on the actual contamination. Utilization of membrane technology is increasing exponentially in drinking water production and waste water treatment. The removal of organic compounds by nanofiltration membranes is characterized not only by molecular sieving effects but also by membrane-solute interactions. Influence of the sieving parameters (molecular weight and molecular diameter) and the physicochemical interactions (dissociation constant and molecular hydrophobicity) on the membrane rejection of the organic solutes were studied. The molecular hydrophobicity is expressed as logarithm of octanol-water partition coefficient. This paper proposes a method used that can be used for symbolic knowledge extraction from a trained neural network, once they have been trained with the desired performance and is based on detect the more important variables in problems where exist multicolineality among the input variables.

Self-Learning Fuzzy Spiking Neural Network as a Nonlinear Pulse-Position Threshold Detection Dynamic System Based on Second-Order Critically Damped Response Units

Architecture and learning algorithm of self-learning spiking neural network in fuzzy clustering task are outlined. Fuzzy receptive neurons for pulse-position transformation of input data are considered. It is proposed to treat a spiking neural network in terms of classical automatic control theory apparatus based on the Laplace transform. It is shown that synapse functioning can be easily modeled by a second order damped response unit. Spiking neuron soma is presented as a threshold detection unit. Thus, the proposed fuzzy spiking neural network is an analog-digital nonlinear pulse-position dynamic system. It is demonstrated how fuzzy probabilistic and possibilistic clustering approaches can be implemented on the base of the presented spiking neural network.

Driving licensing renewal policy using neural network-based probabilistic decision support system

This paper investigates neural network-based probabilistic decision support system to assess drivers' knowledge for the objective of developing a renewal policy of driving licences. The probabilistic model correlates drivers' demographic data to their results in a simulated written driving exam (SWDE). The probabilistic decision support system classifies drivers' into two groups of passing and failing a SWDE. Knowledge assessment of drivers within a probabilistic framework allows quantifying and incorporating uncertainty information into the decision-making system. The results obtained in a Jordanian case study indicate that the performance of the probabilistic decision support systems is more reliable than conventional deterministic decision support systems. Implications of the proposed probabilistic decision support systems on the renewing of the driving licences decision and the possibility of including extra assessment methods are discussed.

Fibre impairment compensation using artificial neural network equalizer for high-capacity coherent optical OFDM signals

We propose an artificial neural network (ANN) equalizer for transmission performance enhancement of coherent optical OFDM (C-OOFDM) signals. The ANN equalizer showed more efficiency in combating both chromatic dispersion (CD) and single-mode fibre (SMF)-induced non-linearities compared to the least mean square (LMS). The equalizer can offer a 1.5 dB improvement in optical signal-to-noise ratio (OSNR) compared to LMS algorithm for 40 Gbit/s C-OOFDM signals when considering only CD. It is also revealed that ANN can double the transmission distance up to 320 km of SMF compared to the case of LMS, providing a nonlinearity tolerance improvement of ∼0.7 dB OSNR.