The vibration signals measured from a rolling bearing are usually affected by the variable operating conditions and background noise which lead to the diversity and complexity of the vibration signal characteristics, and it is a challenge to effectively identify the rolling bearing faults from such vibration signals with no further fault information. In this paper, a novel optimization deep belief network (DBN) is proposed for rolling bearing fault diagnosis. Stochastic gradient descent is used to efficiently fine-tune all the connection weights after the pre-training of restricted Boltzmann machines (RBMs) based on the energy functions, and the classification accuracy of the DBN is improved. Particle swarm is further used to decide the optimal structure of the trained DBN, and the optimization DBN is designed. The proposed method is applied to analyze the simulation signal and experimental signal of a rolling bearing. The results confirm that the proposed method is more accurate and robust than other intelligent methods.

https://iopscience.iop.org/article/10.1088/0957-0233/26/11/115002/pdf

Rolling bearing fault diagnosis using an optimization deep belief network

Rainfall-runoff simulation and prediction in watersheds is one of the most important tasks in water resources management. In this research, an adaptive data analysis methodology, ensemble empirical mode decomposition (EEMD), is presented for decomposing annual rainfall series in a rainfall-runoff model based on a support vector machine (SVM). In addition, the particle swarm optimization (PSO) is used to determine free parameters of SVM. The study data from a large size catchment of the Yellow River in China are used to illustrate the performance of the proposed model. In order to measure the forecasting capability of the model, an ordinary least-squares (OLS) regression and a typical three-layer feed-forward artificial neural network (ANN) are employed as the benchmark model. The performance of the models was tested using the root mean squared error (RMSE), the average absolute relative error (AARE), the coefficient of correlation ( R ) and Nash–Sutcliffe efficiency (NSE). The PSO–SVM–EEMD model improved ANN model forecasting (65.99%) and OLS regression (64.40%), and reduced RMSE (67.7%) and AARE (65.38%) values. Improvements of the forecasting results regarding the R and NSE are 8.43%, 18.89% and 182.7%, 164.2%, respectively. Consequently, the presented methodology in this research can enhance significantly rainfall-runoff forecasting at the studied station.

/pdf/improved-annual-rainfall-runoff-forecasting-using-pso-svm-1ksvtnwk06.pdf

Improved annual rainfall-runoff forecasting using PSO-SVM model based on EEMD

Heat transfer search (HTS)

In this paper we provide a review of the current state of research on Portfolio Management with the support of Multiobjective Evolutionary Algorithms (MOEAs). Second we present a methodological framework for conducting a comprehensive literature review on the Multiobjective Evolutionary Algorithms (MOEAs) for the Portfolio Management. Third, we use this framework to gain an understanding of the current state of the MOEAs for the Portfolio Management research field and fourth, based on the literature review, we identify areas of concern with regard to MOEAs for the Portfolio Management research field.

Multiobjective Evolutionary Algorithms for Portfolio Management: A comprehensive literature review

The first systematic literature review on evolutionary rule discovery in stock algorithmic trading.A clear demonstrate of studies in this field based on a classification framework.A precise analysis of gaps and limitations in existing studies based on detail of evaluation scheme.The most important factors influencing profitability of models are presented in detail.Targeted suggestions for future improvements based on the review are proposed. Despite the wide application of evolutionary computation (EC) techniques to rule discovery in stock algorithmic trading (AT), a comprehensive literature review on this topic is unavailable. Therefore, this paper aims to provide the first systematic literature review on the state-of-the-art application of EC techniques for rule discovery in stock AT. Out of 650 articles published before 2013 (inclusive), 51 relevant articles from 24 journals were confirmed. These papers were reviewed and grouped into three analytical method categories (fundamental analysis, technical analysis, and blending analysis) and three EC technique categories (evolutionary algorithm, swarm intelligence, and hybrid EC techniques). A significant bias toward the applications of genetic algorithm-based (GA) and genetic programming-based (GP) techniques in technical trading rule discovery is observed. Other EC techniques and fundamental analysis lack sufficient study. Furthermore, we summarize the information on the evaluation scheme of selected papers and particularly analyze the researches which compare their models with buy and hold strategy (B&H). We observe an interesting phenomenon where most of the existing techniques perform effectively in the downtrend and poorly in the uptrend, and considering the distribution of research in the classification framework, we suggest that this phenomenon can be attributed to the inclination of factor selections and problem in transaction cost selections. We also observe the significant influence of the transaction cost change on the margins of excess return. Other influenced factors are also presented in detail. The absence of ways for market trend prediction and the selection of transaction cost are two major limitations of the studies reviewed. In addition, the combination of trading rule discovery techniques and portfolio selection is a major research gap. Our review reveals the research focus and gaps in applying EC techniques for rule discovery in stock AT and suggests a roadmap for future research.

Application of evolutionary computation for rule discovery in stock algorithmic trading

One of the most studied problems in the financial investment expert system is the intractability of portfolios. The non-linear constrained portfolio optimization problem with multi-objective functions cannot be efficiently solved using traditionally approaches. This paper presents a meta-heuristic approach to portfolio optimization problem using Particle Swarm Optimization (PSO) technique. The model is tested on various restricted and unrestricted risky investment portfolios and a comparative study with Genetic Algorithms is implemented. The PSO model demonstrates high computational efficiency in constructing optimal risky portfolios. Preliminary results show that the approach is very promising and achieves results comparable or superior with the state of the art solvers.

Hanhong Zhu

Papers

Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem