Abstract: Due to the increasing and varying risks that economic units face with, derivative instruments gain substantial importance, and trading volumes of derivatives have reached very significant level. Parallel with these high trading volumes, researchers have developed many different models. Some are parametric, some are nonparametric. In this study, the aim is to analyse the success of artificial neural network in pricing of options with S&P 100 index options data. Generally, the previous studies cover the data of European type call options. This study includes not only European call option but also American call and put options and European put options. Three data sets are used to perform three different ANN models. One only includes data that are directly observed from the economic environment, i.e. strike price, spot price, interest rate, maturity, type of the contract. The others include an extra input that is not an observable data but a parameter, i.e. volatility. With these detail data, the performance of ANN in put/call dimension, American/European dimension, moneyness dimension is analyzed and whether the contribution of the volatility in neural network analysis make improvement in prediction performance or not is examined. The most striking results revealed by the study is that ANN shows better performance when pricing call options compared to put options; and the use of volatility parameter as an input does not improve the performance.
Abstract: In a particular case of behavioural model reduction by ANNs, a validity domain shortening has been found. In mechanics, as in other domains, the notion of validity domain allows the engineer to choose a valid model for a particular analysis or simulation. In the study of mechanical behaviour for a cantilever beam (using linear and non-linear models), Multi-Layer Perceptron (MLP) Backpropagation (BP) networks have been applied as model reduction technique. This reduced model is constructed to be more efficient than the non-reduced model. Within a less extended domain, the ANN reduced model estimates correctly the non-linear response, with a lower computational cost. It has been found that the neural network model is not able to approximate the linear behaviour while it does approximate the non-linear behaviour very well. The details of the case are provided with an example of the cantilever beam behaviour modelling.
Abstract: In this paper back-propagation artificial neural
network (BPANN) with Levenberg–Marquardt algorithm is
employed to predict the limiting drawing ratio (LDR) of the deep
drawing process. To prepare a training set for BPANN, some finite
element simulations were carried out. die and punch radius, die arc
radius, friction coefficient, thickness, yield strength of sheet and
strain hardening exponent were used as the input data and the LDR
as the specified output used in the training of neural network. As a
result of the specified parameters, the program will be able to
estimate the LDR for any new given condition. Comparing FEM and
BPANN results, an acceptable correlation was found.
Abstract: In this paper we present an adaptive method for image
compression that is based on complexity level of the image. The
basic compressor/de-compressor structure of this method is a multilayer
perceptron artificial neural network. In adaptive approach
different Back-Propagation artificial neural networks are used as
compressor and de-compressor and this is done by dividing the
image into blocks, computing the complexity of each block and then
selecting one network for each block according to its complexity
value. Three complexity measure methods, called Entropy, Activity
and Pattern-based are used to determine the level of complexity in
image blocks and their ability in complexity estimation are evaluated
and compared. In training and evaluation, each image block is
assigned to a network based on its complexity value. Best-SNR is
another alternative in selecting compressor network for image blocks
in evolution phase which chooses one of the trained networks such
that results best SNR in compressing the input image block. In our
evaluations, best results are obtained when overlapping the blocks is
allowed and choosing the networks in compressor is based on the
Best-SNR. In this case, the results demonstrate superiority of this
method comparing with previous similar works and JPEG standard
coding.
Abstract: In this paper, the modelling and design of artificial neural network architecture for load forecasting purposes is investigated. The primary pre-requisite for power system planning is to arrive at realistic estimates of future demand of power, which is known as Load Forecasting. Short Term Load Forecasting (STLF) helps in determining the economic, reliable and secure operating strategies for power system. The dependence of load on several factors makes the load forecasting a very challenging job. An over estimation of the load may cause premature investment and unnecessary blocking of the capital where as under estimation of load may result in shortage of equipment and circuits. It is always better to plan the system for the load slightly higher than expected one so that no exigency may arise. In this paper, a load-forecasting model is proposed using a multilayer neural network with an appropriately modified back propagation learning algorithm. Once the neural network model is designed and trained, it can forecast the load of the power system 24 hours ahead on daily basis and can also forecast the cumulative load on daily basis. The real load data that is used for the Artificial Neural Network training was taken from LDC, Gujarat Electricity Board, Jambuva, Gujarat, India. The results show that the load forecasting of the ANN model follows the actual load pattern more accurately throughout the forecasted period.
Abstract: Non-Destructive evaluation of in-service power
transformer condition is necessary for avoiding catastrophic failures.
Dissolved Gas Analysis (DGA) is one of the important methods.
Traditional, statistical and intelligent DGA approaches have been
adopted for accurate classification of incipient fault sources.
Unfortunately, there are not often enough faulty patterns required for
sufficient training of intelligent systems. By bootstrapping the
shortcoming is expected to be alleviated and algorithms with better
classification success rates to be obtained. In this paper the
performance of an artificial neural network, K-Nearest Neighbour
and support vector machine methods using bootstrapped data are
detailed and shown that while the success rate of the ANN algorithms
improves remarkably, the outcome of the others do not benefit so
much from the provided enlarged data space. For assessment, two
databases are employed: IEC TC10 and a dataset collected from
reported data in papers. High average test success rate well exhibits
the remarkable outcome.
Abstract: All the available algorithms for blind estimation namely constant modulus algorithm (CMA), Decision-Directed Algorithm (DDA/DFE) suffer from the problem of convergence to local minima. Also, if the channel drifts considerably, any DDA looses track of the channel. So, their usage is limited in varying channel conditions. The primary limitation in such cases is the requirement of certain overhead bits in the transmit framework which leads to wasteful use of the bandwidth. Also such arrangements fail to use channel state information (CSI) which is an important aid in improving the quality of reception. In this work, the main objective is to reduce the overhead imposed by the pilot symbols, which in effect reduces the system throughput. Also we formulate an arrangement based on certain dynamic Artificial Neural Network (ANN) topologies which not only contributes towards the lowering of the overhead but also facilitates the use of the CSI. A 2×2 Multiple Input Multiple Output (MIMO) system is simulated and the performance variation with different channel estimation schemes are evaluated. A new semi blind approach based on dynamic ANN is proposed for channel tracking in varying channel conditions and the performance is compared with perfectly known CSI and least square (LS) based estimation.
Abstract: In modern human computer interaction systems
(HCI), emotion recognition is becoming an imperative characteristic.
The quest for effective and reliable emotion recognition in HCI has
resulted in a need for better face detection, feature extraction and
classification. In this paper we present results of feature space analysis
after briefly explaining our fully automatic vision based emotion
recognition method. We demonstrate the compactness of the feature
space and show how the 2d/3d based method achieves superior features
for the purpose of emotion classification. Also it is exposed that
through feature normalization a widely person independent feature
space is created. As a consequence, the classifier architecture has
only a minor influence on the classification result. This is particularly
elucidated with the help of confusion matrices. For this purpose
advanced classification algorithms, such as Support Vector Machines
and Artificial Neural Networks are employed, as well as the simple k-
Nearest Neighbor classifier.
Abstract: The new idea of analyze of power system failure with
use of artificial neural network is proposed. An analysis of the
possibility of simulating phenomena accompanying system faults and
restitution is described. It was indicated that the universal model for
the simulation of phenomena in whole analyzed range does not exist.
The main classic method of search of optimal structure and
parameter identification are described shortly. The example with
results of calculation is shown.
Abstract: This paper is mainly concerned with the application of
a novel technique of data interpretation for classifying measurements
of plasma columns in Tokamak reactors for nuclear fusion
applications. The proposed method exploits several concepts derived
from soft computing theory. In particular, Artificial Neural Networks
and Multi-Class Support Vector Machines have been exploited to
classify magnetic variables useful to determine shape and position of
the plasma with a reduced computational complexity. The proposed
technique is used to analyze simulated databases of plasma equilibria
based on ITER geometry configuration. As well as demonstrating the
successful recovery of scalar equilibrium parameters, we show that
the technique can yield practical advantages compared with earlier
methods.
Abstract: The mitigation of crop loss due to damaging freezes requires accurate air temperature prediction models. An improved model for temperature prediction in Georgia was developed by including information on seasonality and modifying parameters of an existing artificial neural network model. Alternative models were compared by instantiating and training multiple networks for each model. The inclusion of up to 24 hours of prior weather information and inputs reflecting the day of year were among improvements that reduced average four-hour prediction error by 0.18°C compared to the prior model. Results strongly suggest model developers should instantiate and train multiple networks with different initial weights to establish appropriate model parameters.
Abstract: An artificial neural network (ANN) model is
presented for the prediction of kinematic viscosity of binary mixtures
of poly (ethylene glycol) (PEG) in water as a function of temperature,
number-average molecular weight and mass fraction. Kinematic
viscosities data of aqueous solutions for PEG (0.55419×10-6 –
9.875×10-6 m2/s) were obtained from the literature for a wide range
of temperatures (277.15 - 338.15 K), number-average molecular
weight (200 -10000), and mass fraction (0.0 – 1.0). A three layer
feed-forward artificial neural network was employed. This model
predicts the kinematic viscosity with a mean square error (MSE) of
0.281 and the coefficient of determination (R2) of 0.983. The results
show that the kinematic viscosity of binary mixture of PEG in water
could be successfully predicted using an artificial neural network
model.
Abstract: Nowadays, several techniques such as; Fuzzy
Inference System (FIS) and Neural Network (NN) are employed for
developing of the predictive models to estimate parameters of water
quality. The main objective of this study is to compare between the
predictive ability of the Adaptive Neuro-Fuzzy Inference System
(ANFIS) model and Artificial Neural Network (ANN) model to
estimate the Biochemical Oxygen Demand (BOD) on data from 11
sampling sites of Saen Saep canal in Bangkok, Thailand. The data is
obtained from the Department of Drainage and Sewerage, Bangkok
Metropolitan Administration, during 2004-2011. The five parameters
of water quality namely Dissolved Oxygen (DO), Chemical Oxygen
Demand (COD), Ammonia Nitrogen (NH3N), Nitrate Nitrogen
(NO3N), and Total Coliform bacteria (T-coliform) are used as the
input of the models. These water quality indices affect the
biochemical oxygen demand. The experimental results indicate that
the ANN model provides a higher correlation coefficient (R=0.73)
and a lower root mean square error (RMSE=4.53) than the
corresponding ANFIS model.
Abstract: Development of artificial neural network (ANN) for
prediction of aluminum workpieces' surface roughness in ultrasonicvibration
assisted turning (UAT) has been the subject of the present
study. Tool wear as the main cause of surface roughness was also
investigated. ANN was trained through experimental data obtained
on the basis of full factorial design of experiments. Various
influential machining parameters were taken into consideration. It
was illustrated that a multilayer perceptron neural network could
efficiently model the surface roughness as the response of the
network, with an error less than ten percent. The performance of the
trained network was verified by further experiments. The results of
UAT were compared with the results of conventional turning
experiments carried out with similar machining parameters except for
the vibration amplitude whence considerable reduction was observed
in the built-up edge and the surface roughness.
Abstract: The main goal of the present work is to decrease the
computational burden for optimum design of steel frames with
frequency constraints using a new type of neural networks called
Wavelet Neural Network. It is contested to train a suitable neural
network for frequency approximation work as the analysis program.
The combination of wavelet theory and Neural Networks (NN)
has lead to the development of wavelet neural networks.
Wavelet neural networks are feed-forward networks using
wavelet as activation function. Wavelets are mathematical
functions within suitable inner parameters, which help them to
approximate arbitrary functions. WNN was used to predict the
frequency of the structures. In WNN a RAtional function with
Second order Poles (RASP) wavelet was used as a transfer
function. It is shown that the convergence speed was faster
than other neural networks. Also comparisons of WNN with
the embedded Artificial Neural Network (ANN) and with
approximate techniques and also with analytical solutions are
available in the literature.
Abstract: Corporate credit rating prediction using statistical and
artificial intelligence (AI) techniques has been one of the attractive
research topics in the literature. In recent years, multiclass
classification models such as artificial neural network (ANN) or
multiclass support vector machine (MSVM) have become a very
appealing machine learning approaches due to their good
performance. However, most of them have only focused on classifying
samples into nominal categories, thus the unique characteristic of the
credit rating - ordinality - has been seldom considered in their
approaches. This study proposes new types of ANN and MSVM
classifiers, which are named OMANN and OMSVM respectively.
OMANN and OMSVM are designed to extend binary ANN or SVM
classifiers by applying ordinal pairwise partitioning (OPP) strategy.
These models can handle ordinal multiple classes efficiently and
effectively. To validate the usefulness of these two models, we applied
them to the real-world bond rating case. We compared the results of
our models to those of conventional approaches. The experimental
results showed that our proposed models improve classification
accuracy in comparison to typical multiclass classification techniques
with the reduced computation resource.
Abstract: Self-Excited Induction Generator (SEIG) builds up voltage while it enters in its magnetic saturation region. Due to non-linear magnetic characteristics, the performance analysis of SEIG involves cumbersome mathematical computations. The dependence of air-gap voltage on saturated magnetizing reactance can only be established at rated frequency by conducting a laboratory test commonly known as synchronous run test. But, there is no laboratory method to determine saturated magnetizing reactance and air-gap voltage of SEIG at varying speed, terminal capacitance and other loading conditions. For overall analysis of SEIG, prior information of magnetizing reactance, generated frequency and air-gap voltage is essentially required. Thus, analytical methods are the only alternative to determine these variables. Non-existence of direct mathematical relationship of these variables for different terminal conditions has forced the researchers to evolve new computational techniques. Artificial Neural Networks (ANNs) are very useful for solution of such complex problems, as they do not require any a priori information about the system. In this paper, an attempt is made to use cascaded neural networks to first determine the generated frequency and magnetizing reactance with varying terminal conditions and then air-gap voltage of SEIG. The results obtained from the ANN model are used to evaluate the overall performance of SEIG and are found to be in good agreement with experimental results. Hence, it is concluded that analysis of SEIG can be carried out effectively using ANNs.
Abstract: This paper presents a new approach using Combined Artificial Neural Network (CANN) module for daily peak load forecasting. Five different computational techniques –Constrained method, Unconstrained method, Evolutionary Programming (EP), Particle Swarm Optimization (PSO), and Genetic Algorithm (GA) – have been used to identify the CANN module for peak load forecasting. In this paper, a set of neural networks has been trained with different architecture and training parameters. The networks are trained and tested for the actual load data of Chennai city (India). A set of better trained conventional ANNs are selected to develop a CANN module using different algorithms instead of using one best conventional ANN. Obtained results using CANN module confirm its validity.
Abstract: A feed-forward, back-propagation Artificial Neural
Network (ANN) model has been used to forecast the occurrences of
wastewater overflows in a combined sewerage reticulation system.
This approach was tested to evaluate its applicability as a method
alternative to the common practice of developing a complete
conceptual, mathematical hydrological-hydraulic model for the
sewerage system to enable such forecasts. The ANN approach
obviates the need for a-priori understanding and representation of the
underlying hydrological hydraulic phenomena in mathematical terms
but enables learning the characteristics of a sewer overflow from the
historical data.
The performance of the standard feed-forward, back-propagation
of error algorithm was enhanced by a modified data normalizing
technique that enabled the ANN model to extrapolate into the
territory that was unseen by the training data. The algorithm and the
data normalizing method are presented along with the ANN model
output results that indicate a good accuracy in the forecasted sewer
overflow rates. However, it was revealed that the accurate
forecasting of the overflow rates are heavily dependent on the
availability of a real-time flow monitoring at the overflow structure
to provide antecedent flow rate data. The ability of the ANN to
forecast the overflow rates without the antecedent flow rates (as is
the case with traditional conceptual reticulation models) was found to
be quite poor.
Abstract: Drying characteristics of rough rice (variety of lenjan) with an initial moisture content of 25% dry basis (db) was studied in a hot air dryer assisted by infrared heating. Three arrival air temperatures (30, 40 and 500C) and four infrared radiation intensities (0, 0.2 , 0.4 and 0.6 W/cm2) and three arrival air speeds (0.1, 0.15 and 0.2 m.s-1) were studied. Bending strength of brown rice kernel, percentage of cracked kernels and time of drying were measured and evaluated. The results showed that increasing the drying arrival air temperature and radiation intensity of infrared resulted decrease in drying time. High bending strength and low percentage of cracked kernel was obtained when paddy was dried by hot air assisted infrared dryer. Between this factors and their interactive effect were a significant difference (p