研究生: |
李翠玲 Le Thi Thuy Linh |
---|---|
論文名稱: |
Particle Swarm Optimized Multi-Output Support Vector Regression for Interval-Valued Forecasts of Exchange Rates Particle Swarm Optimized Multi-Output Support Vector Regression for Interval-Valued Forecasts of Exchange Rates |
指導教授: |
周瑞生
Jui-Sheng Chou |
口試委員: |
曾惠斌
Hui-Ping Tserng 蔡志豐 Chih-Fong Tsai 李欣運 Hsin-Yun Lee 周瑞生 Jui-Sheng Chou |
學位類別: |
碩士 Master |
系所名稱: |
工程學院 - 營建工程系 Department of Civil and Construction Engineering |
論文出版年: | 2019 |
畢業學年度: | 107 |
語文別: | 英文 |
論文頁數: | 106 |
中文關鍵詞: | multi-input multi-output 、interval-valued time series 、accelerated particle swarm optimization 、least squares support vector regression 、hybrid model |
外文關鍵詞: | multi-input multi-output, interval-valued time series, accelerated particle swarm optimization, least squares support vector regression, hybrid model |
相關次數: | 點閱:274 下載:0 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
By providing a range of values rather than a point estimate, accurate interval forecasting is essential to the success of investment decisions in exchange rate markets. This study develops a sliding-window metaheuristic optimization for interval-valued time series forecasting using multi-output least squares support vector regression (MLSSVR). The hyperparameters in MLSSVR are optimized using an accelerated particle swarm optimization algorithm to generate the best predictions and the fastest convergence. The proposed system has a graphical user interface developed in a computing environment and functions as a stand-alone application. The system is validated with stock price as well as exchange rates and outcomes are compared with previous results. Finally, the proposed interval time series prediction approach is tested in two case studies, one is the daily Australian dollar and Japanese yen rates (AUD/JPY) and the other involves US dollar and Canadian dollar rates (USD/CAD). The proposed model is promising for interval time series forecasting.
By providing a range of values rather than a point estimate, accurate interval forecasting is essential to the success of investment decisions in exchange rate markets. This study develops a sliding-window metaheuristic optimization for interval-valued time series forecasting using multi-output least squares support vector regression (MLSSVR). The hyperparameters in MLSSVR are optimized using an accelerated particle swarm optimization algorithm to generate the best predictions and the fastest convergence. The proposed system has a graphical user interface developed in a computing environment and functions as a stand-alone application. The system is validated with stock price as well as exchange rates and outcomes are compared with previous results. Finally, the proposed interval time series prediction approach is tested in two case studies, one is the daily Australian dollar and Japanese yen rates (AUD/JPY) and the other involves US dollar and Canadian dollar rates (USD/CAD). The proposed model is promising for interval time series forecasting.
[1] T. Korol, "A fuzzy logic model for forecasting exchange rates," Knowledge-Based Systems, vol. 67, pp. 49-60, 2014.
[2] M. Khashei and M. Bijari, "A novel hybridization of artificial neural networks and ARIMA models for time series forecasting," Applied Soft Computing, vol. 11, pp. 2664-2675, 2011.
[3] G. P. Zhang, "Time series forecasting using a hybrid ARIMA and neural network model," Neurocomputing, vol. 50, pp. 159-175, 2003.
[4] R. Hafezi, J. Shahrabi, and E. Hadavandi, "A bat-neural network multi-agent system (BNNMAS) for stock price prediction: Case study of DAX stock price," Applied Soft Computing, vol. 29, pp. 196-210, 2015.
[5] E. Terciyanlı, T. Demirci, D. Küçük, M. Sarac, I. Çadırcı, and M. Ermiş, "Enhanced nationwide wind-electric power monitoring and forecast system," IEEE Transactions on Industrial Informatics, vol. 10, pp. 1171-1184, 2014.
[6] D. Pradeepkumar and V. Ravi, "Forex rate prediction using chaos and quantile regression random forest," in Recent Advances in Information Technology (RAIT), 2016 3rd International Conference on, 2016, pp. 517-522.
[7] M. O. Özorhan, İ. H. Toroslu, and O. T. Şehitoğlu, "A strength-biased prediction model for forecasting exchange rates using support vector machines and genetic algorithms," Soft Computing, vol. 21, pp. 6653-6671, 2017.
[8] T. Xiong, C. Li, and Y. Bao, "Interval-valued time series forecasting using a novel hybrid HoltI and MSVR model," Economic Modelling, vol. 60, pp. 11-23, 2017.
[9] Y.-W. Cheung and C. Y.-P. Wong, "A survey of market practitioners’ views on exchange rate dynamics," Journal of international economics, vol. 51, pp. 401-419, 2000.
[10] Y.-W. Cheung and M. D. Chinn, "Currency traders and exchange rate dynamics: a survey of the US market," Journal of international money and finance, vol. 20, pp. 439-471, 2001.
[11] A. W. He and A. T. Wan, "Predicting daily highs and lows of exchange rates: a cointegration analysis," Journal of Applied Statistics, vol. 36, pp. 1191-1204, 2009.
[12] R. Y. Chou, "Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) model," Journal of Money, Credit and Banking, pp. 561-582, 2005.
[13] M. Fernandes, B. de Sá Mota, and G. Rocha, "A multivariate conditional autoregressive range model," Economics Letters, vol. 86, pp. 435-440, 2005.
[14] T. Xiong, Y. Bao, and Z. Hu, "Interval forecasting of electricity demand: a novel bivariate EMD-based support vector regression modeling framework," International Journal of Electrical Power & Energy Systems, vol. 63, pp. 353-362, 2014.
[15] M. Göçken, M. Özçalıcı, A. Boru, and A. T. Dosdoğru, "Integrating metaheuristics and artificial neural networks for improved stock price prediction," Expert Systems with Applications, vol. 44, pp. 320-331, 2016.
[16] S. Saini, "PSA and beyond: alternative prostate cancer biomarkers," Cellular Oncology, vol. 39, pp. 97-106, 2016.
[17] H. Tong, Threshold models in non-linear time series analysis vol. 21: Springer Science & Business Media, 2012.
[18] W. Zucchini, I. L. MacDonald, and R. Langrock, Hidden Markov models for time series: an introduction using R: Chapman and Hall/CRC, 2016.
[19] X. Wang, S. Li, and T. Denoeux, "Interval-valued linear model," International Journal of Computational Intelligence Systems, vol. 8, pp. 114-127, 2015.
[20] L. A. Laboissiere, R. A. Fernandes, and G. G. Lage, "Maximum and minimum stock price forecasting of Brazilian power distribution companies based on artificial neural networks," Applied Soft Computing, vol. 35, pp. 66-74, 2015.
[21] R. E. Moore and C. Yang, "Interval analysis I," Technical Document LMSD-285875, Lockheed Missiles and Space Division, Sunnyvale, CA, USA, 1959.
[22] J. Arroyo, R. Espínola, and C. Maté, "Different approaches to forecast interval time series: a comparison in finance," Computational Economics, vol. 37, pp. 169-191, 2011.
[23] L. Maciel, R. Ballini, and F. Gomide, "Evolving granular analytics for interval time series forecasting," Granular Computing, vol. 1, pp. 213-224, 2016.
[24] A. L. S. Maia, F. d. A. de Carvalho, and T. B. Ludermir, "Forecasting models for interval-valued time series," Neurocomputing, vol. 71, pp. 3344-3352, 2008.
[25] R. B. Kearfott, "Interval computations: Introduction, uses, and resources," Euromath Bulletin, vol. 2, pp. 95-112, 1996.
[26] R. E. Moore, "Interval analysis. 1966," Prince-Hall, Englewood Cliffs, NJ, 1969.
[27] E. Diday and M. Noirhomme-Fraiture, Symbolic data analysis and the SODAS software: John Wiley & Sons, 2008.
[28] A. Bianchini and P. Bandini, "Prediction of pavement performance through neuro‐fuzzy reasoning," Computer‐Aided Civil and Infrastructure Engineering, vol. 25, pp. 39-54, 2010.
[29] J.-S. Chou, A.-D. Pham, and H. Wang, "Bidding strategy to support decision-making by integrating fuzzy AHP and regression-based simulation," Automation in Construction, vol. 35, pp. 517-527, 2013.
[30] L. dos Santos Coelho and V. C. Mariani, "Improved firefly algorithm approach applied to chiller loading for energy conservation," Energy and Buildings, vol. 59, pp. 273-278, 2013.
[31] F. Y. Hsiao, S. H. Wang, W. C. Wang, C. P. Wen, and W. D. Yu, "Neuro‐fuzzy cost estimation model enhanced by fast messy genetic algorithms for semiconductor hookup construction," Computer‐Aided Civil and Infrastructure Engineering, vol. 27, pp. 764-781, 2012.
[32] J. S. Chou and A. D. Pham, "Smart artificial firefly colony algorithm‐based support vector regression for enhanced forecasting in civil engineering," Computer‐Aided Civil and Infrastructure Engineering, vol. 30, pp. 715-732, 2015.
[33] C. N. Babu and B. E. Reddy, "A moving-average filter based hybrid ARIMA–ANN model for forecasting time series data," Applied Soft Computing, vol. 23, pp. 27-38, 2014.
[34] J. F. de Oliveira and T. B. Ludermir, "A hybrid evolutionary decomposition system for time series forecasting," Neurocomputing, vol. 180, pp. 27-34, 2016.
[35] C. N. Babu and P. Sure, "Partitioning and interpolation based hybrid ARIMA–ANN model for time series forecasting," Sādhanā, vol. 41, pp. 695-706, 2016.
[36] Z. Hu, Y. Bao, R. Chiong, and T. Xiong, "Mid-term interval load forecasting using multi-output support vector regression with a memetic algorithm for feature selection," Energy, vol. 84, pp. 419-431, 2015.
[37] B. M. Brentan, E. Luvizotto Jr, M. Herrera, J. Izquierdo, and R. Pérez-García, "Hybrid regression model for near real-time urban water demand forecasting," Journal of Computational and Applied Mathematics, vol. 309, pp. 532-541, 2017.
[38] Y. Bao, T. Xiong, and Z. Hu, "Multi-step-ahead time series prediction using multiple-output support vector regression," Neurocomputing, vol. 129, pp. 482-493, 2014.
[39] F. Granata, R. Gargano, and G. de Marinis, "Support vector regression for rainfall-runoff modeling in urban drainage: A comparison with the EPA’s storm water management model," Water, vol. 8, p. 69, 2016.
[40] Y. Zhang, S. Wang, and G. Ji, "A comprehensive survey on particle swarm optimization algorithm and its applications," Mathematical Problems in Engineering, vol. 2015, 2015.
[41] J.-S. Chou and N.-T. Ngo, "Time series analytics using sliding window metaheuristic optimization-based machine learning system for identifying building energy consumption patterns," Applied energy, vol. 177, pp. 751-770, 2016.
[42] H. Abdi, "Partial least square regression (PLS regression)," Encyclopedia for research methods for the social sciences, vol. 6, pp. 792-795, 2003.
[43] R. Rosipal and L. J. Trejo, "Kernel partial least squares regression in reproducing kernel hilbert space," Journal of machine learning research, vol. 2, pp. 97-123, 2001.
[44] S. Xu, X. An, X. Qiao, L. Zhu, and L. Li, "Multi-output least-squares support vector regression machines," Pattern Recognition Letters, vol. 34, pp. 1078-1084, 2013.
[45] R. Kennedy, "J. and Eberhart, Particle swarm optimization," in Proceedings of IEEE International Conference on Neural Networks IV, pages, 1995.
[46] W. Jian-Xiang, S. Yue-Hong, and T. Zhao-Ling, "Image clustering segmentation based on fuzzy mutual information and PSO," in International Conference on Applied Informatics and Communication, 2011, pp. 1-12.
[47] A. Khare and S. Rangnekar, "A review of particle swarm optimization and its applications in solar photovoltaic system," Applied Soft Computing, vol. 13, pp. 2997-3006, 2013.
[48] Y. Shi and R. C. Eberhart, "Empirical study of particle swarm optimization," in Evolutionary computation, 1999. CEC 99. Proceedings of the 1999 congress on, 1999, pp. 1945-1950.
[49] H.-L. Hsu and B. Wu, "Evaluating forecasting performance for interval data," Computers & Mathematics with Applications, vol. 56, pp. 2155-2163, 2008.
[50] C. García-Ascanio and C. Maté, "Electric power demand forecasting using interval time series: A comparison between VAR and iMLP," Energy Policy, vol. 38, pp. 715-725, 2010.
[51] X. Wang and S. Li, "The interval autoregressive time series model," in Fuzzy Systems (FUZZ), 2011 IEEE International Conference on, 2011, pp. 2528-2533.
[52] T. Xiong, Y. Bao, and Z. Hu, "Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting," Knowledge-Based Systems, vol. 55, pp. 87-100, 2014/01/01/ 2014.
[53] P. H. Cappelli, "Skill gaps, skill shortages, and skill mismatches: Evidence and arguments for the United States," ILR Review, vol. 68, pp. 251-290, 2015.
[54] H. Tanaka and H. Lee, "Interval regression analysis by quadratic programming approach," IEEE Transactions on Fuzzy Systems, vol. 6, pp. 473-481, 1998.
[55] A. L. S. Maia and F. d. A. de Carvalho, "Holt’s exponential smoothing and neural network models for forecasting interval-valued time series," International Journal of Forecasting, vol. 27, pp. 740-759, 2011.
[56] L. Maciel, R. Vieira, A. Porto, F. Gomide, and R. Ballini, "Evolving participatory learning fuzzy modeling for financial interval time series forecasting," in Evolving and Adaptive Intelligent Systems (EAIS), 2017, 2017, pp. 1-8.
[57] C. F. Manski and E. Tamer, "Inference on regressions with interval data on a regressor or outcome," Econometrica, vol. 70, pp. 519-546, 2002.
[58] B. Sinova, A. Colubi, and G. González-Rodrı, "Interval arithmetic-based simple linear regression between interval data: Discussion and sensitivity analysis on the choice of the metric," Information Sciences, vol. 199, pp. 109-124, 2012.
[59] T. Xiong, C. Li, Y. Bao, Z. Hu, and L. Zhang, "A combination method for interval forecasting of agricultural commodity futures prices," Knowledge-Based Systems, vol. 77, pp. 92-102, 2015.
[60] V. Georgescu and S.-M. Delureanu, "Fuzzy-valued and complex-valued time series analysis using multivariate and complex extensions to singular spectrum analysis," in Fuzzy Systems (FUZZ-IEEE), 2015 IEEE International Conference on Fuzzy Systems, 2015, pp. 1-8.
[61] C. Cappelli, P. D'Urso, and F. Di Iorio, "Regime change analysis of interval-valued time series with an application to PM10," Chemometrics and Intelligent Laboratory Systems, vol. 146, pp. 337-346, 2015.
[62] L. Maciel, R. Ballini, and F. Gomide, "Evolving possibilistic fuzzy modeling for realized volatility forecasting with jumps," IEEE Transactions on Fuzzy Systems, vol. 25, pp. 302-314, 2017.
[63] S. Russell, "peter Norvig," Artificial intelligence: a modern approach, 2010.
[64] J. Jaramillo, J. D. Velasquez, and C. J. Franco, "Research in financial time series forecasting with SVM: Contributions from literature," IEEE Latin America Transactions, vol. 15, pp. 145-153, 2017.
[65] R. Kuo and P. Li, "Taiwanese export trade forecasting using firefly algorithm based K-means algorithm and SVR with wavelet transform," Computers & Industrial Engineering, vol. 99, pp. 153-161, 2016.
[66] J.-S. Chou and T.-K. Nguyen, "Forward Forecast of Stock Price Using Sliding-window Metaheuristic-optimized Machine Learning Regression," IEEE Transactions on Industrial Informatics, 2018.
[67] J.-S. Chou and D.-S. Tran, "Forecasting Energy Consumption Time Series using Machine Learning Techniques based on Usage Patterns of Residential Householders," Energy, 2018.
[68] K.-j. Kim, "Financial time series forecasting using support vector machines," Neurocomputing, vol. 55, pp. 307-319, 2003.
[69] F. E. Tay and L. Cao, "Application of support vector machines in financial time series forecasting," omega, vol. 29, pp. 309-317, 2001.
[70] S.-D. Huang, G.-Z. Cao, Z.-Y. He, J. Pan, J.-A. Duan, and Q.-Q. Qian, "Nonlinear Modeling of the Inverse Force Function for the Planar Switched Reluctance Motor Using Sparse Least Squares Support Vector Machines," IEEE Trans. Industrial Informatics, vol. 11, pp. 591-600, 2015.
[71] C. Cortes and V. Vapnik, "Support vector machine," Machine learning, vol. 20, pp. 273-297, 1995.
[72] T. Van Gestel, J. A. Suykens, B. Baesens, S. Viaene, J. Vanthienen, G. Dedene, et al., "Benchmarking least squares support vector machine classifiers," Machine learning, vol. 54, pp. 5-32, 2004.
[73] J.-S. Chou, N.-T. Ngo, and A.-D. Pham, "Shear strength prediction in reinforced concrete deep beams using nature-inspired metaheuristic support vector regression," Journal of Computing in Civil Engineering, vol. 30, p. 04015002, 2015.
[74] C.-S. Lin, S.-H. Chiu, and T.-Y. Lin, "Empirical mode decomposition–based least squares support vector regression for foreign exchange rate forecasting," Economic Modelling, vol. 29, pp. 2583-2590, 2012.
[75] L. Yu, W. Dai, L. Tang, and J. Wu, "A hybrid grid-GA-based LSSVR learning paradigm for crude oil price forecasting," Neural computing and applications, vol. 27, pp. 2193-2215, 2016.
[76] M. Sánchez-Fernández, M. de-Prado-Cumplido, J. Arenas-García, and F. Pérez-Cruz, "SVM multiregression for nonlinear channel estimation in multiple-input multiple-output systems," IEEE transactions on signal processing, vol. 52, pp. 2298-2307, 2004.
[77] D. Tuia, J. Verrelst, L. Alonso, F. Pérez-Cruz, and G. Camps-Valls, "Multioutput support vector regression for remote sensing biophysical parameter estimation," IEEE Geoscience and Remote Sensing Letters, vol. 8, pp. 804-808, 2011.
[78] M. Dorigo, "Optimization, learning and natural algorithms," PhD Thesis, Politecnico di Milano, 1992.
[79] R. Storn and K. Price, "Differential evolution–a simple and efficient heuristic for global optimization over continuous spaces," Journal of global optimization, vol. 11, pp. 341-359, 1997.
[80] K. M. Passino, "Biomimicry of bacterial foraging for distributed optimization and control," IEEE control systems, vol. 22, pp. 52-67, 2002.
[81] K. Krishnanand and D. Ghose, "Detection of multiple source locations using a glowworm metaphor with applications to collective robotics," in Swarm intelligence symposium, 2005. SIS 2005. Proceedings 2005 IEEE, 2005, pp. 84-91.
[82] D. Karaboga and B. Basturk, "Artificial bee colony (ABC) optimization algorithm for solving constrained optimization problems," in International fuzzy systems association world congress, 2007, pp. 789-798.
[83] X.-S. Yang, Engineering optimization: an introduction with metaheuristic applications: John Wiley & Sons, 2010.
[84] B. Shanmugapriya and S. Meera, "A Survey of Parallel Social Spider Optimization Algorithm based on Swarm Intelligence for High Dimensional Datasets," International Journal of Computational Intelligence Research, vol. 13, pp. 2259-2265, 2017.
[85] Y. Chen, D. Wang, and S. Tong, "Forecasting studies by designing Mamdani interval type-2 fuzzy logic systems: With the combination of BP algorithms and KM algorithms," Neurocomputing, vol. 174, pp. 1133-1146, 2016.
[86] C. Qi, A. Fourie, and Q. Chen, "Neural network and particle swarm optimization for predicting the unconfined compressive strength of cemented paste backfill," Construction and Building Materials, vol. 159, pp. 473-478, 2018.
[87] A. Bagheri, H. M. Peyhani, and M. Akbari, "Financial forecasting using ANFIS networks with quantum-behaved particle swarm optimization," Expert Systems with Applications, vol. 41, pp. 6235-6250, 2014.
[88] J. Kennedy, "Bare bones particle swarms," in Swarm Intelligence Symposium, 2003. SIS'03. Proceedings of the 2003 IEEE, 2003, pp. 80-87.
[89] L.-Y. Chuang, S.-W. Tsai, and C.-H. Yang, "Chaotic catfish particle swarm optimization for solving global numerical optimization problems," Applied Mathematics and Computation, vol. 217, pp. 6900-6916, 2011.
[90] H. Tang, Y. Xiao, H. Huang, and X. Guo, "A novel dynamic particle swarm optimization algorithm based on improved artificial immune network," in Signal Processing (ICSP), 2010 IEEE 10th International Conference on, 2010, pp. 103-106.
[91] Z. Li, D. Zheng, and H. Hou, "A hybrid particle swarm optimization algorithm based on nonlinear simplex method and tabu search," in International Symposium on Neural Networks, 2010, pp. 126-135.
[92] S. M. Sait, A. T. Sheikh, and A. H. El-Maleh, "Cell assignment in hybrid CMOS/nanodevices architecture using a PSO/SA hybrid algorithm," Journal of applied research and technology, vol. 11, pp. 653-664, 2013.
[93] M. El-Abd, "Testing a particle swarm optimization and artificial bee colony hybrid algorithm on the CEC13 benchmarks," in Evolutionary Computation (CEC), 2013 IEEE Congress on, 2013, pp. 2215-2220.
[94] G. Maione and A. Punzi, "Combining differential evolution and particle swarm optimization to tune and realize fractional-order controllers," Mathematical and computer modelling of dynamical systems, vol. 19, pp. 277-299, 2013.
[95] N. B. Guedria, "Improved accelerated PSO algorithm for mechanical engineering optimization problems," Applied Soft Computing, vol. 40, pp. 455-467, 2016.
[96] V. Braverman, R. Ostrovsky, and C. Zaniolo, "Optimal sampling from sliding windows," in Proceedings of the twenty-eighth ACM SIGMOD-SIGACT-SIGART symposium on Principles of database systems, 2009, pp. 147-156.
[97] R.-P. Mundani, J. Frisch, V. Varduhn, and E. Rank, "A sliding window technique for interactive high-performance computing scenarios," Advances in Engineering Software, vol. 84, pp. 21-30, 2015.
[98] J. Brownlee, "Introduction to time series forecasting with python," URL: https://machinelearningmastery. com/introduction-to-timeseries-forecasting-with-python, 2017.
[99] N.-D. Hoang, A.-D. Pham, and M.-T. Cao, "A novel time series prediction approach based on a hybridization of least squares support vector regression and swarm intelligence," Applied Computational Intelligence and Soft Computing, vol. 2014, p. 15, 2014.
[100] Z. Min and T. Huanqi, "Short term load forecasting with least square support vector regression and PSO," in International Conference on Applied Informatics and Communication, 2011, pp. 124-132.
[101] X.-S. Yang, Nature-inspired metaheuristic algorithms: Luniver press, 2010.
[102] J. Kennedy, "Particle swarm optimization," in Encyclopedia of machine learning, ed: Springer, 2011, pp. 760-766.
[103] X.-S. Yang, S. Deb, and S. Fong, "Accelerated particle swarm optimization and support vector machine for business optimization and applications," in International Conference on Networked Digital Technologies, 2011, pp. 53-66.