Abstract
This chapter introduces an auto-associative network with optimization methods for modelling economic data. This resulting architecture is a missing data estimation technique, and this is used to predict the production volume by treating it as a missing variable. The autoassociative network is created using a multi-layered perceptron network, while the optimization techniques which are implemented are particle swarm optimization, genetic algorithms and simulated annealing. The results obtained are then compared.
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Keywords
- Genetic Algorithm
- Particle Swarm Optimization
- Simulated Annealing
- Markov Chain Monte Carlo
- Markov Chain Monte Carlo Method
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
7.1 Introduction
In this chapter, inference is treated as a correlation phenomenon by applying the auto-associative multi-layer perceptron network (Marwala 2009). This, in essence, yields a missing data estimation problem. Moreau et al. (2012) applied this approach for estimating missing data in the life cycle inventory of hydroelectric power plants, while Tsai and Yang (2012) applied neural networks to improve measurement invariance assessments in survey research data that had some values missing. Kim and Shin (2012) applied the factoring likelihood technique for non-monotone missing data estimation while Rey-del-Castillo and Cardeñosa (2012) applied fuzzy min-max neural networks for missing data imputation.
The missing data framework implemented in this chapter is constructed using a multi-layered perceptron, and the missing data is estimated using three optimization methods; namely; particle swarm optimization, genetic algorithm, and simulated annealing (Marwala 2010, 2012; Marwala and Lagazio 2011). The developed framework is then tested on manufacturing data from the South African Reserve Bank. The next section describes the missing data estimation framework.
7.2 Missing Data Estimation Method
The missing data estimation procedure suggested in this chapter involves the application of a neural network model that is trained to recall itself (i.e. predict its input vector) and is called an auto-associative neural network (Miranda et al. 2012; Makki and Hosseini 2012). Mathematically, the auto-associative model can be written as follows (Marwala 2009):
In Eq. 7.1, {Y} is the output vector, \( \{X\} \) the input vector and \( \{W\} \) is the free parameter vector. In the case of a neural network, the free parameters are called weights. Because the model is trained to predict its own input vector, the input vector {X} is approximately equal to output vector {Y} and consequently \( \{X\}\approx \{Y\} \). In actual fact, the input vector \( \{X\} \) and output vector \( \{Y\} \) will not always be perfectly the same, therefore an error function expressed as the difference between the input and output vector is defined (Marwala 2009):
Substituting the value of \( \{Y\} \) from Eq. 7.1 into Eq. 7.2, the following expression is obtained (Marwala 2009):
Because the aim is for the error to be minimized and non-negative, the function can be modified as a square of Eq. 7.3 (Marwala 2009):
For missing data, some of the values for the input vector \( \{X\} \) are not obtainable. Therefore, we can classify the input vector elements into \( \{X\} \) known vector represented by \( \left\{ {{X_k}} \right\} \) and \( \{X\} \) unknown vector represented by \( \left\{ {{X_u}} \right\} \). Modifying Eq. 7.4 in terms of \( \left\{ {{X_k}} \right\} \) and \( \left\{ {{X_u}} \right\} \) we have (Marwala 2009):
The error vector in Eq. 7.5 can be condensed into a scalar by integrating over the size of the input vector and the number of training examples as follows (Marwala 2009):
The objective function expressed in Eq. 7.6 is known as the missing data estimation equation. To estimate the missing input values, Eq. 7.6 is minimized and, in this chapter, artificial intelligence techniques called particle swarm optimization (Kennedy and Eberhart 1995, 2001; Shi and Eberhart 1998; Kennedy 1997) and simulated annealing (Kirkpatrick et al. 1983; Černý 1985; Metropolis et al. 1953; Granville et al. 1994) are applied. It must be taken into account that any optimization technique or a combination of these can be applied to realize this objective. Particle swarm optimization and simulated annealing are selected for the reason that they both have a higher probability of identifying the global optimum solution than traditional optimization techniques such as the scaled conjugate gradient technique, which was used for training the MLP network in Chaps. 3 and 4. For the minimization of Eq. 7.6 to be successful, the identification of a global optimum solution, as opposed to local one, is unequivocally critical because if this is not attained, then a wrong approximation of the missing data will be realized. The missing data process described in this section is illustrated in Fig. 7.1 (Marwala 2009).
Briefly, the objective function known as the missing data estimation equation is derived from the error function of the input and output vector achieved from the trained neural network. The missing data estimation equation is then minimized using the particle swarm optimization method, genetic algorithm and simulated annealing to estimate the missing variables given the observed variables \( \left\{ {{X_k}} \right\} \) and the model f explaining the interrelationships and the rules describing the data.
7.3 Auto-associative Networks for Missing Data Estimation
The mathematical background to multilayer perceptron neural networks and auto-associative networks are explained in this section. This chapter applies multi-layered perceptron neural networks to construct auto-associative neural networks (Marwala 2012). As described in Chaps. 3 and 4, the relationship between the output y and input x can be written as follows, for the MLP network (Marwala 2012):
where \( w_{ji}^{(1) } \) and \( w_{kj}^{(2) } \) denotes weights in the first and second layer, respectively, going from input i to hidden unit j, M is the number of hidden units, and d is the number of output units. In this chapter, as it was described in Chaps. 3 and 4, the network weights in Eq. 7.7 are estimated using the maximum-likelihood approach and the scaled conjugate gradient optimization method.
An auto-associative network is a network that is trained to remember its inputs. This implies that, every time an input is given to the network, the output is the approximated input. These networks have been applied in a number of applications including novelty detection, missing data estimation, feature selection, and data compression (Kramer 1992; Marwala 2009).
There has been more interest in treating the missing data problem by approximation or imputation (Abdella 2005; Abdella and Marwala 2005, 2006; Nelwamondo and Marwala 2007; Nelwamondo 2008). The mixture of the auto-associative neural network and genetic algorithm has been shown to be a successful technique to approximate missing data. The method for estimating missing data in this chapter depends on the identification of the relationships or correlations between the variables that make up the dataset, and the multi-layered perceptron is able to achieve this (Kramer 1992).
Other successful applications of auto-associative network includes its use in fault detection in turbine blades (Lemma and Hashim 2012; Dervilis et al. 2012; Palmé et al. 2011), face recognition (Wang and Yang 2011) and speech recognition (Sivaram et al. 2010).
It must be noted that, on using auto-associative neural networks for data compression, the network has fewer nodes in the hidden layer. Nonetheless, for missing data estimation it is vital that the network is as accurate as possible and that this accuracy is not necessarily achieved through few hidden nodes as is the case when these networks are used for data compression. The auto-associative network is shown in Fig. 7.2 (Marwala 2009).
In this chapter, global optimum techniques, particle swarm optimization and simulated annealing were applied to identify the global optimum solution and are the subject of the next two sections.
7.4 Particle Swarm Optimization
This chapter applies particle swarm optimization (PSO) to solve Eq. 7.6. PSO is a stochastic, population-based evolutionary procedure that has been extensively used for the optimization of complex problems (Engebrecht 2005). It is inspired by principles that are based on swarm intelligence. Swarm intelligence consists of two aspects and these are: group knowledge and individual knowledge. Each member of a swarm acts by balancing between individual knowledge and group knowledge.
When solving problems using PSO, an objective function is formulated indicating the desired outcome. In this chapter, the objective function is the missing data estimation function represented by Eq. 7.6. To achieve an optimum missing data estimation function state, a social network representing a population of possible solutions is randomly generated. The individuals within this social network interrelate with their neighbours and are called particles. A process to update these particles is undertaken by assessing the fitness of each particle. Each particle is able to recall the position where it had its best success as measured by the missing data estimation function. The best solution of the particle is called the local best and each particle makes this information on the local best accessible to their neighbors and, in turn, also observe their neighbors’ success.
The PSO was developed by Kennedy and Eberhart (1995) and it was inspired by algorithms that model the “flocking behavior” seen in birds. PSO has been very successful in optimizing complex problems. Marwala (2005) used PSO to improve finite element models to better reflect the measured data. This method was compared to a finite element model updating approach that used simulated annealing and a genetic algorithm. The proposed methods were tested on a simple beam and an unsymmetrical H-shaped structure. It was observed that, on average, the PSO method gave the most accurate results followed by simulated annealing and then the genetic algorithm.
Dindar and Marwala (2004) successfully used PSO to optimize the structure of a committee of neural networks. The results obtained from the optimized networks were found to give better results than both un-optimized networks and the committee of networks.
Ransome et al. (2005) successfully used PSO to optimize the position of a patient during radiation therapy. In this application, a patient positioning system integrating a robotic arm was designed for proton beam therapy. A treatment image was aligned with a pre-defined reference image and this was attained by aligning the radiation and reference field boundaries and then registering the patient’s anatomy relative to the boundary. Methods for both field boundary and anatomy alignment, including particle swarm optimization, were implemented. It was found that the PSO was successful to overcome problems in existing solutions.
Farzi et al. (2013) applied PSO to choose the best portfolio in 50 supreme Tehran Stock Exchange companies and optimize the rate of return, risks, liquidity, and sharp ratio. The results were then compared to Markowitz’s approach (Markowitz 1952) and genetic algorithms and it was observed that, although the return of the portfolio of PSO model was less than in Markowitz approach model, it was able to decrease the risk.
Nasir et al. (2012) applied a dynamic neighbourhood learning based particle swarm optimizer for global numerical optimization and the results indicated good performance on locating the global optimum solution on complicated and multimodal fitness functions when compared to five other types of PSO. Muthukaruppan and Er (2012) applied the PSO for diagnosis of coronary artery disease while Kalatehjari et al. (2012) applied PSO for slope stability analysis of homogeneous soil slopes. Gholizadeh and Fattahi (2012) applied PSO for design optimization of tall steel buildings, while Karabulut and Ibrikci (2012) applied PSO to identify transcription factor binding sites.
When applying PSO, each particle which is represented by two vectors: \( {p_i}(k) \) the position and \( {v_i}(k) \) the velocity at step k. Positions and velocities of particles are randomly generated and then updated using the position of the best solution that a specific particle has encountered during the simulation called \( pbes{t_i} \) and the best particle in the swarm which is called \( gbest(k) \). The updated velocity of a particle i can be estimated using the following equation (Kennedy and Eberhart 1995):
Here, \( \gamma \) is the inertia of the particle, \( {c_1} \) and \( {c_2} \) are the ‘trust’ parameters, \( {r_1} \) and \( {r_2} \) are random numbers between 0 and 1. In Eq. 7.8, the first expression is the current motion, the second expression is the particle memory influence, and the third expression is the swarm influence. The updated position of a particle i can be estimated using these equations (Kennedy and Eberhart 1995):
The inertia of the particle regulates the relationship between the current velocity of the particle and the previous velocity. The trust parameter \( {c_1} \) represents how much confidence the current particle has on itself, while the trust parameter \( {c_2} \) represents the confidence the current particle has on the population. The parameters \( {r_1} \) and \( {r_2} \) are random numbers between 0 and 1 and they allow the swarm to explore the space.
The implementation of PSO can be summarized as follows, and is also shown in Fig. 7.3 (Kennedy and Eberhart 1995; Marwala 2010):
7.5 Genetic Algorithms (GA)
The missing data estimation method presented in this chapter also uses a genetic algorithm to estimate the missing data by minimizing Eq. 7.6. A genetic algorithm is a population-based, probabilistic technique that operates to identify a solution to a problem from a population of possible solutions (Goldberg 1989, 2002; Holland 1975; Marwala 2009). It is applied to identify estimated solutions to challenging problems through the similarity of the principles of evolutionary biology to computer science (Goldberg 2002; Marwala 2009; Tettey and Marwala 2006). It was derived from Darwin’s theory of evolution where members of the population compete to survive and reproduce, while the weaker members die-out from the population.
Every individual has a fitness value indicating how well it fulfills the objective of solving the problem. New individual solutions are created during a cycle of generations, where selection and recombination operations occur, alike how gene transfer occurs to the current individuals. This continues until a termination condition is achieved, then the best individual by far is deemed to be the estimation for missing data. This chapter explains the application of a genetic algorithm to optimize Eq. 7.6.
Successful applications of the genetic algorithm include optimizing rough set partitions (Crossingham and Marwala 2008), missing data imputation (Hlalele et al. 2009), finite element updating (Marwala 2002, 2010), controlling fermentation (Marwala 2004), fault diagnosis (Marwala and Chakraverty 2006), HIV prediction (Leke et al. 2006), training neural networks (Marwala 2007), stock market prediction (Marwala et al. 2001), bearing fault classification (Mohamed et al. 2006), optimal weight classifier selection (Hulley and Marwala 2007) and call performance classification (Patel and Marwala 2009).
When applying the genetic algorithm, the following steps are followed: initialization, crossover, mutation, selection, reproduction, and termination. The three most important aspects of using a genetic algorithm are the definition of the objective function, implementation of the genetic representation, and implementation of the genetic operators (Marwala 2012). The details of genetic algorithms are shown in Fig. 7.4.
7.5.1 Initialization
At this stage, a population of individual solutions is randomly created. This initial population is sampled so as to cover a good representation of the solution space.
7.5.2 Crossover
The crossover operator mixes genetic information in the population by cutting pairs of chromosomes at random points along their length and exchanging the cut sections over (Goldberg 2002, 1989; Marwala 2010; Banzhaf et al. 1998). In this chapter, a one crossover point method is selected. This is done by copying a binary string from the beginning of a chromosome to the crossover point from one parent, and the rest is copied from the second parent. For example, if two chromosomes in binary space a = 11001011 and b = 11011111 undergo a one-point crossover at the midpoint, then the resulting offspring may be c = 11001111.
7.5.3 Mutation
The mutation operator introduces new information into the chromosome and, by so doing, prevents the genetic algorithm simulation from being trapped in a local optimum solution (Goldberg 2002; Marwala 2010). In this chapter, adaptive mutation is applied by randomly producing adaptive directions with respect to the previous successful or unsuccessful generation. The feasible region is bounded by the constraints and a step size is selected along each direction whereby linear constraints and bounds are not violated.
7.5.4 Selection
In every generation, a selection of the proportion of the present population is chosen to create a new population. This selection is achieved by applying the fitness-based technique, where solutions that are fitter, as measured by Eq. 7.6, have a higher probability of survival. Some selection methods rank the fitness of each solution and choose the best solution, while other procedures rank a randomly designated aspect of the population. There are quite many selection procedures and in this chapter we use roulette-wheel selection (Goldberg 2002). Roulette-wheel selection is a genetic operator used for choosing possible solutions in a GA optimization procedure.
In this method, each likely method is allocated a fitness function that is applied to map the probability of selection with each individual solution. Let’s say, if the fitness f i is of individual i in the population, then the probability that this individual is chosen is (Goldberg 2002):
Here, N is the total population size.
This technique ensures that solutions with higher fitness values have higher probabilities of survival than those with a lower fitness value. The benefit of this is that, even though a solution may have a low fitness value, it may still have some aspects that are advantageous in the future.
7.5.5 Termination
The technique described is repeated until a termination condition has been achieved, either for the reason that a chosen solution that satisfies the objective function has been identified or for the reason that a stated number of generations have been realized or the solution has converged or any combination of these.
7.6 Simulated Annealing (SA)
Simulated Annealing (SA) is a Monte Carlo technique that is applied to identify an optimal solution. It was inspired by the annealing process where metals re-crystalize or liquids freeze. In the annealing process, the object is heated until it is molten, then it is gradually cooled in such a way that the metal, at any time, is nearly in thermodynamic equilibrium. As the temperature of the object is cooled, the system becomes more organized and tends to a frozen state at T = 0. If the cooling procedure is done unsatisfactorily or the initial temperature of the object is not adequately high, the system may turn into a meta-stable state demonstrating that the system is stuck in a local minimum energy state.
Liu et al. (2012) successfully applied the simulated annealing method in multi-criteria network path problems, while Shao and Zuo (2012) used it for higher dimensional projection depth. Milenkovic et al. (2012) successfully applied a fuzzy simulated annealing method for project time–cost trade-off, while Fonseca et al. (2012) applied simulated annealing to the high school timetabling problem. Other successful applications of simulated annealing include antenna array design in multi-input-multi-output radar (Dong et al. 2012), efficient bitstream extraction for scalable video (Wan et al. 2012), image reconstruction (Martins et al. 2012) and optimal sensor placement (Tian et al. 2012).
Simulated annealing has its origins from the work of Metropolis et al. (1953) and it comprises selecting the initial state and temperature, maintaining temperature constant, changing the initial formation, and calculating the error at the new state. If the new error is lower than the old error, then accept the new state, otherwise if the error is higher, then accept this state with a low probability. Simulated annealing substitutes a current solution with a “nearby” random solution with a probability that depends on the difference between the corresponding function values and the temperature. The temperature drops during the course of the procedure until it approaches zero and at this stage there are less random changes in the solution. Simulated annealing identifies the global optimum but it can reach infinite time in doing so. The probability of accepting the reversal is given by Boltzmann’s equation (Černý 1985):
Here, \( \Delta E \) is the variance in error between the old and new states, T is the temperature of the system and Z is the normalization factor that guarantees that when the probability is integrated over to infinity it becomes 1.
7.6.1 Simulated Annealing Parameters
As described by Marwala (2010), applying simulated annealing means that a number of parameters and selections require to be stated: the state space, the objective function, the candidate generator process, the acceptance probability function, and the annealing temperature schedule. The selection of these parameters is important because it has an impact on the efficacy of the SA technique. Nevertheless, there is no optimal mode for selecting these parameters that will function for all problems and there is also no methodical routine of optimally selecting these parameters for a given problem. Accordingly, the selection of these parameters is mainly subjective and the technique of trial and error is extensively applied.
7.6.2 Transition Probabilities
When SA is applied, a random walk procedure is used for a given temperature. This random walk procedure involves moving from one temperature to another. The probability of moving from one state to another is called the transition probability. This probability is dependent on the current temperature, the order of producing the candidate solution, and the acceptance probability function. In this chapter, a Markov Monte Carlo (MMC) technique is applied to ensure a transition from one state to another. The MMC generates a chain of possible missing data estimates and accepts or rejects them using the Metropolis algorithm (Metropolis et al. 1953).
7.6.3 Monte Carlo Method
The Monte Carlo technique is a computational procedure that applies recurring random sampling to estimate a result (Arya et al. 2012; Klopfer et al. 2012). Jeremiah et al. (2012) applied Monte Carlo sampling for efficient hydrological model parameter optimization, while Giraleas et al. (2012) applied the Monte Carlo procedure for analysing productivity change using growth accounting and frontier-based approaches. Fang et al. (2012) applied Monte Carlo simulation for variability quantification in finite element models. Other applications of Monte Carlo simulation include evaluating reliability indices accounting omission of random repair time for distribution systems (Arya et al. 2012) and characterization and optimization of pyroelectric X-ray sources (Klopfer et al. 2012).
7.6.4 Markov Chain Monte Carlo (MCMC)
MCMC is a procedure of simulating a chain of states through a random walk. It entails a Markov process and a Monte Carlo simulation (Sheridan et al. 2012). Fishman (2012) successfully applied MCMC for counting contingency tables, while Hettiarachchi et al. (2012) successfully applied a marginalized Markov Chain Monte Carlo method for model based analysis of EEG data. Botlani-Esfahani and Toroghinejad (2012) successfully applied a Bayesian neural network and the reversible jump Markov Chain Monte Carlo Method to forecast the grain size of hot strip low carbon steels while Laloy et al. (2012) successfully applied the MCMC to analyse mass conservative three-dimensional water tracer distribution. Stošić et al. (2012) successfully applied the MCMC to optimize river discharge measurements.
If a system whose evolution is expressed by a stochastic process \( \left\{ {{x_1},{x_2},\ldots,{x_i}} \right\} \) of random variables is considered, a random variable x i inhabits a state x at discrete time i. The list of all states that all random variables can probably occupy is known as the state space. If the probability that the system is in state x i + 1 at time i + 1 depends entirely on the fact that it was in state x i at time i, then the random variables \( \left\{ {{x_1},{x_2},\ldots,{x_i}} \right\} \) form a Markov chain. For MCMC, the transition between states is attained by introducing a random noise (ε) to the current state as follows (Laloy et al. 2012):
7.6.5 Acceptance Probability Function: Metropolis Algorithm
When the present state has been attained, it is either accepted or rejected. In this chapter, the acceptance of a state is conducted using the Metropolis algorithm (Metropolis et al. 1953; Shao et al. 2012; Vihola 2012; Lee et al. 2012). Zhou et al. (2012) successfully applied Metropolis-Hastings sampling for system error registration. In the Metropolis procedure, on sampling a stochastic process \( \left\{ {{x_1},{x_2},\ldots,{x_n}} \right\} \) consisting of random variables, random changes to x are introduced and are either accepted or rejected according to the following criterion:
Here, E is the objective function.
7.6.6 Cooling Schedule
Cooling scheduling is the procedure which is followed to lower the temperature T (Stander and Silverman 1994). Natural annealing teaches us that the cooling rate should be adequately low for the probability distribution of the present state to be close to the thermodynamic equilibrium at all times during the simulation (Miki et al. 2003). The time taken for the equilibrium to be restored after a change in temperature is influenced by the shape of the objective function, the current temperature and the candidate generator. The best cooling rate should be experimentally attained for each problem. Thermodynamic, simulated annealing circumvents this problem by removing the cooling schedule and regulating the temperature at each step in the simulation based on the difference in energy between the two states, in accordance to the laws of thermodynamics (Weinberger 1990). The following cooling model is used (Salazar and Toral 1997; Marwala 2010):
where \( T(i) \) is the current temperature; \( T\left( {i-1} \right) \) is the previous temperature and \( \sigma \) is the cooling rate. The implementation of SA is shown in Fig. 7.1 (Marwala 2010).
7.7 Experimental Investigations and Results
The methodology described below is used to analyze the manufacturing data from South Africa collected between 1992 and 2011. The variables identified for the modelling are (1) Domestic sales volumes; (2) Production volumes; (3) Number of factory workers; (4) Current stocks of raw materials in relation to planned production; (5) Business confidence; (6) Percentage rating shortage of skilled labour a constraint; and (7) Percentage rating shortage of semi-skilled labour a constraint. We then build an auto-associative network with seven input variables, four hidden nodes and seven outputs. The auto-associative network was based on the multi-layer perceptron architecture. It had a hyperbolic tangent activation function in the hidden nodes and a linear activation function in the outer layer. It assumes that the production volumes will be treated as a missing values to be estimated. The missing data estimation equation is optimized using a genetic algorithm, particle swarm optimization, and simulated annealing to identify the production volume.
When implementing a genetic algorithm, the population size was set to 20, the number of generations was set to 100, and the one point crossover with probability of crossover was set to be 0.65. The selection function which was used was the Roulette wheel and adaptive mutation with a mutation rate of 0.01. On implementing simulated annealing, the initial temperature was set to be 100. When implementing PSO, a population size of ten was set and the simulation was conducted for 500 generations. The results obtained when these optimization methods were implemented were an average of 5.3 % for GA, 5.1 % for simulated annealing, and 5.4 % for the PSO.
7.8 Conclusion
This chapter introduced auto-associative networks with genetic algorithms, particle swarm and simulated annealing optimization methods for modelling manufacturing data. The autoassociative network was created using the multi-layered perceptron. The results obtained gave marginally best results for simulated annealing, followed by genetic algorithm and the particle swarm optimization method.
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Marwala, T. (2013). Missing Data Approaches to Economic Modeling: Optimization Approach. In: Economic Modeling Using Artificial Intelligence Methods. Advanced Information and Knowledge Processing. Springer, London. https://doi.org/10.1007/978-1-4471-5010-7_7
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