Higherorder neural network group models for financial simulation

Polynomial harmonic GMDH learning networks for time series modeling

This paper presents a constructive approach to neural network modeling of polynomial harmonic functions. This is an approach to growing higher-order networks like these build by the multilayer GMDH algorithm using activation polynomials. Two contributions for enhancement of the neural network learning are offered: (1) extending the expressive power of the network representation with another compositional scheme for combining polynomial terms and harmonics obtained analytically from the data; (2) space improving the higher-order network performance with a backpropagation algorithm for further gradient descent learning of the weights, initialized by least squares fitting during the growing phase. Empirical results show that the polynomial harmonic version phGMDH outperforms the previous GMDH, a Neurofuzzy GMDH and traditional MLP neural networks on time series modeling tasks. Applying next backpropagation training helps to achieve superior polynomial network performances.

Genetic programming of polynomial harmonic networks using the discrete Fourier transform

This paper presents a genetic programming system that evolves polynomial harmonic networks. These are multilayer feed-forward neural networks with polynomial activation functions. The novel hybrids assume that harmonics with non-multiple frequencies may enter as inputs the activation polynomials. The harmonics with non-multiple, irregular frequencies are derived analytically using the discrete Fourier transform. The polynomial harmonic networks have tree-structured topology which makes them especially suitable for evolutionary structural search. Empirical results show that this hybrid genetic programming system outperforms an evolutionary system manipulating polynomials, the traditional Koza-style genetic programming, and the harmonic GMDH network algorithm on processing time series.