MGP-INTACTSKY: Multitree Genetic Programming-based learning of INTerpretable and ACcurate TSK sYstems for dynamic portfolio trading

Multi-gene genetic programming to building up fuzzy rule-base in Neo-Fuzzy-Neuron networks

This paper introduces a new approach to build the rule-base on Neo-Fuzzy-Neuron (NFN) Networks. The NFN is a Neuro-Fuzzy network composed by a set of n decoupled zero-order Takagi-Sugeno models, one for each input variable, each one containing m rules. Employing Multi-Gene Genetic Programming (MG-GP) to create and adjust Gaussian membership functions and a Gradient-based method to update the network parameters, the proposed model is dubbed NFN-MG-GP. In the proposed model, each individual of MG-GP represents a complete rule-base of NFN. The rule-base is adjusted by genetic operators (Crossover, Reproduction, Mutation), and the consequent parameters are updated by a predetermined number of Gradient method epochs, every generation. The algorithm uses Elitism to ensure that the best rule-base is not lost between generations. The performance of the NFN-MG-GP is evaluated using instances of time series forecasting and non-linear system identification problems. Computational experiments and comparisons against state-of-the-art alternative models show that the proposed algorithms are efficient and competitive. Furthermore, experimental results show that it is possible to obtain models with good accuracy applying Multi-Gene Genetic Programming to construct the rule-base on NFN Networks.