Estimating conditional volatility with neural networks

It is well known that one of the obstacles to effective forecasting of exchange rates is heteroscedasticity (non-stationary conditional variance). The autoregressive conditional heteroscedastic (ARCH) model and its variants have been used to estimate a time dependent variance for many financial time series. However, such models are essentially linear in form and we can ask whether a non-linear model for variance can improve results just as non-linear models (such as neural networks) for the mean have done. In this paper we consider two neural network models for variance estimation. Mixture Density Networks (Bishop 1994, Nix and Weigend 1994) combine a Multi-Layer Perceptron (MLP) and a mixture model to estimate the conditional data density. They are trained using a maximum likelihood approach. However, it is known that maximum likelihood estimates are biased and lead to a systematic under-estimate of variance. More recently, a Bayesian approach to parameter estimation has been developed (Bishop and Qazaz 1996) that shows promise in removing the maximum likelihood bias. However, up to now, this model has not been used for time series prediction. Here we compare these algorithms with two other models to provide benchmark results: a linear model (from the ARIMA family), and a conventional neural network trained with a sum-of-squares error function (which estimates the conditional mean of the time series with a constant variance noise model). This comparison is carried out on daily exchange rate data for five currencies.

First year qualifying report: neural networks for extracting wind vectors from satellite scatterometer data

The ERS-1 Satellite was launched in July 1991 by the European Space Agency into a polar orbit at about km800, carrying a C-band scatterometer. A scatterometer measures the amount of radar back scatter generated by small ripples on the ocean surface induced by instantaneous local winds. Operational methods that extract wind vectors from satellite scatterometer data are based on the local inversion of a forward model, mapping scatterometer observations to wind vectors, by the minimisation of a cost function in the scatterometer measurement space.par This report uses mixture density networks, a principled method for modelling conditional probability density functions, to model the joint probability distribution of the wind vectors given the satellite scatterometer measurements in a single cell (the `inverse' problem). The complexity of the mapping and the structure of the conditional probability density function are investigated by varying the number of units in the hidden layer of the multi-layer perceptron and the number of kernels in the Gaussian mixture model of the mixture density network respectively. The optimal model for networks trained per trace has twenty hidden units and four kernels. Further investigation shows that models trained with incidence angle as an input have results comparable to those models trained by trace. A hybrid mixture density network that incorporates geophysical knowledge of the problem confirms other results that the conditional probability distribution is dominantly bimodal.par The wind retrieval results improve on previous work at Aston, but do not match other neural network techniques that use spatial information in the inputs, which is to be expected given the ambiguity of the inverse problem. Current work uses the local inverse model for autonomous ambiguity removal in a principled Bayesian framework. Future directions in which these models may be improved are given.

Dynamic causal modeling of load-dependent modulation of effective connectivity within the verbal working memory network

Neuroimaging studies have consistently shown that working memory (WM) tasks engage a distributed neural network that primarily includes the dorsolateral prefrontal cortex, the parietal cortex, and the anterior cingulate cortex. The current challenge is to provide a mechanistic account of the changes observed in regional activity. To achieve this, we characterized neuroplastic responses in effective connectivity between these regions at increasing WM loads using dynamic causal modeling of functional magnetic resonance imaging data obtained from healthy individuals during a verbal n-back task. Our data demonstrate that increasing memory load was associated with (a) right-hemisphere dominance, (b) increasing forward (i.e., posterior to anterior) effective connectivity within the WM network, and (c) reduction in individual variability in WM network architecture resulting in the right-hemisphere forward model reaching an exceedance probability of 99% in the most demanding condition. Our results provide direct empirical support that task difficulty, in our case WM load, is a significant moderator of short-term plasticity, complementing existing theories of task-related reduction in variability in neural networks. Hum Brain Mapp, 2013. © 2013 Wiley Periodicals, Inc.

How the brain blinks:towards a neurocognitive model of the attentional blink

When people monitor a visual stream of rapidly presented stimuli for two targets (T1 and T2), they often miss T2 if it falls into a time window of about half a second after T1 onset—the attentional blink (AB). We provide an overview of recent neuroscientific studies devoted to analyze the neural processes underlying the AB and their temporal dynamics. The available evidence points to an attentional network involving temporal, right-parietal and frontal cortex, and suggests that the components of this neural network interact by means of synchronization and stimulus-induced desynchronization in the beta frequency range. We set up a neurocognitive scenario describing how the AB might emerge and why it depends on the presence of masks and the other event(s) the targets are embedded in. The scenario supports the idea that the AB arises from ‘‘biased competition’’, with the top–down bias being generated by parietal–frontal interactions and the competition taking place between stimulus codes in temporal cortex.

Laser-induced breakdown spectroscopy quantitative analysis method via adaptive analytical line selection and relevance vector machine regression model

Abstract A new LIBS quantitative analysis method based on analytical line adaptive selection and Relevance Vector Machine (RVM) regression model is proposed. First, a scheme of adaptively selecting analytical line is put forward in order to overcome the drawback of high dependency on a priori knowledge. The candidate analytical lines are automatically selected based on the built-in characteristics of spectral lines, such as spectral intensity, wavelength and width at half height. The analytical lines which will be used as input variables of regression model are determined adaptively according to the samples for both training and testing. Second, an LIBS quantitative analysis method based on RVM is presented. The intensities of analytical lines and the elemental concentrations of certified standard samples are used to train the RVM regression model. The predicted elemental concentration analysis results will be given with a form of confidence interval of probabilistic distribution, which is helpful for evaluating the uncertainness contained in the measured spectra. Chromium concentration analysis experiments of 23 certified standard high-alloy steel samples have been carried out. The multiple correlation coefficient of the prediction was up to 98.85%, and the average relative error of the prediction was 4.01%. The experiment results showed that the proposed LIBS quantitative analysis method achieved better prediction accuracy and better modeling robustness compared with the methods based on partial least squares regression, artificial neural network and standard support vector machine.

Exploration by Means of Computer Simulation of Nonlinear Hierarchical Structure of Neuronal Memory on the Model of Olfactory Bulb

Results of numerical experiments are introduced. Experiments were carried out by means of computer simulation on olfactory bulb for the purpose of checking of thinking mechanisms conceptual model, introduced in [2]. Key role of quasisymbol neurons in processes of pattern identification, existence of mental view, functions of cyclic connections between symbol and quasisymbol neurons as short-term memory, important role of synaptic plasticity in learning processes are confirmed numerically. Correctness of fundamental ideas put in base of conceptual model is confirmed on olfactory bulb at quantitative level.

Neural Networks: A Diagnostic Tool for Gastric Electrical Uncoupling?

Neural Networks have been successfully employed in different biomedical settings. They have been useful for feature extractions from images and biomedical data in a variety of diagnostic applications. In this paper, they are applied as a diagnostic tool for classifying different levels of gastric electrical uncoupling in controlled acute experiments on dogs. Data was collected from 16 dogs using six bipolar electrodes inserted into the serosa of the antral wall. Each dog underwent three recordings under different conditions: (1) basal state, (2) mild surgically-induced uncoupling, and (3) severe surgically-induced uncoupling. For each condition half-hour recordings were made. The neural network was implemented according to the Learning Vector Quantization model. This is a supervised learning model of the Kohonen Self-Organizing Maps. Majority of the recordings collected from the dogs were used for network training. Remaining recordings served as a testing tool to examine the validity of the training procedure. Approximately 90% of the dogs from the neural network training set were classified properly. However, only 31% of the dogs not included in the training process were accurately diagnosed. The poor neural-network based diagnosis of recordings that did not participate in the training process might have been caused by inappropriate representation of input data. Previous research has suggested characterizing signals according to certain features of the recorded data. This method, if employed, would reduce the noise and possibly improve the diagnostic abilities of the neural network.

A mixture density network approach to modelling and exploiting uncertainty in nonlinear control problems

In nonlinear and stochastic control problems, learning an efficient feed-forward controller is not amenable to conventional neurocontrol methods. For these approaches, estimating and then incorporating uncertainty in the controller and feed-forward models can produce more robust control results. Here, we introduce a novel inversion-based neurocontroller for solving control problems involving uncertain nonlinear systems which could also compensate for multi-valued systems. The approach uses recent developments in neural networks, especially in the context of modelling statistical distributions, which are applied to forward and inverse plant models. Provided that certain conditions are met, an estimate of the intrinsic uncertainty for the outputs of neural networks can be obtained using the statistical properties of networks. More generally, multicomponent distributions can be modelled by the mixture density network. Based on importance sampling from these distributions a novel robust inverse control approach is obtained. This importance sampling provides a structured and principled approach to constrain the complexity of the search space for the ideal control law. The developed methodology circumvents the dynamic programming problem by using the predicted neural network uncertainty to localise the possible control solutions to consider. A nonlinear multi-variable system with different delays between the input-output pairs is used to demonstrate the successful application of the developed control algorithm. The proposed method is suitable for redundant control systems and allows us to model strongly non-Gaussian distributions of control signal as well as processes with hysteresis. © 2004 Elsevier Ltd. All rights reserved.

Learning user and product distributed representations using a sequence model for sentiment analysis

In product reviews, it is observed that the distribution of polarity ratings over reviews written by different users or evaluated based on different products are often skewed in the real world. As such, incorporating user and product information would be helpful for the task of sentiment classification of reviews. However, existing approaches ignored the temporal nature of reviews posted by the same user or evaluated on the same product. We argue that the temporal relations of reviews might be potentially useful for learning user and product embedding and thus propose employing a sequence model to embed these temporal relations into user and product representations so as to improve the performance of document-level sentiment analysis. Specifically, we first learn a distributed representation of each review by a one-dimensional convolutional neural network. Then, taking these representations as pretrained vectors, we use a recurrent neural network with gated recurrent units to learn distributed representations of users and products. Finally, we feed the user, product and review representations into a machine learning classifier for sentiment classification. Our approach has been evaluated on three large-scale review datasets from the IMDB and Yelp. Experimental results show that: (1) sequence modeling for the purposes of distributed user and product representation learning can improve the performance of document-level sentiment classification; (2) the proposed approach achieves state-of-The-Art results on these benchmark datasets.

Critério de correntropia no treinamento de redes fuzzy wavelet neural networks para identificação de sistemas dinâmicos não lineares

The great interest in nonlinear system identification is mainly due to the fact that a large amount of real systems are complex and need to have their nonlinearities considered so that their models can be successfully used in applications of control, prediction, inference, among others. This work evaluates the application of Fuzzy Wavelet Neural Networks (FWNN) to identify nonlinear dynamical systems subjected to noise and outliers. Generally, these elements cause negative effects on the identification procedure, resulting in erroneous interpretations regarding the dynamical behavior of the system. The FWNN combines in a single structure the ability to deal with uncertainties of fuzzy logic, the multiresolution characteristics of wavelet theory and learning and generalization abilities of the artificial neural networks. Usually, the learning procedure of these neural networks is realized by a gradient based method, which uses the mean squared error as its cost function. This work proposes the replacement of this traditional function by an Information Theoretic Learning similarity measure, called correntropy. With the use of this similarity measure, higher order statistics can be considered during the FWNN training process. For this reason, this measure is more suitable for non-Gaussian error distributions and makes the training less sensitive to the presence of outliers. In order to evaluate this replacement, FWNN models are obtained in two identification case studies: a real nonlinear system, consisting of a multisection tank, and a simulated system based on a model of the human knee joint. The results demonstrate that the application of correntropy as the error backpropagation algorithm cost function makes the identification procedure using FWNN models more robust to outliers. However, this is only achieved if the gaussian kernel width of correntropy is properly adjusted.

Glia-augmented artificial neural networks: foundations and applications

Information processing in the human brain has always been considered as a source of inspiration in Artificial Intelligence; in particular, it has led researchers to develop different tools such as artificial neural networks. Recent findings in Neurophysiology provide evidence that not only neurons but also isolated and networks of astrocytes are responsible for processing information in the human brain. Artificial neural net- works (ANNs) model neuron-neuron communications. Artificial neuron-glia networks (ANGN), in addition to neuron-neuron communications, model neuron-astrocyte con- nections. In continuation of the research on ANGNs, first we propose, and evaluate a model of adaptive neuro fuzzy inference systems augmented with artificial astrocytes. Then, we propose a model of ANGNs that captures the communications of astrocytes in the brain; in this model, a network of artificial astrocytes are implemented on top of a typical neural network. The results of the implementation of both networks show that on certain combinations of parameter values specifying astrocytes and their con- nections, the new networks outperform typical neural networks. This research opens a range of possibilities for future work on designing more powerful architectures of artificial neural networks that are based on more realistic models of the human brain.

Application of multivariable control using artificial neural networks in a debutanizer distillation column

LOPES, Jose Soares Batista et al. Application of multivariable control using artificial neural networks in a debutanizer distillation column.In: INTERNATIONAL CONGRESS OF MECHANICAL ENGINEERING - COBEM, 19, 5-9 nov. 2007, Brasilia. Anais... Brasilia, 2007

Model-driven development of sensor network applications with optimization of non-functional constraints

Wireless sensor networks (WSNs) differ from conventional distributed systems in many aspects. The resource limitation of sensor nodes, the ad-hoc communication and topology of the network, coupled with an unpredictable deployment environment are difficult non-functional constraints that must be carefully taken into account when developing software systems for a WSN. Thus, more research needs to be done on designing, implementing and maintaining software for WSNs. This thesis aims to contribute to research being done in this area by presenting an approach to WSN application development that will improve the reusability, flexibility, and maintainability of the software. Firstly, we present a programming model and software architecture aimed at describing WSN applications, independently of the underlying operating system and hardware. The proposed architecture is described and realized using the Model-Driven Architecture (MDA) standard in order to achieve satisfactory levels of encapsulation and abstraction when programming sensor nodes. Besides, we study different non-functional constrains of WSN application and propose two approaches to optimize the application to satisfy these constrains. A real prototype framework was built to demonstrate the developed solutions in the thesis. The framework implemented the programming model and the multi-layered software architecture as components. A graphical interface, code generation components and supporting tools were also included to help developers design, implement, optimize, and test the WSN software. Finally, we evaluate and critically assess the proposed concepts. Two case studies are provided to support the evaluation. The first case study, a framework evaluation, is designed to assess the ease at which novice and intermediate users can develop correct and power efficient WSN applications, the portability level achieved by developing applications at a high-level of abstraction, and the estimated overhead due to usage of the framework in terms of the footprint and executable code size of the application. In the second case study, we discuss the design, implementation and optimization of a real-world application named TempSense, where a sensor network is used to monitor the temperature within an area.

A comparison of sound localisation techniques using cross-correlation and spiking neural networks for mobile robotics

This paper outlines the development of a crosscorrelation algorithm and a spiking neural network (SNN) for sound localisation based on real sound recorded in a noisy and dynamic environment by a mobile robot. The SNN architecture aims to simulate the sound localisation ability of the mammalian auditory pathways by exploiting the binaural cue of interaural time difference (ITD). The medial superior olive was the inspiration for the SNN architecture which required the integration of an encoding layer which produced biologically realistic spike trains, a model of the bushy cells found in the cochlear nucleus and a supervised learning algorithm. The experimental results demonstrate that biologically inspired sound localisation achieved using a SNN can compare favourably to the more classical technique of cross-correlation.

Application of multivariable control using artificial neural networks in a debutanizer distillation column

LOPES, Jose Soares Batista et al. Application of multivariable control using artificial neural networks in a debutanizer distillation column.In: INTERNATIONAL CONGRESS OF MECHANICAL ENGINEERING - COBEM, 19, 5-9 nov. 2007, Brasilia. Anais... Brasilia, 2007