A Hybridization of Enhanced Artificial Bee Colony-Least Squares Support Vector Machines for Price Forecasting

D D

doi:10.3844/jcssp.2012.1680.1690

Abstract

Problem statement: As the performance of Least Squares Support Vector Machines (LSSVM) is highly rely on its value of regularization parameter, γ and kernel parameter, σ2, man-made approach is clearly not an appropriate solution since it may lead to blindness in certain extent. In addition, this technique is time consuming and unsystematic, which consequently affect the generalization performance of LSSVM. Approach: This study presents an enhanced Artificial Bee Colony (ABC) to automatically optimize the hyper parameters of interest. The enhancement involved modifications that provide better exploitation activity by the bees during searching and prevent premature convergence. Later, the prediction process is accomplished by LSSVM. Results and Conclusion: Empirical results obtained indicated that feasibility of proposed technique showed a satisfactory performance by producing better prediction accuracy as compared to standard ABC-LSSVM and Back Propagation Neural Network.

Highlights

All parameters involved are automatically tuned by eABC-Least Squares Support Vector Machines (LSSVM)
Simple Mutation to Prevent Premature Convergence:Secondly, as to prevent the premature convergence, another modification that has been made is by applying a mutation approach, termed as Simple Mutation Artificial Bee Colony (ABC) (SMABC)
The boundaries are set to the range of between [1, 1000] Eq 20: The proposed method is elaborated by designing an appropriate eABC-LSSVM in Matlab environment utilizing LSSVMlab Toolbox which can be obtained in Pelkmans et al (2000)

Summary

INTRODUCTION

Smoothing method (Palit and Popovic, 2005). this approach faced similar problem. After all the employed bees exploit a new solution and the onlooker bees are allocated a food source, if a source is found that the fitness hasn’t been improved for a given number (denoted by limit) steps, it is abandoned and the employed bee associated with it becomes a scout and makes a random search by Eq 11: bees, their task is to find the new valuable food sources. They search the space near the hive randomly. 0.3188 0.3213 0.3198 0.3200 otherwise repeat steps 2-5 until the stopping criterion is met

MATERIALS AND METHODS

RESULTS

CONCLUSION

DISCUSSION