Heuristic Model Selection Research Articles

Flexible dynamic vine copula models for multivariate time series data

The representation of temporal patterns is essential to time series analysis. In the case of two or more time series, one needs to account for temporal patterns not only in each univariate series but also in their joint behavior. A multivariate model is proposed here for the specification of time-varying dependence patterns in multivariate time series in a flexible way. The model is built by first addressing the temporal patterns in each series and then modeling the interdependencies among their innovations using a time-varying vine copula model. To specify the vine decomposition, a heuristic model selection tool that accounts for both the magnitude and variation of the empirical Kendall tau across different time intervals is employed. The time variation in the strength of pairwise dependencies is inferred using nonparametric smoothing techniques, and the uncertainty in the resulting estimates is assessed using a parametric bootstrap. The methods are evaluated in a simulation study and used to analyze daily exchange rate returns of seven major currencies from August 2005 to August 2016.

Review of advanced physical and data-driven models for dynamic bioprocess simulation: Case study of algae-bacteria consortium wastewater treatment.

Microorganism production and remediation processes are of critical importance to the next generation of sustainable industries. Undertaking mathematical treatment of dynamic biosystems operating at any spatial or temporal scale is essential to guarantee their performance and safety. However, constructing physical models remains a challenge due to the extreme complexity of process biological mechanisms. Data-driven models also encounter severe limitations because datasets from large-scale bioprocesses are often scarce without complete information and on a restricted operational space. To fill this gap, the current research compares the performance of advanced physical and data-driven models for dynamic bioprocess simulations subject to incomplete and scarce datasets, which to the best of our knowledge has never been addressed before. In specific, kinetic models were constructed by integrating different classic models, and state-of-the-art hyperparameter selection frameworks were developed to design artificial neural networks and Gaussian process regression models. An algae-bacteria consortium wastewater treatment process was selected to test the accuracy of these modeling strategies, as it is one of the most sophisticated biosystems due to the intricate mutualistic and competitive interactions. Based on the current results and available data, a heuristic model selection procedure is provided. This study paves the way to facilitate future bioprocess modeling.

A Comparative Study of the Lasso-type and Heuristic Model Selection Methods

Summary This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular, inconsistent results are obtained for pairwise highly correlated predictors. An alternative to the Lasso is constituted by model selection based on information criteria (IC), which remain consistent in the situation mentioned. However, these criteria are hard to optimize due to a discrete search space. To overcome this problem, an optimization heuristic (Genetic Algorithm) is applied. To this end, results of a Monte-Carlo simulation study together with an application to an actual empirical problem are reported to illustrate the performance of the methods.

PUMA: A Unified Framework for Penalized Multiple Regression Analysis of GWAS Data

Penalized Multiple Regression (PMR) can be used to discover novel disease associations in GWAS datasets. In practice, proposed PMR methods have not been able to identify well-supported associations in GWAS that are undetectable by standard association tests and thus these methods are not widely applied. Here, we present a combined algorithmic and heuristic framework for PUMA (Penalized Unified Multiple-locus Association) analysis that solves the problems of previously proposed methods including computational speed, poor performance on genome-scale simulated data, and identification of too many associations for real data to be biologically plausible. The framework includes a new minorize-maximization (MM) algorithm for generalized linear models (GLM) combined with heuristic model selection and testing methods for identification of robust associations. The PUMA framework implements the penalized maximum likelihood penalties previously proposed for GWAS analysis (i.e. Lasso, Adaptive Lasso, NEG, MCP), as well as a penalty that has not been previously applied to GWAS (i.e. LOG). Using simulations that closely mirror real GWAS data, we show that our framework has high performance and reliably increases power to detect weak associations, while existing PMR methods can perform worse than single marker testing in overall performance. To demonstrate the empirical value of PUMA, we analyzed GWAS data for type 1 diabetes, Crohns's disease, and rheumatoid arthritis, three autoimmune diseases from the original Wellcome Trust Case Control Consortium. Our analysis replicates known associations for these diseases and we discover novel etiologically relevant susceptibility loci that are invisible to standard single marker tests, including six novel associations implicating genes involved in pancreatic function, insulin pathways and immune-cell function in type 1 diabetes; three novel associations implicating genes in pro- and anti-inflammatory pathways in Crohn's disease; and one novel association implicating a gene involved in apoptosis pathways in rheumatoid arthritis. We provide software for applying our PUMA analysis framework.

Heuristic model selection for leading indicators in Russia and Germany

Business tendency survey indicators are widely recognised as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified and estimated to construct forecasts. As the potential number of lags included is large, we compare full-specified VAR models with subset models obtained using a Genetic Algorithm enabling holes in multivariate lag structures. The problem is complicated by the fact that a structural break and seasonal variation of indicators have to be taken into account. The models allow for a comparison of the dynamic adjustment and the forecasting performance of the leading indicators for both countries revealing marked differences between Russia and Germany. JEL classification: C52, C61, E37 Keywords: Leading indicators, business cycle forecasts, VAR, model selection, genetic algorithms

A Comparative Study of the Lasso-Type and Heuristic Model Selection Methods

This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular, inconsistent results are obtained for pairwise strongly correlated predictors. An alternative to the Lasso is constituted by model selection based on information criteria (IC), which remains consistent in the situation mentioned. However, these criteria are hard to optimize due to a discrete search space. To overcome this problem, an optimization heuristic (Genetic Algorithm) is applied. Monte-Carlo simulation results are reported to illustrate the performance of the methods.

Heuristic Model Selection for Leading Indicators in Russia and Germany

Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified and estimated to construct forecasts. As the potential number of lags included is large, we compare full-specified VAR models with subset models obtained using a Genetic Algorithm enabling ’holes’ in multivariate lag structures. The problem is complicated by the fact that a structural break and seasonal variation of indicators have to be taken into account. The models allow for a comparison of the dynamic adjustment and the forecasting performance of the leading indicators for both countries revealing marked differences between Russia and Germany.

A heuristic model selection scheme for representing hot flow data using the hot torsion test results

The problem of “model selection” for expressing a wide range of constitutive behaviour adequately using hot torsion test data was considered here using a heuristic approach. A model library including several nested parametric linear and non-linear models was considered and applied to a set of hot torsion test data for API-X 70 micro-alloyed steel with a range of strain rates and temperatures. A cost function comprising the modelled hot strength data and that of the measured data were utilized in a heuristic model selection scheme to identify the optimum models. It was shown that a non-linear rational model including ten parameters is an optimum model that can accurately express the multiple regimes of hardening and softening for the entire range of the experiment. The parameters for the optimum model were estimated and used for determining variations of hot strength of the samples with deformation.

Evolution of neural networks for classification and regression

Although Artificial Neural Networks (ANNs) are important data mining techniques, the search for the optimal ANN is a challenging task: the ANN should learn the input–output mapping without overfitting the data and training algorithms may get trapped in local minima. The use of Evolutionary Computation (EC) is a promising alternative for ANN optimization. This work presents two hybrid EC/ANN algorithms: the first evolves neural topologies while the latter performs simultaneous optimization of architectures and weights. Sixteen real-world tasks were used to test these strategies. Competitive results were achieved when compared with a heuristic model selection and other Data Mining algorithms.

A Heuristic Model Selection Criterion Using Distorter and Its Application to Determination of the Number of Hidden Units in RBFN

In applying neural networks it is an important but difficult problem to determine the number of parameters in the networks. As the number of parameters increases, overfitting problems may arise, with devastating effects on the generalization performance. In this paper we propose an Unbiasedness Criterion using Distorter (UCD) which is a heuristic model selection criterion, and apply it to determination of the number of hidden units of RBF networks. The new criterion is defined as the difference between outputs of two RBF networks; the one trained to minimize the ordinary training error and the other trained to minimize the error between the training data and output of the network transformed by the distorter.We compare the performance of the proposed criterion with others criteria such as AIC and NIC by applying to the model selection of Neurofuzzy Tomography which is a specific application of RBFN.