基于RS GA ELM的矿井瓦斯涌出量预测

为了对煤矿井下瓦斯涌出量进行预测,采用粗糙集与改进极限学习机相结合的方法,在样本数据的筛选上吸取粗糙集数据约简的优点,充分利用极限学习机训练速度快、具有良好泛化性能的特点,并结合遗传算法选择最优的输入权值矩阵和隐含层偏差,避免随机产生所造成的误差。利用编写程序确定隐含层神经元个数,比依靠经验更为准确。在实际应用中选取煤层瓦斯含量、煤层埋藏深度、煤层厚度、煤层间距、工作面日产量五个因素作为预测的影响参数。研究结果表明:该预测模型预测的最大相对误差为5687 1%,最小相对误差为0,平均相对误差为2582 7%,相比改进前的预测模型具有更强的泛化能力和更高的预测精度。     

基于SVM的旋转机械转子故障预示研究

支持向量机包括支持向量回归机和支持向量分类机.本文提出了一种用于旋转机械转子故障预示的方法,通过支持向量分类机（SVC）对旋转机械转子故障进行分类并建立故障分类器,利用支持向量回归机（SVR）对转子运行状态趋势进行预示,并将预示结果输入到SVC以判断预示结果的属性.对支持向量回归机进行了仿真研究.将支持向量机与神经网络算法从理论和实验研究两个方面进行了对比研究,结果表明,该方法具有较好的故障预示能力.     

A Meta‐learning Framework for Bankruptcy Prediction

The implication of corporate bankruptcy prediction is important to financial institutions when making lending decisions. In related studies, many bankruptcy prediction models have been developed based on some machine‐learning techniques. This paper presents a meta‐learning framework, which is composed of two‐level classifiers for bankruptcy prediction. The first‐level multiple classifiers perform the data reduction task by filtering out unrepresentative training data. Then, the outputs of the first‐level classifiers are utilized to create the second‐level single (meta) classifier. The experiments are based on five related datasets and the results show that the proposed meta‐learning framework provides higher prediction accuracy rates and lower type I/II errors when compared with the stacked generalization classifier and other three widely developed baselines, such as neural networks, decision trees, and logistic regression. Copyright © 2011 John Wiley & Sons, Ltd.     

A novel hybrid fine particulate matter (PM2.5) forecasting and its further application system: Case studies in China

Air pollution has received more attention from many countries and scientists due to its high threat to human health. However, air pollution prediction remains a challenging task because of its nonstationarity, randomness, and nonlinearity. In this research, a novel hybrid system is successfully developed for PM_2.5 concentration prediction and its application in health effects and economic loss assessment. First, an efficient data mining method is adopted to capture and extract the primary characteristic of PM_2.5 dataset and alleviate the noises' adverse effects. Second, Harris hawks optimization algorithm is introduced to tune the extreme learning machine model with high prediction accuracy, then the optimized extreme learning machine can be established to obtain the forecasting values of PM_2.5 series. Next, PM_2.5-related health effects and economic costs was estimated based on the predicted PM_2.5 values, the related health effects, and environmental value assessment methods. Several experiments are designed using three daily PM_2.5 datasets from Beijing, Tianjin, and Shijiazhuang. Lastly, the corresponding experimental results showed that this proposed system can not only provide early warning information for environmental management, assist in the formulation of effective measures to reduce air pollutant emissions, and prevent health problems but also help for further research and application in different fields, such as health issues due to PM_2.5 pollutant.     

Application of Machine Learning Methods to Risk Assessment of Financial Statement Fraud: Evidence from China

This study presents a method of assessing financial statement fraud risk. The proposed approach comprises a system of financial and non‐financial risk factors, and a hybrid assessment method that combines machine learning methods with a rule‐based system. Experiments are performed using data from Chinese companies by four classifiers (logistic regression, back‐propagation neural network, C5.0 decision tree and support vector machine) and an ensemble of those classifiers. The proposed ensemble of classifiers outperform each of the four classifiers individually in accuracy and composite error rate. The experimental results indicate that non‐financial risk factors and a rule‐based system help decrease the error rates. The proposed approach outperforms machine learning methods in assessing the risk of financial statement fraud. Copyright © 2014 John Wiley & Sons, Ltd.     

Foreign exchange market prediction with multiple classifiers

Foreign exchange market prediction is attractive and challenging. According to the efficient market and random walk hypotheses, market prices should follow a random walk pattern and thus should not be predictable with more than about 50% accuracy. In this article, we investigate the predictability of foreign exchange spot rates of the US dollar against the British pound to show that not all periods are equally random. We used the Hurst exponent to select a period with great predictability. Parameters for generating training patterns were determined heuristically by auto‐mutual information and false nearest‐neighbor methods. Some inductive machine‐learning classifiers—artificial neural network, decision tree, k‐nearest neighbor, and naïve Bayesian classifier—were then trained with these generated patterns. Through appropriate collaboration of these models, we achieved a prediction accuracy of up to 67%. Copyright © 2009 John Wiley & Sons, Ltd.     

Optimal forecast combination based on ensemble empirical mode decomposition for agricultural commodity futures prices

Improving the prediction accuracy of agricultural product futures prices is important for investors, agricultural producers, and policymakers. This is to evade risks and enable government departments to formulate appropriate agricultural regulations and policies. This study employs the ensemble empirical mode decomposition (EEMD) technique to decompose six different categories of agricultural futures prices. Subsequently, three models—support vector machine (SVM), neural network (NN), and autoregressive integrated moving average (ARIMA)—are used to predict the decomposition components. The final hybrid model is then constructed by comparing the prediction performance of the decomposition components. The predicting performance of the combination model is then compared with the benchmark individual models: SVM, NN, and ARIMA. Our main interest in this study is on short-term forecasting, and thus we only consider 1-day and 3-day forecast horizons. The results indicate that the prediction performance of the EEMD combined model is better than that of individual models, especially for the 3-day forecasting horizon. The study also concluded that the machine learning methods outperform the statistical methods in forecasting high-frequency volatile components. However, there is no obvious difference between individual models in predicting low-frequency components.     

Stock index prediction based on wavelet transform and FCD-MLGRU

With the development of artificial intelligence, deep learning is widely used in the field of nonlinear time series forecasting. It is proved in practice that deep learning models have higher forecasting accuracy compared with traditional linear econometric models and machine learning models. With the purpose of further improving forecasting accuracy of financial time series, we propose the WT-FCD-MLGRU model, which is the combination of wavelet transform, filter cycle decomposition and multilag neural networks. Four major stock indices are chosen to test the forecasting performance among traditional econometric model, machine learning model and deep learning models. According to the result of empirical analysis, deep learning models perform better than traditional econometric model such as autoregressive integrated moving average and improved machine learning model SVR. Besides, our proposed model has the minimum forecasting error in stock index prediction.     

改进果蝇优化算法优化广义回归神经网络的预测问题研究

为提高传统非线性预测模型的预测精度,提出一种基于改进果蝇优化算法优化广义回归神经网络的预测方法,将果蝇群体分两部分分别进行迭代寻优,从而改进了果蝇优化算法的寻优性能,进而避免了在寻优过程中陷入局部最优。该方法利用改进果蝇优化算法优化广义回归神经网络的径向基函数扩展参数,然后用训练好的广义回归神经网络预测模型进行预测,最后通过订单预测算例进行实证研究。实证研究结果显示,该方法在解决订单预测问题中与未改进的果蝇优化算法优化广义回归神经网络和传统的广义回归神经网络方法对比,具有更高的预测精度和更好的非线性拟合能力。     

Building neural network models for time series: a statistical approach

This paper is concerned with modelling time series by single hidden layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using simple existing techniques. The problem of selecting the number of hidden units is solved by sequentially applying Lagrange multiplier type tests, with the aim of avoiding the estimation of unidentified models. Misspecification tests are derived for evaluating an estimated neural network model. All the tests are entirely based on auxiliary regressions and are easily implemented. A small‐sample simulation experiment is carried out to show how the proposed modelling strategy works and how the misspecification tests behave in small samples. Two applications to real time series, one univariate and the other multivariate, are considered as well. Sets of one‐step‐ahead forecasts are constructed and forecast accuracy is compared with that of other nonlinear models applied to the same series. Copyright © 2006 John Wiley & Sons, Ltd.     

Quantile estimators with orthogonal pinball loss function

To guarantee stable quantile estimations even for noisy data, a novel loss function and novel quantile estimators are developed, by introducing the effective concept of orthogonal loss considering the noise in both response and explanatory variables. In particular, the pinball loss used in classical quantile estimators is improved into novel orthogonal pinball loss (OPL) by replacing vertical loss by orthogonal loss. Accordingly, linear quantile regression (QR) and support vector machine quantile regression (SVMQR) can be respectively extended into novel OPL‐based QR and OPL‐based SVMQR models. The empirical study on 10 publicly available datasets statistically verifies the superiority of the two OPL‐based models over their respective original forms in terms of prediction accuracy and quantile property, especially for extreme quantiles. Furthermore, the novel OPL‐based SVMQR model with both OPL and artificial intelligence (AI) outperforms all benchmark models, which can be used as a promising quantile estimator, especially for noisy data.     

Forecasting Core Business Transformation Risk Using the Optimal Rough Set and the Neural Network

In the process of enterprise growth, core business transformation is an eternal theme. Enterprise risk forecasting is always an important concern for stakeholders. Considering the completeness and accuracy of the information in the early‐warning index, this paper presents a new risk‐forecasting method for enterprises to use for core business transformation by using rough set theory and an artificial neural network. First, continuous attribute values are discretized using the fuzzy clustering algorithm based on the maximum discernibility value function and information entropy. Afterwards, the major attributes are reduced by the rough sets. The core business transformation risk rank judgement is extracted to define the connection between network nodes and determine the structure of the neural networks. Finally, the improved back‐propagation (BP) neural network learning and training are used to judge the risk level of the test samples. The experiments are based on 265 listed companies in China, and the results show that the proposed risk‐forecasting model based on rough sets and the neural network provides higher prediction accuracy rates than do other widely developed baselines including logistic regression, neural networks and association rules mining. Copyright © 2015 John Wiley & Sons, Ltd.     

机器学习面临的挑战

该文讨论了机器学习目前面临的几个挑战,包括：高维特征空间和数据量问题,大数据量的计算困难,寻求最优解的困难和可解释性差等问题．然后针对当前很多人关心的几个重要问题,例如大数据问题,深度学习,概率图模型等做了分析,以引起深入思考．     

Market timing using combined forecasts and machine learning

Successful market timing strategies depend on superior forecasting ability. We use a sentiment index model, a kitchen sink logistic regression model, and a machine learning model (least absolute shrinkage and selection operator, LASSO) to forecast 1‐month‐ahead S&P 500 Index returns. In order to determine how successful each strategy is at forecasting the market direction, a “beta optimization” strategy is implemented. We find that the LASSO model outperforms the other models with consistently higher annual returns and lower monthly drawdowns.     

A Bayesian nonlinear support vector machine error correction model

The use of linear error correction models based on stationarity and cointegration analysis, typically estimated with least squares regression, is a common technique for financial time series prediction. In this paper, the same formulation is extended to a nonlinear error correction model using the idea of a kernel‐based implicit nonlinear mapping to a high‐dimensional feature space in which linear model formulations are specified. Practical expressions for the nonlinear regression are obtained in terms of the positive definite kernel function by solving a linear system. The nonlinear least squares support vector machine model is designed within the Bayesian evidence framework that allows us to find appropriate trade‐offs between model complexity and in‐sample model accuracy. From straightforward primal–dual reasoning, the Bayesian framework allows us to derive error bars on the prediction in a similar way as for linear models and to perform hyperparameter and input selection. Starting from the results of the linear modelling analysis, the Bayesian kernel‐based prediction is successfully applied to out‐of‐sample prediction of an aggregated equity price index for the European chemical sector. Copyright © 2006 John Wiley & Sons, Ltd.     

摩托车声品质评价的神经网络方法

针对声品质评价过程中线性回归模型评价结果的不足,采用BP神经网络对人的主观评价结果进行预测.采集摩托车在不同发动机转速下驾驶员耳旁的声信号样本,采用分组成对比较法进行主观评价试验,选取了响度、尖锐度、粗糙度作为神经网络模型输入参数,结合主观评价结果对模型进行训练与检验,并与线性回归模型输出结果进行比较.结果表明,选取驾驶员双耳响度、尖锐度、粗糙度作为模型输入能够较为准确地反映人耳对摩托车噪声的主观感觉.     

Neural network pruning applied to real exchange rate analysis

Neural networks are fitted to real exchange rates of several industrialized countries. The size and topology of the networks is found through the use of multiple correlation coefficients, principal component analysis of residuals and graphical analysis of network output per hidden layer cell and input layer cell. These pruned neural networks are good approximations to varying non‐linear trends in real exchange rates. Non‐linear dynamic analysis shows that the long‐term equilibrium values of several European currencies correspond to the actual values within the European Monetary System. Based on its long‐term equilibrium value, the Euro appears to be undervalued vis‐à‐vis the US dollar at the introduction of the Euro on 1 January 1999. Copyright © 2002 John Wiley & Sons, Ltd.     

Forecasting Australia's real house price index: A comparison of time series and machine learning methods

We employ 47 different algorithms to forecast Australian log real house prices and growth rates, and compare their ability to produce accurate out-of-sample predictions. The algorithms, which are specified in both single- and multi-equation frameworks, consist of traditional time series models, machine learning (ML) procedures, and deep learning neural networks. A method is adopted to compute iterated multistep forecasts from nonlinear ML specifications. While the rankings of forecast accuracy depend on the length of the forecast horizon, as well as on the choice of the dependent variable (log price or growth rate), a few generalizations can be made. For one- and two-quarter-ahead forecasts we find a large number of algorithms that outperform the random walk with drift benchmark. We also report several such outperformances at longer horizons of four and eight quarters, although these are not statistically significant at any conventional level. Six of the eight top forecasts (4 horizons × 2 dependent variables) are generated by the same algorithm, namely a linear support vector regressor (SVR). The other two highest ranked forecasts are produced as simple mean forecast combinations. Linear autoregressive moving average and vector autoregression models produce accurate olne-quarter-ahead predictions, while forecasts generated by deep learning nets rank well across medium and long forecast horizons.     

Predictive models for influence of primary delays using high-speed train operation records

Primary delays are the driving force behind delay propagation, and predicting the number of affected trains (NAT) and the total time of affected trains (TTAT) due to primary delay (PD) can provide reliable decision support for real-time train dispatching. In this paper, based on real operation data from 2015 to 2016 at several stations along the Wuhan–Guangzhou high-speed railway, NAT and TTAT influencing factors were determined after analyzing the PD propagation mechanism. The eXtreme Gradient BOOSTing (XGBOOST) algorithm was used to establish a NAT predictive model, and several machine learning methods were compared. The importance of different delayinfluencing factors was investigated. Then, the TTAT predictive model (using support vector regression (SVR) algorithms) was established based on the NAT predictive model. Results indicated that the XGBOOST algorithm performed well with the NAT predictive model, and SVR was the optimal model for TTAT prediction under the verification index (i.e., the ratio of the difference between the actual and predicted value was less than 1/2/3/4/5 min). Real operational data in 2018 were used to test the applicability of the NAT and TTAT models over time, and findings suggest that these models exhibit sound applicability over time based on XGBOOST and SVR, respectively.     

Volatility forecasting for stock market incorporating macroeconomic variables based on GARCH-MIDAS and deep learning models

Empirical experiments have shown that macroeconomic variables can affect the volatility of stock market. However, the frequencies of macroeconomic variables are low and different from the stock market volatility, and few literature considers the low-frequency macroeconomic variables as input indicators for deep learning models. In this paper, we forecast the stock market volatility incorporating low-frequency macroeconomic variables based on a hybrid model integrating the deep learning method with generalized autoregressive conditional heteroskedasticity and mixed data sampling (GARCH-MIDAS) model to process the mixing frequency data. This paper firstly takes macroeconomic variables as exogenous variables then uses the GARCH-MIDAS model to deal with the problem of different frequencies between the macroeconomic variables and stock market volatility and to forecast the short-term volatility and finally takes the predicted short-term volatility as the input indicator into machine learning and deep learning models to forecast the realized volatility of stock market. It is found that adding macroeconomic variables can significantly improve the forecasting ability in the comparison of the forecasting effects of the same model before and after adding the macroeconomic variables. Additionally, in the comparison of the forecasting effects among different models, it is also found that the forecasting effect of the deep learning model is the best, the machine learning model is worse, and the traditional econometric model is the worst.