An adaptive stock index trading decision support system

Predicting the direction and movement of stock index prices is difficult, often leading to excessive trading, transaction costs, and missed opportunities. Often traders need a systematic method to not only spot trading opportunities, but to also provide a consistent approach, thereby minimizing trading errors and costs. While mechanical trading systems exist, they are usually designed for a specific stock, stock index, or other financial asset, and are often highly dependent on preselected inputs and model parameters that are expected to continue providing trading information well after the initial training or back-tested model development period. The following research leads to a detailed trading model that provides a more effective and intelligent way for recognizing trading signals and assisting investors with trading decisions by utilizing a system that adapts both the inputs and the prediction model based on the desired output. To illustrate the adaptive approach, multiple inputs and modeling techniques are utilized, including neural networks, particle swarm optimization, and denoising. Simulations with stock indexes illustrate how traders can generate higher returns using the developed adaptive decision support system model. The benefits of adding adaptive and intelligent decision making to forecasts are also discussed.     

一类离散时变系统的在线无限脉冲响应滤波逆控制

针对一类离散时变系统,提出了一种基于自适应惯性权重合作粒子群（AIW—CPSO）算法的在线尢限脉冲响应（IIR）滤波自适应系统辨识方法,实现零极点实时跟踪的全匹配控制．IIR滤波器可解决有限脉冲响应（FIR）滤波器在辨识时变系统时因其相关矩阵的特征值会无规律变大而被迫离线训练的问题．同时义降低了在线训练所需的权值向量长度,提升了优化与建模效率．本文设计的白适应惯性权重合作粒子群（AIW—CPSO）算法可在传统卡讧子群优化（PSO）算法的基础上更好地解决因选用IIR滤波器所带来的全局优化问题．通过仿真分析可以看出,对十此类离散时变系统,基于在线AIW—CPSO—IIR滤波器的自适应逆控制方法可以快速有效的实现未知对象的在线建模,同时实时跟踪时变系统的特征值变化．     

基于改进PSO的发酵过程同步串联混合建模

准确可靠的过程模型是实现发酵过程优化的基础和前提. 对于反应机理复杂的发酵过程,串联混合建模是一种相对有效的建模方法, 但现有方法需要利用插值所得的数据进行中间变量黑箱模型的构建, 较大程度地影响了所建混合模型的泛化性能. 为此,提出一种可将黑箱模型构建问题转化为动态模型参数辨识问题的同步串联混合建模方法, 从而避免了现有方法需利用插值数据来构建黑箱模型的不足; 通过引入多精英学习策略和惯性权重自适应调整策略, 构造了一种改进的粒子群优化(Particle swarm optimization, PSO)算法自适应多精英学习PSO (Adaptive multi-elite learning PSO, AMLPSO)算法,并采用该算法求取黑箱模型的参数; 借鉴均匀设计思想确定黑箱模型的结构. 利用诺西肽分批发酵过程实际生产数据进行实验研究, 结果验证了所提方法的有效性.     

改进粒子群算法优化支持向量机的短期负荷预测

针对支持向量回归机在预测建模中的参数选取问题,提出一种基于混沌自适应策略的粒子群优化支持向量回归机参数的方法.采用混沌映射算法和聚合度自适应判断策略,增强种群的全局寻优性能,提升粒子的多样性,从而避免种群过早收敛.充分考虑天气、节假日、居民消费等因素的影响,提出一种改进的支持向量回归机预测模型并与粒子群算法的支持向量回...     

基于粒子群优化算法求解软件可靠性分配问题

首先介绍粒子群优化的搜索策略与基本算法,通过构造具有自适应权重ω的改进方法,有效地改善了粒子群优化算法的搜索效率和搜索精度,并应用于求解软件可靠性分配问题中。实验表明了PSO在求解软件可靠性分配问题的有效性。     

Learning to trade via direct reinforcement

We present methods for optimizing portfolios, asset allocations, and trading systems based on direct reinforcement (DR). In this approach, investment decision-making is viewed as a stochastic control problem, and strategies are discovered directly. We present an adaptive algorithm called recurrent reinforcement learning (RRL) for discovering investment policies. The need to build forecasting models is eliminated, and better trading performance is obtained. The direct reinforcement approach differs from dynamic programming and reinforcement algorithms such as TD-learning and Q-learning, which attempt to estimate a value function for the control problem. We find that the RRL direct reinforcement framework enables a simpler problem representation, avoids Bellman's curse of dimensionality and offers compelling advantages in efficiency. We demonstrate how direct reinforcement can be used to optimize risk-adjusted investment returns (including the differential Sharpe ratio), while accounting for the effects of transaction costs. In extensive simulation work using real financial data, we find that our approach based on RRL produces better trading strategies than systems utilizing Q-learning (a value function method). Real-world applications include an intra-daily currency trader and a monthly asset allocation system for the S&P 500 Stock Index and T-Bills.     

基于粒子群算法的飞行器再入轨迹优化

提出将粒子群优化算法（PSO）应用于飞行器再入轨迹优化。以最小控制能量高超声速飞行器再入轨迹优化为例,对飞行器运动模型进行简化和控制量参数化,粒子群算法采用自适应权值,并充分利用飞行器再入时的运动特性来设置PSO算法初始参数,分析比较仿真步数对结果的影响。仿真结果表明提出方法的有效性和优越性。     

基于动态函数连接神经网络的自适应逆控制系统辨识研究

自适应逆控制将系统扰动消除和动态响应性能独立分开控制,其性能的优劣取决于系统对象、逆对象及逆控制器模型辨识精度的高低。文中提出用动态函数连接神经网络来实现自适应逆控制系统对象、逆对象的同时在线建模和逆控制器的离线建模,并将模型参数的辨识转化为空间参数寻优。针对混沌初始化对已收敛种群结构的破坏性,提出用变参数混沌粒子群优化算法对神经网络权值进行全局寻优,通过仿真实验可以看出基于动态函数连接神经网络的建模误差小,辨识精度高;与当前的参考模型自适应控制方法进行对比分析,所提方法能取得较好的扰动消除效果,并能使系统的跟踪响应性能得到提高,从而验证了方法的有效性、可行性。     

基于微粒群算法的非线性系统建模方法研究

针对非线性系统多模型自适应控制中的模型覆盖问题,提出一种基于微粒群算法的多模型建模方法.首先,对非线性系统定义了基于混合逻辑模型的多模型描述,建立了非线性系统的混合线性多模型;然后,基于微粒群优化算法对非线性系统进行优化建模,在保证建模准确性的同时采用最少的子模型逼近非线性系统;最后,通过一个仿真算例表明了该建模方法的有效性.     

基于粒子群优化的Wiener模型辨识与实例研究

针对一类工业过程中可描述成Wiener模型的非线性系统,其辨识问题可等价成以估计参数为优化变量的非线性极小值优化问题．利用粒子群优化(PSO)算法在整个参数空间内并行搜索获得极小值优化问题的最优解(Wiener模型的最优估计),通过对粒子的迭代轨迹进行分析,改进了PSO算法中惯性权重和学习因子的选择．通过一个Wiener模型的数值仿真验证了本文提出的辨识方法的有效性和实用性,并将该方法应用在连续退火机组加热炉产品质量模型的辨识研究,取得了满意的辨识效果．     

On a cuckoo search optimization approach towards feedback system identification

This paper presents a cuckoo search algorithm (CSA) based adaptive infinite impulse response (IIR) system identification scheme. The proposed scheme prevents the local minima problem encountered in conventional IIR modeling mechanisms. The performance of the new method has been compared with that obtained by other evolutionary computing algorithms like genetic algorithm (GA) and particle swarm optimization (PSO). The superior system identification capability of the proposed scheme is evident from the results obtained through an exhaustive simulation study.     

基于量子行为粒子群优化方法的随机规划算法

在不断变化的金融市场中,多阶段投资组合优化通过周期性地重组投资对象来追求回报最大,风险最小。提出了使用基于量子化行为的粒子群优化算法（Quantum-behaved Particle Swarm Optimization,QPSO）解决多阶段投资优化问题,并使用经典的利润风险函数作为目标函数,通过算法对标准普尔指数100的不同股票和现金进行投资组合的优化研究。根据实验得出的期望收益率与方差表明,QPSO算法在寻找全局最优解方面要优于粒子群算法（Particle Swarm Optimization,PSO）和遗传算法（Genetic Algorithm,GA）。     

基于改进粒子群算法的再入飞行器轨迹优化

采用基于距离量度和自适应惩罚相结合的约束处理技术的改进粒子群优化算法(PSO)应用于再入飞行器轨迹优化,避免适应值函数中复杂的罚函数及罚因子的设计,提高优化算法的通用性.以高超声速飞行器最小控制量再入轨迹优化为例,并对飞行器运动模型进行简化及控制量参数化.对两种不同的高超声速飞行器模型进行优化,仿真结果验证算法的有效性...     

Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model

On the basis of the market microstructure theory, a continuous time microstructure model is proposed for describing the dynamics of financial markets with stochastic volatility property. From the microstructure model, one may obtain the estimates of two state variables, which represent the market excess demand and liquidity respectively but cannot be directly observed. Based on the indirectly obtained excess demand information instead of the prediction of price, a simple asset dynamic allocation approach is investigated. The local linearization method, nonlinear Kalman filter and maximum likelihood method-based estimation approach for the microstructure model proposed is presented. Case studies on the financial markets modelling and the estimated model-based asset dynamic allocation control for the JPY/USD (Japanese Yen/US Dollar) exchange rate and Japan TOPIX (Tokyo stock Price IndeX) show a satisfactory modelling precision and dynamic allocation performance.     

一种辨识Wiener-Hammerstein模型的新方法

针对非线性Wiener-Hammerstein模型,提出利用粒子群优化算法对非线性模型进行辨识的新方法.该方法的基本思想是将非线性系统的辨识问题转化为参数空间上的优化问题;然后采用粒子群优化算法获得该优化问题的解.为了进一步增强粒子群优化算法的辨识性能,提出利用一种混合粒子群优化算法.最后,仿真结果验证了该方法的有效性和可行性.     

二阶微粒群优化神经网络的混沌系统辨识方法

针对BP神经网络在学习算法中的不足,将BP神经网络的权值和阀值训练问题转换为优化问题,提出一种利用二阶微粒群算法优化的神经网络的算法。其次,运用基于二阶微粒群算法训练的神经网络模型对混沌系统进行辨识,并与传统的BP神经网络、RBF网络对同一混沌系统辨识的结果进行比较。实验表明,利用二阶微粒群优化算法训练神经网络进行混沌系统辨识,辨识的效果优于其它几种神经网络模型,可有效用于混沌系统的辨识。     

基于粒子群优化的非线性系统最小二乘支持向量机预测控制方法

对于非线性系统预测控制问题, 本文提出了一种基于模型学习和粒子群优化(PSO)的单步预测控制算法.该方法使用最小二乘支持向量机(LS-SVM)建立非线性系统模型并预测系统的输出值, 通过输出反馈和偏差校正减少预测误差, 由PSO滚动优化获得非线性系统的控制量. 该方法能在非线性系统数学模型未知的情况下设计出有效的预测控制器. 通过对单变量多变量非线性系统进行仿真, 证明了该预测控制方法是有效的, 且具有良好的自适应能力和鲁棒性.     

基于协同进化PSO的分类器学习算法

微粒群算法是一种简单、随机的进化群体算法,能够有效地解决数学性质比较复杂的优化问题。神经网络分类器能够解决复杂的非线性空间上分类的问题,它的训练学习算法要求更简单有效。文中将微粒群优化算法应用于神经网络分类器的学习,并加入协同进化机制以增强其性能。实例表明协同PSO算法的优越性。     

无线传感器网络数据传输延时分配算法

为了提高箭载无线传感网络对火箭温度、冲击、热流等物理参数的处理能力,需对所采集的数据进行自适应延时分配,因此设计一种基于时隙窗口间隔均衡控制的无线传感器网络数据传输延时分配算法。构建火箭温度、振动、冲击等参数的数据采集模型,采用分布式网格均衡配置方法对无线传感器网络中的节点进行均衡部署;结合最短路径寻优方法使数据采集过程中的信道分配达到均衡,构建数据采集最短路径寻优控制模型,采用输出比特序列重组方法进行数据采集过程中的传输延迟配置;结合码元调节技术对数据传输进行自适应扩频调节,利用时隙窗口间隔均衡控制方法实现无线传感器网络数据传输延时分配。实验结果表明,采用该方法进行无线传感器网络数据传输延时分配的自适应性较好,输出稳定性较强、分配输出错误率低,有效性更强。     

Chaos particle swarm optimization and T-S fuzzy modeling approaches to constrained predictive control

Predictive control of systems is very much related to the efficiency and cost of systems, as well as to the quality of systems outcomes. However, it is difficult to achieve optimal predictive control because most predictive controls for systems have characteristics of randomness, strong and complex constraints, large delay time, fuzziness, and nonlinearity. Conventional methods of solving constrained nonlinear optimization problems for predictive control are mainly based on quadratic programming, which is quite sensitive to initial values, easy to trap in local minimal points, and requires large computational effort. In recent years, T-S fuzzy modeling has been found to be an effective approach in performing predictive control. Intelligent optimization algorithms, such as chaos optimization algorithm (COA) and particle swarm optimization (PSO), have been shown to have faster convergence and higher iterative accuracy than those based on conventional optimization methods. In this paper, chaos particle swarm optimization (CPSO), which involves combining the strengths of COA and PSO, and T-S fuzzy modeling are proposed as approaches to perform constrained predictive control. Predictive control of temperature of continued hyperthermic celiac perfusion for medical treatment based on the proposed approaches was carried out. Simulation tests were conducted to evaluate the performance of temperature control based on T-S fuzzy modeling and CPSO. Test results indicate that the T-S fuzzy model based on CPSO outperforms models based on generalized predictive control, COA, and PSO.