Identifing the structure of dynamical multivariate complex systems and its visualization and application for optimization engineering
| Project/Area Number |
22700227
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Sensitivity informatics/Soft computing
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| Research Institution | Ibaraki University |
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Principal Investigator |
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| Project Period (FY) |
2010 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2011: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Fiscal Year 2010: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
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| Keywords | 複雑系 / 非線形時系列解析 / データサンプリング / 非線形時系列予測 / リスク推定 / ポートフォリオ理論 / テクニカル分析 / 多目的最適化問題 / 株式ポートフォリオ / 因果推論・特徴選択 |
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| Research Abstract |
Real systems are often composed by many elements interacting with each other and show us complex behavior. To predict these complex systems, we can refer to their past behavior, but all of the observed elements do not always compose the same system. Thus, we have to detect some essential elements from the observed elements so as to improve the prediction accuracy of learning data. Moreover, if we apply Takens's embedding theorem to reconstruct an attractor only by single element, we don't have to select elements, but we have to optimize embedding parameters. In any case, because we have to solve above optimization problems, we applied the genetic algorithm (GA) as one of the meta-heuristic techniques. Moreover, real systems might be nonstationary and their own mechanism changes dynamically. Therefore, we reiterated the GA for each optimization with simple algorithms to embed and to predict time-series data for saving numerical costs. Through some simulations, we confirmed that our dynamical optimization can improve prediction accuracy of multivariate nonlinear systems, even financial markets, and can help us to examine whether the structure of a complex system dynamically changes or not.
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Research Products
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