量化投資的轉折:分析師的良知54(1 / 3)

第八章他山之石 附件1算法示例

There are at least five basic categories of learning rules for different kinds of NN:Error-correction learning,Memory-based learning,Hebbian learning,Competitive learning and Boltzmann learnsEven back-propagation algorithmFor the integrity and better understanding of this paper,only BP would be briefly introducedMore specific explanation could be located in “Neural Networks:A comprehensive foundation” chapter 4 (BP),the milestone in NN training,could still be thought of as a derivative of Error-correction learning process

Two passes constitute the BPThe brief proof would be in appendix method:the forward pass and the backward passIn forward phase,weights of neurons are fixedThey will be adjusted in backward phase according to error-correction ruleThe error is defined as ej(t)=dj(t)-aj(t),where n represents the iteration (time step)The error energy for specified neuron is defined as ξ(t)=12∑j∈Ce2j(t)The BP method applies a correctionΔwji(t) to weights wji(t),Δwji(t)=-ηξ(t)wji(t) where η is the learning-rate parameter of the BP algorithm and could be set manuallyTherefore,for an output neuron,Δwji(t)=ηej(t)f′j(∑Ri=0wjipi)pi(t)When dealing with a hidden layer neuron,there is no specified desired response for itAccording to the chain rule of calculus,the weight change for the neurons,which directly connect the output layer,will be:Δwji(t)=ηf′j(∑Ri=0wjipi)∑kek(t)f′k(∑mj=0wkjpj)wkj(t) where m is the number of inputs applied to the output neuron k

Unfortunately,BP method is really slowThe learning rate,η,is constant in the training processHowever,the network performance is sensitive to the setting of the learning rateAs cited by Yang and Zheng (2003):when the learning rate is too high,the weights may oscillate around the stable valueWhen the learning rate is too low,the convergence process will cost too much timeTherefore,when the topology is simple,the low learning rate strategy could still handle the problemHowever,when the NN structure becomes more complicated,other fast training methods need to be considered

As Δwji(t)=η·δj(t)·pi(t),cited by Haykin (1999),where η is the learning rate parameter,δj(t) is the local gradient,pi(t)is the input signal of neuron j,heuristic techniques,which focus on the analysis of descent algorithm,could give some solutions for fast trainingBecause the speed of training depends on many factors,including the network structure,data set and even the precision of error,it is very difficult to suggest a specific training algorithm for this paperHence,a number of training algorithm candidates will be briefly introduced here: