International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks

The performance of various statistical models and commonly used financial indicators for forecasting securitised real estate returns are examined for five European countries: the UK, Belgium, the Netherlands, France and Italy. Within a VAR framework, it is demonstrated that the gilt-equity yield ratio is in most cases a better predictor of securitized returns than the term structure or the dividend yield. In particular, investors should consider in their real estate return models the predictability of the gilt-equity yield ratio in Belgium, the Netherlands and France, and the term structure of interest rates in France. Predictions obtained from the VAR and univariate time-series models are compared with the predictions of an artificial neural network model. It is found that, whilst no single model is universally superior across all series, accuracy measures and horizons considered, the neural network model is generally able to offer the most accurate predictions for 1-month horizons. For quarterly and half-yearly forecasts, the random walk with a drift is the most successful for the UK, Belgian and Dutch returns and the neural network for French and Italian returns. Although this study underscores market context and forecast horizon as parameters relevant to the choice of the forecast model, it strongly indicates that analysts should exploit the potential of neural networks and assess more fully their forecast performance against more traditional models.

Approximation of non-autonomous dynamic systems by continuous time recurrent neural networks

This work provides a framework for the approximation of a dynamic system of the form x˙=f(x)+g(x)u by dynamic recurrent neural network. This extends previous work in which approximate realisation of autonomous dynamic systems was proven. Given certain conditions, the first p output neural units of a dynamic n-dimensional neural model approximate at a desired proximity a p-dimensional dynamic system with n>p. The neural architecture studied is then successfully implemented in a nonlinear multivariable system identification case study.

Inverting recurrent neural networks for internal model control of nonlinear systems

In this paper, we show how a set of recently derived theoretical results for recurrent neural networks can be applied to the production of an internal model control system for a nonlinear plant. The results include determination of the relative order of a recurrent neural network and invertibility of such a network. A closed loop controller is produced without the need to retrain the neural network plant model. Stability of the closed-loop controller is also demonstrated.

Multiple PID mapping using neural networks in a MIMO steam generator system

A neural network was used to map three PID operating regions for a two-input two-output steam generator system. The network was used in stand alone feedforward operation to control the whole operating range of the process, after being trained from the PID controllers corresponding to each control region. The network inputs are the plant error signals, their integral, their derivative and a 4-error delay train.

Internal model control of nonlinear systems through the inversion of recurrent neural networks

Recurrent neural networks can be used for both the identification and control of nonlinear systems. This paper takes a previously derived set of theoretical results about recurrent neural networks and applies them to the task of providing internal model control for a nonlinear plant. Using the theoretical results, we show how an inverse controller can be produced from a neural network model of the plant, without the need to train an additional network to perform the inverse control.

Dynamic input/output linearization using recurrent neural networks

A dynamic recurrent neural network (DRNN) is used to input/output linearize a control affine system in the globally linearizing control (GLC) structure. The network is trained as a part of a closed loop that involves a PI controller, the goal is to use the network, as a dynamic feedback, to cancel the nonlinear terms of the plant. The stability of the configuration is guarantee if the network and the plant are asymptotically stable and the linearizing input is bounded.

The control of dynamical systems by neural networks

In this paper the use of neural networks for the control of dynamical systems is considered. Both identification and feedback control aspects are discussed as well as the types of system for which neural networks can provide a useful technique. Multi-layer Perceptron and Radial Basis function neural network types are looked at, with an emphasis on the latter. It is shown how basis function centre selection is a critical part of the implementation process and that multivariate clustering algorithms can be an extremely useful tool for finding centres.

Wiener System identification using B-spline functions with De Boor recursion

A simple and effective algorithm is introduced for the system identification of Wiener system based on the observational input/output data. The B-spline neural network is used to approximate the nonlinear static function in the Wiener system. We incorporate the Gauss-Newton algorithm with De Boor algorithm (both curve and the first order derivatives) for the parameter estimation of the Wiener model, together with the use of a parameter initialization scheme. The efficacy of the proposed approach is demonstrated using an illustrative example.

Simulated annealing technique for fast learning of SOM networks

The Self-Organizing Map (SOM) is a popular unsupervised neural network able to provide effective clustering and data visualization for multidimensional input datasets. In this paper, we present an application of the simulated annealing procedure to the SOM learning algorithm with the aim to obtain a fast learning and better performances in terms of quantization error. The proposed learning algorithm is called Fast Learning Self-Organized Map, and it does not affect the easiness of the basic learning algorithm of the standard SOM. The proposed learning algorithm also improves the quality of resulting maps by providing better clustering quality and topology preservation of input multi-dimensional data. Several experiments are used to compare the proposed approach with the original algorithm and some of its modification and speed-up techniques.

A model of UK domestic appliance-use using Artificial Neural Networks

The development of an Artificial Neural Network model of UK domestic appliance energy consumption is presented. The model uses diary-style appliance use data and a survey questionnaire collected from 51 households during the summer of 2010. It also incorporates measured energy data and is sensitive to socioeconomic, physical dwelling and temperature variables. A prototype model is constructed in MATLAB using a two layer feed forward network with backpropagation training and has a12:10:24architecture.Model outputs include appliance load profiles which can be applied to the fields of energy planning (micro renewables and smart grids), building simulation tools and energy policy.

Parkinson’s Disease tremor classification – a comparison between Support Vector Machines and neural networks

Deep Brain Stimulation has been used in the study of and for treating Parkinson’s Disease (PD) tremor symptoms since the 1980s. In the research reported here we have carried out a comparative analysis to classify tremor onset based on intraoperative microelectrode recordings of a PD patient’s brain Local Field Potential (LFP) signals. In particular, we compared the performance of a Support Vector Machine (SVM) with two well known artificial neural network classifiers, namely a Multiple Layer Perceptron (MLP) and a Radial Basis Function Network (RBN). The results show that in this study, using specifically PD data, the SVM provided an overall better classification rate achieving an accuracy of 81% recognition.

System identification of Wiener systems with B-spline functions using De Boor recursion

In this article a simple and effective algorithm is introduced for the system identification of the Wiener system using observational input/output data. The nonlinear static function in the Wiener system is modelled using a B-spline neural network. The Gauss–Newton algorithm is combined with De Boor algorithm (both curve and the first order derivatives) for the parameter estimation of the Wiener model, together with the use of a parameter initialisation scheme. Numerical examples are utilised to demonstrate the efficacy of the proposed approach.

A model-based PID controller for Hammerstein systems using B-spline neural networks

In this paper, a new model-based proportional–integral–derivative (PID) tuning and controller approach is introduced for Hammerstein systems that are identified on the basis of the observational input/output data. The nonlinear static function in the Hammerstein system is modelled using a B-spline neural network. The control signal is composed of a PID controller, together with a correction term. Both the parameters in the PID controller and the correction term are optimized on the basis of minimizing the multistep ahead prediction errors. In order to update the control signal, the multistep ahead predictions of the Hammerstein system based on B-spline neural networks and the associated Jacobian matrix are calculated using the de Boor algorithms, including both the functional and derivative recursions. Numerical examples are utilized to demonstrate the efficacy of the proposed approaches.