Feature selection for support vector machine in financial crisis prediction: a case study in China

Abstract: Corporate financial crisis forecasting plays an increasingly important role in the current intense and competitive commercial environment. It is an important phase in financial crisis forecasting to find the features that discriminate different financial conditions. In this paper, a genetic algorithm (GA) based approach and statistical filter approaches are applied to identify the best features for the support vector machine (SVM). The proposed GA‐based approach is carefully designed in order to have the capability of simultaneously optimizing the features and parameters of the SVM. Experimental results on the data from Chinese companies show that the GA‐based approach can extract fewer features with a higher accuracy compared with statistical filter approaches, such as analysis of variance, the T‐W test (which is the t test applied to variables satisfying a normal distribution and the Wilcoxon test applied to other variables not satisfying a normal distribution), logit regression and multiple discriminant analysis. Moreover, the experiments indicate that the proposed GA‐based approach is robust and suitable for selecting features for the SVM.     

A hybrid grid-GA-based LSSVR learning paradigm for crude oil price forecasting

In order to effectively model crude oil spot price with inherently high complexity, a hybrid learning paradigm integrating least squares support vector regression (LSSVR) with a hybrid optimization searching approach for the parameters selection in the LSSVR [consisting of grid method and genetic algorithm (GA)], i.e., a hybrid grid-GA-based LSSVR model, is proposed in this study. In the proposed hybrid learning paradigm, the grid method, a simple but efficient searching method, is first applied to roughly but rapidly determine the proper boundaries of the parameters in the LSSVR; then, the GA, an effective and powerful intelligent searching algorithm, is further implemented to select the most suitable parameters. For illustration and verification, the proposed learning paradigm is used to predict the crude oil spot prices of the West Texas Intermediate and the Brent markets. The empirical results demonstrate that the proposed hybrid grid-GA-based LSSVR learning paradigm can outperform its benchmarking models (including some popular forecasting techniques and similar LSSVRs with other parameter searching algorithms) in terms of both prediction accuracy and time-savings, indicating that it can be utilized as one effective forecasting tool for crude oil price with high volatility and irregularity.     

Feature selection and parameter optimization for support vector machines: A new approach based on genetic algorithm with feature chromosomes

Support vector machines (SVM) are an emerging data classification technique with many diverse applications. The feature subset selection, along with the parameter setting in the SVM training procedure significantly influences the classification accuracy. In this paper, the asymptotic behaviors of support vector machines are fused with genetic algorithm (GA) and the feature chromosomes are generated, which thereby directs the search of genetic algorithm to the straight line of optimal generalization error in the superparameter space. On this basis, a new approach based on genetic algorithm with feature chromosomes, termed GA with feature chromosomes, is proposed to simultaneously optimize the feature subset and the parameters for SVM.To evaluate the proposed approach, the experiment adopts several real world datasets from the UCI database and from the Benchmark database. Compared with the GA without feature chromosomes, the grid search, and other approaches, the proposed approach not only has higher classification accuracy and smaller feature subsets, but also has fewer processing time.     

基于支持向量机的自动人脸识别

首先应用K-L变换对人脸图像进行特征提取,然后利用支持向量机进行识别。由于支持向量机参数对其性能有较大影响,为此采用遗传算法对其参数进行选取。为了能用较少的特征个数得到较高的识别率以提高识别速度,对所需提取的有效特征个数一并进行了选择。算法既解决了支持向量机参数选取的难题,又能够利用较少的人脸特征得到较高的识别率。利用ORL人脸库进行仿真实验。得到了97．5％的正确识别结果,验证了算法的有效性。     

基于遗传算法的支持向量机预测含能材料密度的研究

基于遗传算法(genetic algorithm,GA)的变量筛选和支持向量机(support vector machine,SVM),提出了一种改进的定量结构-性质相关(quantitative structure detonation relationship,QSPR)建模方法——遗传-支持向量机(GA-SVM),并用其建立含能材料的定量结构-爆轰性能关系(QSDR)模型,此外还应用标准SVM方法建立了QSDR模型,并用这2种模型进行呋咱系含能化合物密度的预测,随机选取85%化合物作为训练集,用来建立模型,其余化合物作为测试集来测试模型的预测能力。预测结果的交互检验的相关系数平方分别为0.9887和0.9885,平均相对误差分别为1.16%和2.12%,表明了2种建模方法的有效性。通过对2种模型的预测能力进行比较,GA-SVM方法建立的QSDR模型能更好地预测呋咱系含能化合物的密度,更利于实际应用。     

Support vector regression with chaos-based firefly algorithm for stock market price forecasting

Due to the inherent non-linearity and non-stationary characteristics of financial stock market price time series, conventional modeling techniques such as the Box–Jenkins autoregressive integrated moving average (ARIMA) are not adequate for stock market price forecasting. In this paper, a forecasting model based on chaotic mapping, firefly algorithm, and support vector regression (SVR) is proposed to predict stock market price. The forecasting model has three stages. In the first stage, a delay coordinate embedding method is used to reconstruct unseen phase space dynamics. In the second stage, a chaotic firefly algorithm is employed to optimize SVR hyperparameters. Finally in the third stage, the optimized SVR is used to forecast stock market price. The significance of the proposed algorithm is 3-fold. First, it integrates both chaos theory and the firefly algorithm to optimize SVR hyperparameters, whereas previous studies employ a genetic algorithm (GA) to optimize these parameters. Second, it uses a delay coordinate embedding method to reconstruct phase space dynamics. Third, it has high prediction accuracy due to its implementation of structural risk minimization (SRM). To show the applicability and superiority of the proposed algorithm, we selected the three most challenging stock market time series data from NASDAQ historical quotes, namely Intel, National Bank shares and Microsoft daily closed (last) stock price, and applied the proposed algorithm to these data. Compared with genetic algorithm-based SVR (SVR-GA), chaotic genetic algorithm-based SVR (SVR-CGA), firefly-based SVR (SVR-FA), artificial neural networks (ANNs) and adaptive neuro-fuzzy inference systems (ANFIS), the proposed model performs best based on two error measures, namely mean squared error (MSE) and mean absolute percent error (MAPE).     

Fault diagnosis of power transformer based on support vector machine with genetic algorithm

Diagnosis of potential faults concealed inside power transformers is the key of ensuring stable electrical power supply to consumers. Support vector machine (SVM) is a new machine learning method based on the statistical learning theory, which is a powerful tool for solving the problem with small sampling, nonlinearity and high dimension. The selection of SVM parameters has an important influence on the classification accuracy of SVM. However, it is very difficult to select appropriate SVM parameters. In this study, support vector machine with genetic algorithm (SVMG) is applied to fault diagnosis of a power transformer, in which genetic algorithm (GA) is used to select appropriate free parameters of SVM. The experimental data from several electric power companies in China are used to illustrate the performance of the proposed SVMG model. The experimental results indicate that the SVMG method can achieve higher diagnostic accuracy than IEC three ratios, normal SVM classifier and artificial neural network.     

基于启发式遗传算法的SVM模型自动选择

支撑矢量机(SVM)模型的自动选择是其实际应用的关键.常用的基于穷举搜索的留一法(LOO)很繁杂且效率很低.到目前为止,大多数的算法并不能有效地实现模型自动选择.本文利用实值编码的启发式遗传算法实现基于高斯核函数的SVM模型自动选择.在重点分析了SVM超参数对其性能的影响和两种SVM性能估计的基础上,确定了合适的遗传算法适应度函数.人造数据及实际数据的仿真结果表明了所提方法的可行性和高效性.     

Hybrid model based on wavelet support vector machine and modified genetic algorithm penalizing Gaussian noises for power load forecasts

In view of the dissatisfactory capability of the ε-insensitive loss function in field of white (Gaussian) noise of multi-dimensional load series, a new wavelet v-support vector machine with Gaussian loss function which is called Wg-SVM is put forward to penalize the Gaussian noises. To seek the optimal parameters of Wg-SVM, modified genetic algorithm (GA) is proposed to optimize parameters of Wg-SVM. The results of application in load forecasts show that the forecasting approach based on the Wg-SVM model is effective and feasible, the comparison between the method proposed in this paper and other ones is also given, which proves this method is better than other SVM methods.     

进化支持向量机模型及其在水质评估中的应用

水质评估模型是进行水质规划、环境水污染控制和环境管理的有效工具。利用遗传算法(GA)对支持向量机(SVM)分类算法的径向基核函数参数σ和错分惩罚因子C进行组合优化,建立进化支持向量机模型,并将该模型应用于水质评估中。将该模型分别应用于松花江松原段、松花江哈尔滨段、黄河甘肃段和吉林桦甸关门砬子水库的真实数据上进行测试。实验结果表明,提出的进化支持向量机水质评估模型在分类精度和泛化能力上较经典SVM方法都有所提高,表明了该方法的有效性。     

基于混合贝叶斯SVM的电价分类与预测

电价的分类与预测是电力市场电价理论研究中的重要内容。该文提出了混合贝叶斯支持向量机方法(BE-SVM)，通过贝叶斯统计方法对电价进行分类，挖掘有效的数据信息，并结合支持向量机(SVM)技术预测现货电价数据，贝叶斯前验分布和后验分布用来估计SVM中的参数。通过比较模型BE-SVM、SVM 和神经网络(ANN)的预测结果，表明该文提出的BE-SVM方法提高了电价的预测精度，是一种有效的方法。     

基于遗传算法和支持向量机的肿瘤分子分类

提出了一种基于遗传算法(GA)和支持向量机(SVM)的用于肿瘤分子分类和特征基因选择的新方法。该方法针对基因表达数据样本少维数高的特点,先根据基因的散乱度滤掉大量分类无关基因,而后使用相关性分析去除分类冗余基因,得到一个候选基因子集,用遗传算法搜索候选特征基因空间,发现在支持向量机分类器上具有好的分类性能的且含基因个数较少的特征子集。把这种GA/SVM方法应用到结肠癌和急性白血病基因表达谱,能选出多个取得较高分类精度的较小基因子集,实验结果表明了该方法的有效性。     

基于优化核极限学习机的中期电力负荷预测

针对电力负荷预测,提出了一种优化的核极限学习机(O-KELM)的方法.核极限学习机(KELM)方法仅以核函数表示未知的隐含层非线性特征映射,无需选择隐含层的节点数目,通过正则化最小二乘算法计算网络的输出权值.将优化算法应用于KELM方法中,给出基于遗传算法、微分演化、模拟退火的3种优化KELM方法,优化选择核函数的参数以及正则化系数,以进一步提高KELM方法的学习性能.为验证方法的有效性,将O-KELM方法应用于某地区的中期峰值电力负荷预测研究中,在同等条件下与优化极限学习机(O-ELM)方法、SVM等方法进行比较.实验结果表明,O-KELM方法具有很好的预测性能,其中GA-KELM方法的建模精度最高.     

基于SVM-IGA的补料分批发酵过程优化控制

针对非线性时变的发酵过程,建立了用于产物浓度预估的支持向量机（SVM）模型。在此模型基础上,利用免疫遗传算法（IGA）实现对发酵过程补料优化控制参数的寻优;实验结果表明,该方法可行,且能提高产物的产量;所提出的这种方法是对解决补料分批发酵过程优化问题的一个新尝试。     

基于粗集支持向量机的区域经济走势预测方法

针对区域经济预测中多属性而支持向量机方法无法有效选择的问题,提出了一个基于粗集理论和支持向量机的区域经济走势预测方法.方法利用粗集理论在处理多属性数据方面的优势对区域经济走势预测的条件属性进行约简,约简后的数据进入支持向量机的预测系统,从而减少了支持向量机的训练数据,在一定程度上克服了支持向量机方法处理速度慢的缺点.将方法应用于某区域经济走势预测中,获得了较好的预测结果.实证结果表明,方法具有较好的预测能力,与标准支持向量机方法相比,方法具有明显的优势.     

基于遗传算法优化支持向量机的网络流量预测

介绍了支持向量机用于时间序列预测的理论基础和遗传算法优化支持向量机参数的方法,首次把遗传算法优化参数支持向量机应用于两组实际网络流量的预测,并与BP神经网络和RBF神经网络方法进行了比较.结果表明:支持向量机相比较BP神经网络和RBF神经网络对网络流量的预测结果精度更高、性能更好.利用支持向量机预测网络流量是一种可行、有效的方法.     

Modified binary PSO for feature selection using SVM applied to mortality prediction of septic patients

This paper proposes a modified binary particle swarm optimization (MBPSO) method for feature selection with the simultaneous optimization of SVM kernel parameter setting, applied to mortality prediction in septic patients. An enhanced version of binary particle swarm optimization, designed to cope with premature convergence of the BPSO algorithm is proposed. MBPSO control the swarm variability using the velocity and the similarity between best swarm solutions. This paper uses support vector machines in a wrapper approach, where the kernel parameters are optimized at the same time. The approach is applied to predict the outcome (survived or deceased) of patients with septic shock. Further, MBPSO is tested in several benchmark datasets and is compared with other PSO based algorithms and genetic algorithms (GA). The experimental results showed that the proposed approach can correctly select the discriminating input features and also achieve high classification accuracy, specially when compared to other PSO based algorithms. When compared to GA, MBPSO is similar in terms of accuracy, but the subset solutions have less selected features.     

K线能量计算的股市生命期态势预测方法*

股市中K线特征是股价涨跌的因果信息,基于支持向量机（SVM）的股价预测模型没有考虑K线特征知识,对于股价态势难以有效预测。本文提出基于K线能量计算的股市生命期支持向量机态势预测算法（LPF-SVM）。首先,提取典型K线特征,通过引入特征的孕育成熟度和爆发力定义,给出K线特征支持向量机算法（KLF-SVM）;进而,在KLF-SVM算法基础上定义特征的能量计算模型,给出一种K线能量计算的SVM股价预测算法。为了有效地预测态势,引入股价波动的生命期概念,通过K线组合特征判定股价所处的生命期的阶段,进而结合生命期阶段之间的时序影响关系,给出一种基于生命期的股价态势预测算法。在上证和深证数据集上的实验结果表明,LPF-SVM算法对于股价上升波段和下跌波段的股价预测取得了很好的效果。     

改进的支持向量机石油期货价格预测模型研究

研究石油期货价格预测精确度问题。石油价格预测随机性很强且受到市场复杂变化条件影响,是曲型非线性问题。针对传统线性关系的价格预测模型对石油的价格预测准确度较低,提出了一种改进的支持向量机石油期货价格预测模型方法,采用石油期货价格序列的一阶差分作为SVM的输出,一阶差分的若干滞后值作为SVM的输入。同时采用一种新的滞后阶数寻优方法,将滞后阶数与其它模型参数一样看待,使用验证集中技术获得所有参数的最佳值。最后实验采集了纽约商品交易市场石油期货价格数据作为实验数据,仿真结果表明,改进的价格预测模型提高了石油价格预测的准确度,是一种有效使用的石油价格预测模型。     

基于最小二乘支持向量机的短期电力负荷预测

提出了结合遗传算法(Genetic Algorithm,GA)和最小二乘支持向量机(Least Squares Support Vector Machines,LS-SVM)的短期电力负荷预测。由于影响负荷预测因素的复杂性和最小二乘支持向量机参数选择的不确定性,提出了采用遗传算法同时对电力负荷训练样本进行特征提取和最小二乘支持向量机的参数选择,然后利用提取出的数据序列和选择的参数,建立最小二乘支持向量机预测模型。通过实际算例分析,证明了该算法可以改善预测模型的精度和泛化能力。