Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model

Predição não-linear de curvas de produção de petróleo via redes neurais recursivas

One of the main activities in the petroleum engineering is to estimate the oil production in the existing oil reserves. The calculation of these reserves is crucial to determine the economical feasibility of your explotation. Currently, the petroleum industry is facing problems to analyze production due to the exponentially increasing amount of data provided by the production facilities. Conventional reservoir modeling techniques like numerical reservoir simulation and visualization were well developed and are available. This work proposes intelligent methods, like artificial neural networks, to predict the oil production and compare the results with the ones obtained by the numerical simulation, method quite a lot used in the practice to realization of the oil production prediction behavior. The artificial neural networks will be used due your learning, adaptation and interpolation capabilities

Um sistema para a inferência de variáveis usando redes neurais artificiais

This work aims to obtain a low-cost virtual sensor to estimate the quality of LPG. For the acquisition of data from a distillation tower, software HYSYS ® was used to simulate chemical processes. These data will be used for training and validation of an Artificial Neural Network (ANN). This network will aim to estimate from available simulated variables such as temperature, pressure and discharge flow of a distillation tower, the mole fraction of pentane present in LPG. Thus, allowing a better control of product quality

Emprego de redes neurais artificiais supervisionadas e não supervisionadas no estudo de parâmetros reológicos de excipientes farmacêuticos sólidos

In this paper artificial neural network (ANN) based on supervised and unsupervised algorithms were investigated for use in the study of rheological parameters of solid pharmaceutical excipients, in order to develop computational tools for manufacturing solid dosage forms. Among four supervised neural networks investigated, the best learning performance was achieved by a feedfoward multilayer perceptron whose architectures was composed by eight neurons in the input layer, sixteen neurons in the hidden layer and one neuron in the output layer. Learning and predictive performance relative to repose angle was poor while to Carr index and Hausner ratio (CI and HR, respectively) showed very good fitting capacity and learning, therefore HR and CI were considered suitable descriptors for the next stage of development of supervised ANNs. Clustering capacity was evaluated for five unsupervised strategies. Network based on purely unsupervised competitive strategies, classic "Winner-Take-All", "Frequency-Sensitive Competitive Learning" and "Rival-Penalize Competitive Learning" (WTA, FSCL and RPCL, respectively) were able to perform clustering from database, however this classification was very poor, showing severe classification errors by grouping data with conflicting properties into the same cluster or even the same neuron. On the other hand it could not be established what was the criteria adopted by the neural network for those clustering. Self-Organizing Maps (SOM) and Neural Gas (NG) networks showed better clustering capacity. Both have recognized the two major groupings of data corresponding to lactose (LAC) and cellulose (CEL). However, SOM showed some errors in classify data from minority excipients, magnesium stearate (EMG) , talc (TLC) and attapulgite (ATP). NG network in turn performed a very consistent classification of data and solve the misclassification of SOM, being the most appropriate network for classifying data of the study. The use of NG network in pharmaceutical technology was still unpublished. NG therefore has great potential for use in the development of software for use in automated classification systems of pharmaceutical powders and as a new tool for mining and clustering data in drug development

Classificação de distúrbios na rede elétrica usando redes neurais e wavelets

Post dispatch analysis of signals obtained from digital disturbances registers provide important information to identify and classify disturbances in systems, looking for a more efficient management of the supply. In order to enhance the task of identifying and classifying the disturbances - providing an automatic assessment - techniques of digital signal processing can be helpful. The Wavelet Transform has become a very efficient tool for the analysis of voltage or current signals, obtained immediately after disturbance s occurrences in the network. This work presents a methodology based on the Discrete Wavelet Transform to implement this process. It uses a comparison between distribution curves of signals energy, with and without disturbance. This is done for different resolution levels of its decomposition in order to obtain descriptors that permit its classification, using artificial neural networks

Análise e otimização de superfícies seletivas de Frequência utilizando redes neurais artificiais e algoritmos de otimização natural

The bidimensional periodic structures called frequency selective surfaces have been well investigated because of their filtering properties. Similar to the filters that work at the traditional radiofrequency band, such structures can behave as band-stop or pass-band filters, depending on the elements of the array (patch or aperture, respectively) and can be used for a variety of applications, such as: radomes, dichroic reflectors, waveguide filters, artificial magnetic conductors, microwave absorbers etc. To provide high-performance filtering properties at microwave bands, electromagnetic engineers have investigated various types of periodic structures: reconfigurable frequency selective screens, multilayered selective filters, as well as periodic arrays printed on anisotropic dielectric substrates and composed by fractal elements. In general, there is no closed form solution directly from a given desired frequency response to a corresponding device; thus, the analysis of its scattering characteristics requires the application of rigorous full-wave techniques. Besides that, due to the computational complexity of using a full-wave simulator to evaluate the frequency selective surface scattering variables, many electromagnetic engineers still use trial-and-error process until to achieve a given design criterion. As this procedure is very laborious and human dependent, optimization techniques are required to design practical periodic structures with desired filter specifications. Some authors have been employed neural networks and natural optimization algorithms, such as the genetic algorithms and the particle swarm optimization for the frequency selective surface design and optimization. This work has as objective the accomplishment of a rigorous study about the electromagnetic behavior of the periodic structures, enabling the design of efficient devices applied to microwave band. For this, artificial neural networks are used together with natural optimization techniques, allowing the accurate and efficient investigation of various types of frequency selective surfaces, in a simple and fast manner, becoming a powerful tool for the design and optimization of such structures

Uma Aplicação de Redes Neurais Auto-Organizaveis à Reconstrução Tridimensional de Superfícies

We propose a multi-resolution approach for surface reconstruction from clouds of unorganized points representing an object surface in 3D space. The proposed method uses a set of mesh operators and simple rules for selective mesh refinement, with a strategy based on Kohonen s self-organizing map. Basically, a self-adaptive scheme is used for iteratively moving vertices of an initial simple mesh in the direction of the set of points, ideally the object boundary. Successive refinement and motion of vertices are applied leading to a more detailed surface, in a multi-resolution, iterative scheme. Reconstruction was experimented with several point sets, induding different shapes and sizes. Results show generated meshes very dose to object final shapes. We include measures of performance and discuss robustness.

Contribuições à análise de robustez de sistemas de controle usando redes neurais

This work develops a robustness analysis with respect to the modeling errors, being applied to the strategies of indirect control using Artificial Neural Networks - ANN s, belong to the multilayer feedforward perceptron class with on-line training based on gradient method (backpropagation). The presented schemes are called Indirect Hybrid Control and Indirect Neural Control. They are presented two Robustness Theorems, being one for each proposed indirect control scheme, which allow the computation of the maximum steady-state control error that will occur due to the modeling error what is caused by the neural identifier, either for the closed loop configuration having a conventional controller - Indirect Hybrid Control, or for the closed loop configuration having a neural controller - Indirect Neural Control. Considering that the robustness analysis is restrict only to the steady-state plant behavior, this work also includes a stability analysis transcription that is suitable for multilayer perceptron class of ANN s trained with backpropagation algorithm, to assure the convergence and stability of the used neural systems. By other side, the boundness of the initial transient behavior is assured by the assumption that the plant is BIBO (Bounded Input, Bounded Output) stable. The Robustness Theorems were tested on the proposed indirect control strategies, while applied to regulation control of simulated examples using nonlinear plants, and its results are presented

Detecção e isolamento de falhas em sistemas dinâmicos baseados em redes neurais

This master dissertation presents the development of a fault detection and isolation system based in neural network. The system is composed of two parts: an identification subsystem and a classification subsystem. Both of the subsystems use neural network techniques with multilayer perceptron training algorithm. Two approaches for identifica-tion stage were analyzed. The fault classifier uses only residue signals from the identification subsystem. To validate the proposal we have done simulation and real experiments in a level system with two water reservoirs. Several faults were generated above this plant and the proposed fault detection system presented very acceptable behavior. In the end of this work we highlight the main difficulties found in real tests that do not exist when it works only with simulation environments

Algoritmos genéticos e processamento paralelo aplicados à definição e treinamento de redes neurais perceptron de múltiplas camadas

ln this work, it was deveIoped a parallel cooperative genetic algorithm with different evolution behaviors to train and to define architectures for MuItiIayer Perceptron neural networks. MuItiIayer Perceptron neural networks are very powerful tools and had their use extended vastIy due to their abiIity of providing great resuIts to a broad range of appIications. The combination of genetic algorithms and parallel processing can be very powerful when applied to the Iearning process of the neural network, as well as to the definition of its architecture since this procedure can be very slow, usually requiring a lot of computational time. AIso, research work combining and appIying evolutionary computation into the design of neural networks is very useful since most of the Iearning algorithms deveIoped to train neural networks only adjust their synaptic weights, not considering the design of the networks architecture. Furthermore, the use of cooperation in the genetic algorithm allows the interaction of different populations, avoiding local minima and helping in the search of a promising solution, acceIerating the evolutionary process. Finally, individuaIs and evolution behavior can be exclusive on each copy of the genetic algorithm running in each task enhancing the diversity of populations