HAL is a multi-disciplinary open access archive for the deposit and dissemination of sci-entific ... more HAL is a multi-disciplinary open access archive for the deposit and dissemination of sci-entific research documents, whether they are pub-lished or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et a ̀ la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés. in ria
Abstract. – Prediction of financial time series using artificial neural networks has been the sub... more Abstract. – Prediction of financial time series using artificial neural networks has been the subject of many publications, even if the predictability of financial series remains a subject of scientific debate in the financial literature. Facing this difficulty, analysts often consider a large number of exogenous indica-tors, which makes the fitting of neural networks extremely difficult. In this paper, we analyze how to aggregate a large number of indicators in a smaller number using-possibly nonlinear- projection methods. Nonlinear projection methods are shown to be equivalent to the linear Principal Component Analysis when the prediction tool used on the new variables is linear. Furthermore, the computation of the nonlinear projection gives an objective way to evaluate the number of resulting indicators needed for the prediction. Finally, the advantages of nonlinear projection could be further exploited by using a subsequent nonlinear prediction model. The methodology developed i...
The Bootstrap resampling method may be efficiently used to estimate the generalization error of n... more The Bootstrap resampling method may be efficiently used to estimate the generalization error of nonlinear regression models, as artificial neural networks and especially Least-square Support Vector Machines. Nevertheless, the use of the Bootstrap implies a high computational load. In this paper we present a simple procedure to obtain a fast approximation of this generalization error with a reduced computation time. This proposal is based on empirical evidence and included in a simulation procedure.
Abstract: This work investigates the topic of solving Bilinear Matrix Inequalities (BMIs) problem... more Abstract: This work investigates the topic of solving Bilinear Matrix Inequalities (BMIs) problems in the optimal control design field, using successive resolutions of properly defined Linear Matrix Inequalities (LMIs). This technique can be described as an 'LMI-based ...
HAL is a multi-disciplinary open access archive for the deposit and dissemination of sci-entific ... more HAL is a multi-disciplinary open access archive for the deposit and dissemination of sci-entific research documents, whether they are pub-lished or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et a ̀ la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés. in ria
Abstract. – Prediction of financial time series using artificial neural networks has been the sub... more Abstract. – Prediction of financial time series using artificial neural networks has been the subject of many publications, even if the predictability of financial series remains a subject of scientific debate in the financial literature. Facing this difficulty, analysts often consider a large number of exogenous indica-tors, which makes the fitting of neural networks extremely difficult. In this paper, we analyze how to aggregate a large number of indicators in a smaller number using-possibly nonlinear- projection methods. Nonlinear projection methods are shown to be equivalent to the linear Principal Component Analysis when the prediction tool used on the new variables is linear. Furthermore, the computation of the nonlinear projection gives an objective way to evaluate the number of resulting indicators needed for the prediction. Finally, the advantages of nonlinear projection could be further exploited by using a subsequent nonlinear prediction model. The methodology developed i...
The Bootstrap resampling method may be efficiently used to estimate the generalization error of n... more The Bootstrap resampling method may be efficiently used to estimate the generalization error of nonlinear regression models, as artificial neural networks and especially Least-square Support Vector Machines. Nevertheless, the use of the Bootstrap implies a high computational load. In this paper we present a simple procedure to obtain a fast approximation of this generalization error with a reduced computation time. This proposal is based on empirical evidence and included in a simulation procedure.
Abstract: This work investigates the topic of solving Bilinear Matrix Inequalities (BMIs) problem... more Abstract: This work investigates the topic of solving Bilinear Matrix Inequalities (BMIs) problems in the optimal control design field, using successive resolutions of properly defined Linear Matrix Inequalities (LMIs). This technique can be described as an 'LMI-based ...
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