Nature-inspired optimal tuning of input membership functions of Takagi-Sugeno-Kang fuzzy models for Anti-lock Braking Systems

This paper suggests a synergy of fuzzy logic and nature-inspired optimization in terms of the nature-inspired optimal tuning of the input membership functions of a class of Takagi-Sugeno-Kang (TSK) fuzzy models dedicated to Anti-lock Braking Systems (ABSs). A set of TSK fuzzy models is proposed by a novel fuzzy modeling approach for ABSs. The fuzzy modeling approach starts with the derivation of a set of local state-space models of the nonlinear ABS process by the linearization of the first-principle process model at ten operating points. The TSK fuzzy model structure and the initial TSK fuzzy models are obtained by the modal equivalence principle in terms of placing the local state-space models in the rule consequents of the TSK fuzzy models. An operating point selection algorithm to guide modeling is proposed, formulated on the basis of ranking the operating points according to their importance factors, and inserted in the third step of the fuzzy modeling approach. The optimization problems are defined such that to minimize the objective functions expressed as the average of squared modeling errors over the time horizon, and the variables of these functions are a part of the parameters of the input membership functions. Two representative nature-inspired algorithms, namely a Simulated Annealing (SA) algorithm and a Particle Swarm Optimization (PSO) algorithm, are implemented to solve the optimization problems and to obtain optimal TSK fuzzy models. The validation and the comparison of SA and PSO and of the new TSK fuzzy models are carried out for an ABS laboratory equipment. The real-time experimental results highlight that the optimized TSK fuzzy models are simple and consistent with both training data and validation data and that these models outperform the initial TSK fuzzy models.     

Developing a rule change trading system for the futures market using rough set analysis

Many technical indicators have been selected as input variables in order to develop an automated trading system that determines buying and selling trading decision using optimal trading rules within the futures market. However, optimal technical trading rules alone may not be sufficient for real-world application given the endlessly changing futures market. In this study, a rule change trading system (RCTS) that consists of numerous trading rules generated using rough set analysis is developed in order to cover diverse market conditions. To change the trading rules, a rule change mechanism based on previous trading results is proposed. Simultaneously, a genetic algorithm is employed with the objective function of maximizing the payoff ratio to determine the thresholds of market timing for both buying and selling in the futures market. An empirical study of the proposed system was conducted in the Korea Composite Stock Price Index 200 (KOSPI 200) futures market. The proposed trading system yields profitable results as compared to both the buy-and-hold strategy, and a system not utilizing a genetic algorithm for maximizing the payoff ratio.     

GSETSK: a generic self-evolving TSK fuzzy neural network with a novel Hebbian-based rule reduction approach

Takagi–Sugeno–Kang (TSK) fuzzy systems have been widely applied for solving function approximation and regression-centric problems. Existing dynamic TSK models proposed in the literature can be broadly classified into two classes. Class I TSK models are essentially fuzzy systems that are limited to time-invariant environments. Class II TSK models are generally evolving systems that can learn in time-variant environments. This paper attempts to address the issues of achieving compact, up-to-date fuzzy rule bases and interpretable knowledge bases in TSK models. It proposes a novel rule pruning method which is simple, computationally efficient and biologically plausible. This rule pruning algorithm applies a gradual forgetting approach and adopts the Hebbian learning mechanism behind the long-term potentiation phenomenon in the brain. It also proposes a merging approach which is used to improve the interpretability of the knowledge bases. This approach can prevent derived fuzzy sets from expanding too many times to protect their semantic meanings. These two approaches are incorporated into a generic self-evolving Takagi–Sugeno–Kang fuzzy framework (GSETSK) which adopts an online data-driven incremental-learning-based approach.Extensive experiments were conducted to evaluate the performance of the proposed GSETSK against other established evolving TSK systems. GSETSK has also been tested on real world dataset using the high-way traffic flow density and Dow Jones index time series. The results are encouraging. GSETSK demonstrates its fast learning ability in time-variant environments. In addition, GSETSK derives an up-to-date and better interpretable fuzzy rule base while maintaining a high level of modeling accuracy at the same time.     

A type-2 fuzzy rule-based expert system model for stock price analysis

In this paper, a type-2 fuzzy rule based expert system is developed for stock price analysis. Interval type-2 fuzzy logic system permits us to model rule uncertainties and every membership value of an element is interval itself. The proposed type-2 fuzzy model applies the technical and fundamental indexes as the input variables. This model is tested on stock price prediction of an automotive manufactory in Asia. Through the intensive experimental tests, the model has successfully forecasted the price variation for stocks from different sectors. The results are very encouraging and can be implemented in a real-time trading system for stock price prediction during the trading period.     

An intelligent hybrid trading system for discovering trading rules for the futures market using rough sets and genetic algorithms

Discovering intelligent technical trading rules from nonlinear and complex stock market data, and then developing decision support trading systems, is an important challenge. The objective of this study is to develop an intelligent hybrid trading system for discovering technical trading rules using rough set analysis and a genetic algorithm (GA). In order to obtain better trading decisions, a novel rule discovery mechanism using a GA approach is proposed for solving optimization problems (i.e., data discretization and reducts) of rough set analysis when discovering technical trading rules for the futures market. Experiments are designed to test the proposed model against comparable approaches (i.e., random, correlation, and GA approaches). In addition, these comprehensive experiments cover most of the current trading system topics, including the use of a sliding window method (with or without validation dataset), the number of trading rules, and the size of training period. To evaluate an intelligent hybrid trading system, experiments were carried out on the historical data of the Korea Composite Stock Price Index 200 (KOSPI 200) futures market. In particular, trading performance is analyzed according to the number of sets of decision rules and the size of the training period for discovering trading rules for the testing period. The results show that the proposed model significantly outperforms the benchmark model in terms of the average return and as a risk-adjusted measure.     

An adaptive neuro‐fuzzy system for stock portfolio analysis

We propose an adaptive neuro‐fuzzy inference system (ANFIS) for stock portfolio return prediction. Previous work has shown that portfolio optimization can be improved by using predicted stock earnings rather than historical earnings. We show that predicted portfolio returns can be improved by using ANFIS and taking as input a variety of technical and fundamental attributes about various indices of the stock market. To generate membership functions, we use a robust noise rejection‐clustering algorithm. The neuro‐fuzzy model is tested on portfolios constituted from the Tehran Stock Exchange. In our experiments, the proposed method performs better in predicting the portfolio return than the classical Markowitz portfolio optimization method, a multiple regression, a neural network, and the Sugeno–Yasukawa method. © 2010 Wiley Periodicals, Inc.     

An intelligent short term stock trading fuzzy system for assisting investors in portfolio management

Financial markets are complex systems influenced by many interrelated economic, political and psychological factors and characterised by inherent nonlinearities. Recently, there have been many efforts towards stock market prediction, applying various fuzzy logic techniques and using technical analysis methods.This paper presents a short term trading fuzzy system using a novel trading strategy and an “amalgam” between altered commonly used technical indicators and rarely used ones, in order to assist investors in their portfolio management. The sample consists of daily data from the general index of the Athens Stock Exchange over a period of more than 15 years (15/11/1996 to 5/6/2012), which was also divided into distinctive groups of bull and bear market periods.The results suggest that, with or without taking into consideration transaction costs, the return of the proposed fuzzy model is superior to the returns of the buy and hold strategy. Τhe proposed system can be characterised as conservative, since it produces smaller losses during bear market periods and smaller gains during bull market periods compared with the buy and hold strategy.     

A Takagi–Sugeno fuzzy model combined with a support vector regression for stock trading forecasting

The turning points prediction scheme for future time series analysis based on past and present information is widely employed in the field of financial applications. In this research, a novel approach to identify turning points of the trading signal using a fuzzy rule-based model is presented. The Takagi–Sugeno fuzzy rule-based model (the TS model) can accurately identify daily stock trading from sets of technical indicators according to the trading signals learned by a support vector regression (SVR) technique. In addition, when new trading points are created, the structure and parameters of the TS model are constantly inherited and updated. To verify the effectiveness of the proposed TS fuzzy rule-based modeling approach, we have acquired the stock trading data in the US stock market. The TS fuzzy approach with dynamic threshold control is compared with a conventional linear regression model and artificial neural networks. Our result indicates that the TS fuzzy model not only yields more profit than other approaches but also enables stable dynamic identification of the complexities of the stock forecasting system.     

一种基于进化聚类的动态TSK模型建模方法

在一种进化聚类算法（ECM）的基础上提出了一种新的动态TSK模糊模型的建模算法,以往许多神经模糊模型都不适用于自适应在线学习,而文章模型能实时地调整模糊规则库及规则参数,具有较强的在线学习能力;仿真结果表明,该方法是有效的。     

Stock Trading Using RSPOP: A Novel Rough Set-Based Neuro-Fuzzy Approach

This paper investigates the method of forecasting stock price difference on artificially generated price series data using neuro-fuzzy systems and neural networks. As trading profits is more important to an investor than statistical performance, this paper proposes a novel rough set-based neuro-fuzzy stock trading decision model called stock trading using rough set-based pseudo outer-product (RSPOP) which synergizes the price difference forecast method with a forecast bottleneck free trading decision model. The proposed stock trading with forecast model uses the pseudo outer-product based fuzzy neural network using the compositional rule of inference [POPFNN-CRI(S)] with fuzzy rules identified using the RSPOP algorithm as the underlying predictor model and simple moving average trading rules in the stock trading decision model. Experimental results using the proposed stock trading with RSPOP forecast model on real world stock market data are presented. Trading profits in terms of portfolio end values obtained are benchmarked against stock trading with dynamic evolving neural-fuzzy inference system (DENFIS) forecast model, the stock trading without forecast model and the stock trading with ideal forecast model. Experimental results showed that the proposed model identified rules with greater interpretability and yielded significantly higher profits than the stock trading with DENFIS forecast model and the stock trading without forecast model.     

Processing time estimations by variable structure TSK rules learned through genetic programming

Accuracy in processing time estimation of different manufacturing operations is fundamental to get more competitive prices and higher profits in an industry. The manufacturing times of a machine depend on several input variables and, for each class or type of product, a regression function for that machine can be defined. Time estimations are used for implementing production plans. These plans are usually supervised and modified by an expert, so information about the dependencies of processing time with the input variables is also very important. Taking into account both premises (accuracy and simplicity in information extraction), a model based on TSK (Takagi–Sugeno–Kang) fuzzy rules has been used. TSK rules fulfill both requisites: the system has a high accuracy, and the knowledge structure makes explicit the dependencies between time estimations and the input variables. We propose a TSK fuzzy rule model in which the rules have a variable structure in the consequent, as the regression functions can be completely distinct for different machines or, even, for different classes of inputs to the same machine. The methodology to learn the TSK knowledge base is based on genetic programming together with a context-free grammar to restrict the valid structures of the regression functions. The system has been tested with real data coming from five different machines of a wood furniture industry.

Computational Intelligence for Evolving Trading Rules

This paper describes an adaptive computational intelligence system for learning trading rules. The trading rules are represented using a fuzzy logic rule base, and using an artificial evolutionary process the system learns to form rules that can perform well in dynamic market conditions. A comprehensive analysis of the results of applying the system for portfolio construction using portfolio evaluation tools widely accepted by both the financial industry and academia is provided.      

Data-driven fuzzy modeling for Takagi-Sugeno-Kang fuzzy system

This paper presents a systematic approach to design first order Tagaki-Sugeno-Kang (TSK) fuzzy systems. This approach attempts to obtain the fuzzy rules without any assumption about the structure of the data. The structure identification and parameter optimization steps in this approach are carried out automatically, and are capable of finding the optimal number of the rules with an acceptable accuracy. Starting with an initial structure, the system first tries to improve the structure and, then, as soon as an improved structure is found, it fine tunes its rules’ parameters. Then, it goes back to improve the structure again to find a better structure and re-fine tune the rules’ parameters. This loop continues until a satisfactory solution (TSK model) is found. The proposed approach has successfully been applied to well-known benchmark datasets and real-world problems. The obtained results are compared with those obtained with other methods from the literature. Experimental studies demonstrate that the predicted properties have a good agreement with the measured data by using the elicited fuzzy model with a small number of rules. Finally, as a case study, the proposed approach is applied to the desulfurization process of a real steel industry. Comparing the proposed approach with some other fuzzy systems and neural networks, it is shown that the developed TSK fuzzy system exhibits better results with higher accuracy and smaller size of architecture.     

Direct adaptive power system stabilizer design using fuzzy wavelet neural network with self-recurrent consequent part

This paper aims to propose a stable fuzzy wavelet neural-based adaptive power system stabilizer (SFWNAPSS) for stabilizing the inter-area oscillations in multi-machine power systems. In the proposed approach, a self-recurrent Wavelet Neural Network (SRWNN) is applied with the aim of constructing a self-recurrent consequent part for each fuzzy rule of a Takagi-Sugeno-Kang (TSK) fuzzy model. All parameters of the consequent parts are updated online based on Direct Adaptive Control Theory (DACT) and employing a back-propagation-based approach. The stabilizer initialization is performed using an approach based on genetic algorithm (GA). A Lyapunov-based adaptive learning rates (LALRs) algorithm is also proposed in order to speed up the stabilization rate, as well as to guarantee the convergence of the proposed stabilizer. Therefore, due to having a stable powerful adaptation law, there is no requirement to use any identification process. Kundur's four-machine two-area benchmark power system and six-machine three-area power system are used with the aim of assessing the effectiveness of the proposed stabilizer. The results are promising and show that the inter-area oscillations are successfully damped by the SFWNAPSS. Furthermore, the superiority of the proposed stabilizer is demonstrated over the IEEE standard multi-band power system stabilizer (MB-PSS), and the conventional PSS.     

Parameter Identification of Recurrent Fuzzy Systems With Fuzzy Finite-State Automata Representation

This paper presents the identification of nonlinear dynamical systems by recurrent fuzzy system (RFS) models. Two types of RFS models are discussed: the Takagi-Sugeno-Kang (TSK) type and the linguistic or Mamdani type. Both models are equivalent and the latter model may be represented by a fuzzy finite-state automaton (FFA). An identification procedure is proposed based on a standard general purpose genetic algorithm (GA). First, the TSK rule parameters are estimated and, in a second step, the TSK model is converted into an equivalent linguistic model. The parameter identification is evaluated in some benchmark problems for nonlinear system identification described in literature. The results show that RFS models achieve good numerical performance while keeping the interpretability of the actual system dynamics.     

结构辨识和参数优化协同学习的概率TSK模糊系统

传统Takagi-Sugeno-Kang(TSK)模糊系统的结构辨识和参数优化往往分阶段进行,同时模糊规则数需要预先设定,因此TSK模糊系统的逼近性能和解释性往往不理想.针对此问题,提出了一种结构辨识和参数优化协同学习的概率TSK模糊系统(Probabilistic TSK fuzzy system,PTSK).首先,...     

Efficient stock price prediction using a Self Evolving Recurrent Neuro-Fuzzy Inference System optimized through a Modified Differential Harmony Search Technique

This paper proposes a new Self Evolving Recurrent Neuro-Fuzzy Inference System (SERNFIS) for efficient prediction of highly fluctuating and irregular financial time series data like stock market indices over varying time frames. The network is modeled including the first order Takagi Sugeno Kang (TSK) type fuzzy if then rules with two types of feedback loops. The recurrent structure in the proposed model comes from locally feeding the firing strength of the fuzzy rule back to itself and by including a few time delay components at the output layer. The novelty of the model is based on the fact that the internal temporal feedback loops and time delayed output feedback loops are used for further enhancing the prediction capability of traditional neuro-fuzzy system in handling more dynamic financial time series data. Another recurrent functional link artificial neural network (RCEFLANN) model is also presented for a comparative study. In the second part of the paper a modified differential harmony search (MDHS) technique is proposed for estimating the parameters of the model including the antecedent, consequent and feedback loop parameters. Experimental results obtained by implementing the model on two different stock market indices demonstrate the effectiveness of the proposed model compared to existing models for stock price prediction.     

利用模糊系统的自适应模糊控制器

针对非线性系统控制,设计了利用TSK(Takagi-Sugeno-Kang)模糊系统的自适应模糊控制器。所设计的自适应控制方法是参考模型自适应控制方法,而且利用Lyapunov函数保证了闭环系统的稳定性,同时推导了最优的自适应控制规律。首先,根据控制对象的输入输出数据建立TSK模糊模型,然后,由TSK模糊模型设计初期的TSK模糊控制器,并根据自适应规律随时调整模糊控制器参数。倒立摆系统的仿真实验验证了所设计的自适应模糊控制器的有效性。     

Dynamic parameter optimization of evolutionary computation for on-line prediction of time series with changing dynamics

This paper introduces a dynamic evolving computation system (DECS) model, for adaptive on-line learning, and its application for dynamic time series prediction. DECS evolve through evolving clustering method and evolutionary computation for structure learning, Levenberg–Marquardt method for parameter learning, learning and accommodate new input data. DECS is created and updated during the operation of the system. At each time moment the output of DECS is calculated through a knowledge rule inference system based on m-most activated fuzzy rules which are dynamically chosen from a fuzzy rule set. An approach is proposed for a dynamic creation of a first order Takagi–Sugeno type fuzzy rule set for the DECS model. The fuzzy rules can be inserted into DECS before, or during its learning process, and the rules can also be extracted from DECS during, or after its learning process. It is demonstrated that DECS can effectively learn complex temporal sequences in an adaptive way and outperform some existing models.     

Building Technical Trading System with Genetic Programming: A New Method to Test the Efficiency of Chinese Stock Markets

Testing whether technical trading rules can beat buy-and-hold strategy is a common approach to study the efficiency of stock markets. Noticing that the common approach of evaluating popular technical trading rules’ profitability would result in the biases of data snooping and incomplete test, we build a technical trading system with genetic programming to test the efficiency of Chinese stock markets. This system takes historical prices and volumes as inputs, randomly generates treelike structured technical trading rules composed of basic functions, and optimizes the rules using genetic programming according to the inputs. Using daily prices and volumes of Shenzhen Stock Exchange 100 index from January 2, 2004 to March 12, 2010, we find out that the optimal technical trading rules generated by our technical trading system have statistically significant out-of-sample excess returns compared with buy-and-hold strategy considering realistic transaction costs. Therefore, we conclude that Chinese stock markets have not achieved weak-form efficiency.