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Li Y, Xia Z, Liu Y, Wang J. A collaborative neurodynamic approach with two-timescale projection neural networks designed via majorization-minimization for global optimization and distributed global optimization. Neural Netw 2024; 179:106525. [PMID: 39042949 DOI: 10.1016/j.neunet.2024.106525] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [MESH Headings] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 04/17/2024] [Revised: 06/12/2024] [Accepted: 07/06/2024] [Indexed: 07/25/2024]
Abstract
In this paper, two two-timescale projection neural networks are proposed based on the majorization-minimization principle for nonconvex optimization and distributed nonconvex optimization. They are proved to be globally convergent to Karush-Kuhn-Tucker points. A collaborative neurodynamic approach leverages multiple two-timescale projection neural networks repeatedly re-initialized using a meta-heuristic rule for global optimization and distributed global optimization. Two numerical examples are elaborated to demonstrate the efficacy of the proposed approaches.
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Affiliation(s)
- Yangxia Li
- School of Mathematical Sciences, Zhejiang Normal University, Jinhua, Zhejiang, 321004, China
| | - Zicong Xia
- School of Mathematics, Southeast University, Nanjing, Jiangsu, 210096, China
| | - Yang Liu
- School of Mathematical Sciences, Zhejiang Normal University, Jinhua, Zhejiang, 321004, China; Key Laboratory of Intelligent Education Technology and Application of Zhejiang Province, Zhejiang Normal University, Jinhua, Zhejiang, 321004, China; School of Automation and Electrical Engineering, Linyi University, Linyi, Shandong, 276000, China.
| | - Jun Wang
- Department of Computer Science and School of Data Science, City University of Hong Kong, Kowloon, Hong Kong.
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2
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Li H, Wang J, Zhang N, Zhang W. Binary matrix factorization via collaborative neurodynamic optimization. Neural Netw 2024; 176:106348. [PMID: 38735099 DOI: 10.1016/j.neunet.2024.106348] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [MESH Headings] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 01/24/2024] [Revised: 03/19/2024] [Accepted: 04/25/2024] [Indexed: 05/14/2024]
Abstract
Binary matrix factorization is an important tool for dimension reduction for high-dimensional datasets with binary attributes and has been successfully applied in numerous areas. This paper presents a collaborative neurodynamic optimization approach to binary matrix factorization based on the original combinatorial optimization problem formulation and quadratic unconstrained binary optimization problem reformulations. The proposed approach employs multiple discrete Hopfield networks operating concurrently in search of local optima. In addition, a particle swarm optimization rule is used to reinitialize neuronal states iteratively to escape from local minima toward better ones. Experimental results on eight benchmark datasets are elaborated to demonstrate the superior performance of the proposed approach against six baseline algorithms in terms of factorization error. Additionally, the viability of the proposed approach is demonstrated for pattern discovery on three datasets.
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Affiliation(s)
- Hongzong Li
- Department of Computer Science, City University of Hong Kong, Kowloon, Hong Kong.
| | - Jun Wang
- Department of Computer Science, City University of Hong Kong, Kowloon, Hong Kong; School of Data Science, City University of Hong Kong, Kowloon, Hong Kong.
| | - Nian Zhang
- Department of Electrical & Computer Engineering, University of the District of Columbia, Washington, DC, USA.
| | - Wei Zhang
- Chongqing Engineering Research Center of Internet of Things and Intelligent Control Technology, Chongqing Three Gorges University, Chongqing, China.
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3
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Wei Q, Yan Y, Zhang J, Xiao J, Wang C. A Self-Attention-Based Deep Reinforcement Learning Approach for AGV Dispatching Systems. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS 2024; 35:7911-7922. [PMID: 36449577 DOI: 10.1109/tnnls.2022.3222206] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/17/2023]
Abstract
The automated guided vehicle (AGV) dispatching problem is to develop a rule to assign transportation tasks to certain vehicles. This article proposes a new deep reinforcement learning approach with a self-attention mechanism to dynamically dispatch the tasks to AGV. The AGV dispatching system is modeled as a less complicated Markov decision process (MDP) using vehicle-initiated rules to dispatch a workcenter to an idle AGV. In order to deal with the highly dynamical environment, the self-attention mechanism is introduced to calculate the importance of different information. The invalid action masking technique is performed to alleviate false actions. A multimodal structure is employed to mix the features of various sources. Comparative experiments are performed to show the effectiveness of the proposed method. The properties of the learned policies are also investigated under different environment settings. It is discovered that the policies explore and learn the properties of different systems, and also smooth the traffic congestion. Under certain environment settings, the policy converges to a heuristic rule that assigns the idle AGV to the workcenter with the shortest queue length, which shows the adaptiveness of the proposed method.
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Pang D, Le X, Guan X, Wang J. LFT: Neural Ordinary Differential Equations With Learnable Final-Time. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS 2024; 35:6918-6927. [PMID: 36279329 DOI: 10.1109/tnnls.2022.3213308] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/16/2023]
Abstract
Since the last decade, deep neural networks have shown remarkable capability in learning representations. The recently proposed neural ordinary differential equations (NODEs) can be viewed as the continuous-time equivalence of residual neural networks. It has been shown that NODEs have a tremendous advantage over the conventional counterparts in terms of spatial complexity for modeling continuous-time processes. However, existing NODEs methods entail their final time to be specified in advance, precluding the models from choosing a desirable final time and limiting their expressive capabilities. In this article, we propose learnable final-time (LFT) NODEs to overcome this limitation. LFT rebuilds the NODEs learning process as a final-time-free optimal control problem and employs the calculus of variations to derive the learning algorithm of NODEs. In contrast to existing NODEs methods, the new approach empowers the NODEs models to choose their suitable final time, thus being more flexible in adjusting the model depth for given tasks. Additionally, we analyze the gradient estimation errors caused by numerical ordinary differential equations (ODEs) solvers and employ checkpoint-based methods to obtain accurate gradients. We demonstrate the effectiveness of the proposed method with experimental results on continuous normalizing flows (CNFs) and feedforward models.
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Li H, Wang J. Capacitated Clustering via Majorization-Minimization and Collaborative Neurodynamic Optimization. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS 2024; 35:6679-6692. [PMID: 36256723 DOI: 10.1109/tnnls.2022.3212593] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/16/2023]
Abstract
This paper addresses capacitated clustering based on majorization-minimization and collaborative neurodynamic optimization (CNO). Capacitated clustering is formulated as a combinatorial optimization problem. Its objective function consists of fractional terms with intra-cluster similarities in their numerators and cluster cardinalities in their denominators as normalized cluster compactness measures. To obviate the difficulty in optimizing the objective function with factional terms, the combinatorial optimization problem is reformulated as an iteratively reweighted quadratic unconstrained binary optimization problem with a surrogate function and a penalty function in a majorization-minimization framework. A clustering algorithm is developed based on CNO for solving the reformulated problem. It employs multiple Boltzmann machines operating concurrently for local searches and a particle swarm optimization rule for repositioning neuronal states upon their local convergence. Experimental results on ten benchmark datasets are elaborated to demonstrate the superior clustering performance of the proposed approaches against seven baseline algorithms in terms of 21 internal cluster validity criteria.
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Han S, Zhang T, Li X, Yu J, Zhang T, Liu Z. The Unified Task Assignment for Underwater Data Collection With Multi-AUV System: A Reinforced Self-Organizing Mapping Approach. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS 2024; 35:1833-1846. [PMID: 35797318 DOI: 10.1109/tnnls.2022.3185611] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/15/2023]
Abstract
This article deals with the task assignment problem for multiple autonomous underwater vehicles to efficiently collect underwater data from sensors. We formulate a unified framework to consistently address the heterogeneous task assignment problem (nonemergency and emergency cases) without strictly distinguishing the mixed cases. First, a unified problem, which bridges the gap between different constraints and optimization objectives of different cases, is constructed. Then, the proposed reinforced self-organizing mapping algorithm is reinforced in three aspects: the regional learning rate, the self-configuring neuron (SCN) strategy, and the workload balance mechanism. Specifically, the proposed regional learning rate comprehensively considers the individual worth of tasks and the topology to generate the regional learning rate of dynamic task regions, which consists of dynamic remaining tasks and the reconstructed topology. Based on this idea, the constructed unified problem can be solved consistently. Furthermore, the proposed SCN strategy optimizes the neuron population both in quality and quantity, and guides the update of neurons with enriched historical information to improve the mapping ability. This strategy greatly improves learning efficiency and applicability in a wide range of scenarios. Meanwhile, the proposed workload balance mechanism takes into consideration of both the work capability and consumed energy to extend the continuous working capability. The numerical results validate the effectiveness and adaptability of the proposed unified task assignment framework.
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Xia Z, Liu Y, Wang J. An event-triggered collaborative neurodynamic approach to distributed global optimization. Neural Netw 2024; 169:181-190. [PMID: 37890367 DOI: 10.1016/j.neunet.2023.10.022] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [MESH Headings] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 06/13/2023] [Revised: 08/29/2023] [Accepted: 10/15/2023] [Indexed: 10/29/2023]
Abstract
In this paper, we propose an event-triggered collaborative neurodynamic approach to distributed global optimization in the presence of nonconvexity. We design a projection neural network group consisting of multiple projection neural networks coupled via a communication network. We prove the convergence of the projection neural network group to Karush-Kuhn-Tucker points of a given global optimization problem. To reduce communication bandwidth consumption, we adopt an event-triggered mechanism to liaise with other neural networks in the group with the Zeno behavior being precluded. We employ multiple projection neural network groups for scattered searches and re-initialize their states using a meta-heuristic rule in the collaborative neurodynamic optimization framework. In addition, we apply the collaborative neurodynamic approach for distributed optimal chiller loading in a heating, ventilation, and air conditioning system.
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Affiliation(s)
- Zicong Xia
- School of Mathematical Sciences, Zhejiang Normal University, Jinhua 321004, China; School of Mathematics, Southeast University, Nanjing 210096, China
| | - Yang Liu
- School of Mathematical Sciences, Zhejiang Normal University, Jinhua 321004, China; Key Laboratory of Intelligent Education Technology and Application of Zhejiang Province, Zhejiang Normal University, Jinhua 321004, China.
| | - Jun Wang
- Department of Computer Science and School of Data Science, City University of Hong Kong, Kowloon, Hong Kong.
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Chen Z, Wang J, Han QL. Event-Triggered Cardinality-Constrained Cooling and Electrical Load Dispatch Based on Collaborative Neurodynamic Optimization. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS 2023; 34:5464-5475. [PMID: 35358052 DOI: 10.1109/tnnls.2022.3160645] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/14/2023]
Abstract
This article addresses event-triggered optimal load dispatching based on collaborative neurodynamic optimization. Two cardinality-constrained global optimization problems are formulated and two event-triggering functions are defined for event-triggered load dispatching in thermal energy and electric power systems. An event-triggered dispatching method is developed in the collaborative neurodynamic optimization framework with multiple projection neural networks and a meta-heuristic updating rule. Experimental results are elaborated to demonstrate the efficacy and superiority of the approach against many existing methods for optimal load dispatching in air conditioning systems and electric power generation systems.
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Zhou W, Zhang HT, Wang J. Sparse Bayesian Learning Based on Collaborative Neurodynamic Optimization. IEEE TRANSACTIONS ON CYBERNETICS 2022; 52:13669-13683. [PMID: 34260368 DOI: 10.1109/tcyb.2021.3090204] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/13/2023]
Abstract
Regression in a sparse Bayesian learning (SBL) framework is usually formulated as a global optimization problem with a nonconvex objective function and solved in a majorization-minimization framework where the solution quality and consistency depend heavily on the initial values of the used algorithm. In view of the shortcomings, this article presents an SBL algorithm based on collaborative neurodynamic optimization (CNO) for searching global optimal solutions to the global optimization problem. The CNO system consists of a population of recurrent neural networks (RNNs) where each RNN is convergent to a local optimum to the global optimization problem. Reinitialized repetitively via particle swarm optimization with exchanged local optima information, the RNNs iteratively improve their searching performance until reaching global convergence. The proposed CNO-based SBL algorithm is almost surely convergent to a global optimal solution to the formulated global optimization problem. Two applications with experimental results on sparse signal reconstruction and partial differential equation identification are elaborated to substantiate the superiority and efficacy of the proposed method in terms of solution optimality and consistency.
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Li X, Wang J, Kwong S. Hash Bit Selection via Collaborative Neurodynamic Optimization With Discrete Hopfield Networks. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS 2022; 33:5116-5124. [PMID: 33835923 DOI: 10.1109/tnnls.2021.3068500] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/12/2023]
Abstract
Hash bit selection (HBS) aims to find the most discriminative and informative hash bits from a hash pool generated by using different hashing algorithms. It is usually formulated as a binary quadratic programming problem with an information-theoretic objective function and a string-length constraint. In this article, it is equivalently reformulated in the form of a quadratic unconstrained binary optimization problem by augmenting the objective function with a penalty function. The reformulated problem is solved via collaborative neurodynamic optimization (CNO) with a population of classic discrete Hopfield networks. The two most important hyperparameters of the CNO approach are determined based on Monte Carlo test results. Experimental results on three benchmark data sets are elaborated to substantiate the superiority of the collaborative neurodynamic approach to several existing methods for HBS.
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Li X, Wang J, Kwong S. Hash Bit Selection Based on Collaborative Neurodynamic Optimization. IEEE TRANSACTIONS ON CYBERNETICS 2022; 52:11144-11155. [PMID: 34415845 DOI: 10.1109/tcyb.2021.3102941] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/13/2023]
Abstract
Hash bit selection determines an optimal subset of hash bits from a candidate bit pool. It is formulated as a zero-one quadratic programming problem subject to binary and cardinality constraints. In this article, the problem is equivalently reformulated as a global optimization problem. A collaborative neurodynamic optimization (CNO) approach is applied to solve the problem by using a group of neurodynamic models initialized with particle swarm optimization iteratively in the CNO. Lévy mutation is used in the CNO to avoid premature convergence by ensuring initial state diversity. A theoretical proof is given to show that the CNO with the Lévy mutation operator is almost surely convergent to global optima. Experimental results are discussed to substantiate the efficacy and superiority of the CNO-based hash bit selection method to the existing methods on three benchmarks.
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Dai X, Wang J, Zhang W. Balanced clustering based on collaborative neurodynamic optimization. Knowl Based Syst 2022. [DOI: 10.1016/j.knosys.2022.109026] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/18/2022]
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Che H, Wang J, Cichocki A. Sparse signal reconstruction via collaborative neurodynamic optimization. Neural Netw 2022; 154:255-269. [PMID: 35908375 DOI: 10.1016/j.neunet.2022.07.018] [Citation(s) in RCA: 7] [Impact Index Per Article: 2.3] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 01/30/2022] [Revised: 07/09/2022] [Accepted: 07/12/2022] [Indexed: 10/17/2022]
Abstract
In this paper, we formulate a mixed-integer problem for sparse signal reconstruction and reformulate it as a global optimization problem with a surrogate objective function subject to underdetermined linear equations. We propose a sparse signal reconstruction method based on collaborative neurodynamic optimization with multiple recurrent neural networks for scattered searches and a particle swarm optimization rule for repeated repositioning. We elaborate on experimental results to demonstrate the outperformance of the proposed approach against ten state-of-the-art algorithms for sparse signal reconstruction.
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Affiliation(s)
- Hangjun Che
- College of Electronic and Information Engineering and Chongqing Key Laboratory of Nonlinear Circuits and Intelligent Information Processing, Southwest University, Chongqing 400715, China.
| | - Jun Wang
- Department of Computer Science and School of Data Science, City University of Hong Kong, Kowloon, Hong Kong.
| | - Andrzej Cichocki
- Skolkovo Institute of Science and Technology, Moscow 143026, Russia.
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Boolean matrix factorization based on collaborative neurodynamic optimization with Boltzmann machines. Neural Netw 2022; 153:142-151. [PMID: 35728336 DOI: 10.1016/j.neunet.2022.06.006] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 03/05/2022] [Revised: 05/01/2022] [Accepted: 06/02/2022] [Indexed: 11/22/2022]
Abstract
This paper presents a collaborative neurodynamic approach to Boolean matrix factorization. Based on a binary optimization formulation to minimize the Hamming distance between a given data matrix and its low-rank reconstruction, the proposed approach employs a population of Boltzmann machines operating concurrently for scatter search of factorization solutions. In addition, a particle swarm optimization rule is used to re-initialize the neuronal states of Boltzmann machines upon their local convergence to escape from local minima toward global solutions. Experimental results demonstrate the superior convergence and performance of the proposed approach against six baseline methods on ten benchmark datasets.
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Yi X, Zhu A, Yang SX. MPPTM: A Bio-Inspired Approach for Online Path Planning and High-Accuracy Tracking of UAVs. Front Neurorobot 2022; 15:798428. [PMID: 35221958 PMCID: PMC8873088 DOI: 10.3389/fnbot.2021.798428] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Abstract] [Grants] [Track Full Text] [Download PDF] [Figures] [Journal Information] [Subscribe] [Scholar Register] [Received: 10/20/2021] [Accepted: 12/30/2021] [Indexed: 11/13/2022] Open
Abstract
The path planning and tracking problem of the multi-robot system (MRS) has always been a research hotspot and applied in various fields. In this article, a novel multi-robot path planning and tracking model (MPPTM) is proposed, which can carry out online path planning and tracking problem for multiple mobile robots. It considers many issues during this process, such as collision avoidance, and robot failure. The proposed approach consists of three parts: a neural dynamic path planner, a hyperbolic tangent path optimizer, and an error-driven path tracker. Assisted by Ultra-wideband positioning system, the proposed MPPTM is a low-cost solution for online path planning and high-accurate tracking of MRS in practical environments. In the proposed MPPTM, the proposed path planner has good time performance, and the proposed path optimizer improves tracking accuracy. The effectiveness, feasibility, and better performance of the proposed model are demonstrated by real experiments and comparative simulations.
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Affiliation(s)
- Xin Yi
- Research Institute of Intelligence Technology and System Integration, College of Computer Science and Software Engineering, Shenzhen University, Shenzhen, China
| | - Anmin Zhu
- Research Institute of Intelligence Technology and System Integration, College of Computer Science and Software Engineering, Shenzhen University, Shenzhen, China
- *Correspondence: Anmin Zhu
| | - S. X. Yang
- Advanced Robotics and Intelligent Systems (ARIS) Laboratory, School of Engineering, University of Guelph, Guelph, ON, Canada
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Wang J, Wang J, Han QL. Multivehicle Task Assignment Based on Collaborative Neurodynamic Optimization With Discrete Hopfield Networks. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS 2021; 32:5274-5286. [PMID: 34077371 DOI: 10.1109/tnnls.2021.3082528] [Citation(s) in RCA: 5] [Impact Index Per Article: 1.3] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/12/2023]
Abstract
This article presents a collaborative neurodynamic optimization (CNO) approach to multivehicle task assignments (TAs). The original combinatorial quadratic optimization problem for TA is reformulated as a quadratic unconstrained binary optimization (QUBO) problem with a quadratic utility function and a penalty function for handling load capacity and cooperation constraints. In the framework of CNO with a population of discrete Hopfield networks (DHNs), a TA algorithm is proposed for solving the formulated QUBO problem. Superior experimental results in four typical multivehicle operation scenarios are reported to substantiate the efficacy of the proposed neurodynamics-based TA approach.
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Zhang HT, Hu BB, Xu Z, Cai Z, Liu B, Wang X, Geng T, Zhong S, Zhao J. Visual Navigation and Landing Control of an Unmanned Aerial Vehicle on a Moving Autonomous Surface Vehicle via Adaptive Learning. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS 2021; 32:5345-5355. [PMID: 34048350 DOI: 10.1109/tnnls.2021.3080980] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/12/2023]
Abstract
This article presents a visual navigation and landing control paradigm for an unmanned aerial vehicle (UAV) to land on a moving autonomous surface vehicle (ASV). Therein, an adaptive learning navigation rule with a multilayer nested guidance is designed to pinpoint the position of the ASV and to guide and control the UAV to fulfill horizontal tracking and vertical descending in a narrow landing region of the ASV by means of merely relative position feedback. To ensure the feasibility of the proposed control law, asymptotical stability conditions are derived based on Lyapunov stability theory. Landing experimental results are reported for a UAV-ASV system consisting of an M-100 UAV and a self-developed three-meters-long HUSTER-30 ASV on a lake to substantiate the efficacy of the proposed landing control method.
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Leung MF, Wang J. Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization. Neural Netw 2021; 145:68-79. [PMID: 34735892 DOI: 10.1016/j.neunet.2021.10.007] [Citation(s) in RCA: 32] [Impact Index Per Article: 8.0] [Reference Citation Analysis] [Abstract] [Key Words] [MESH Headings] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 08/10/2021] [Revised: 09/28/2021] [Accepted: 10/11/2021] [Indexed: 11/18/2022]
Abstract
Portfolio optimization is one of the most important investment strategies in financial markets. It is practically desirable for investors, especially high-frequency traders, to consider cardinality constraints in portfolio selection, to avoid odd lots and excessive costs such as transaction fees. In this paper, a collaborative neurodynamic optimization approach is presented for cardinality-constrained portfolio selection. The expected return and investment risk in the Markowitz framework are scalarized as a weighted Chebyshev function and the cardinality constraints are equivalently represented using introduced binary variables as an upper bound. Then cardinality-constrained portfolio selection is formulated as a mixed-integer optimization problem and solved by means of collaborative neurodynamic optimization with multiple recurrent neural networks repeatedly repositioned using a particle swarm optimization rule. The distribution of resulting Pareto-optimal solutions is also iteratively perfected by optimizing the weights in the scalarized objective functions based on particle swarm optimization. Experimental results with stock data from four major world markets are discussed to substantiate the superior performance of the collaborative neurodynamic approach to several exact and metaheuristic methods.
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Affiliation(s)
- Man-Fai Leung
- School of Science and Technology, Hong Kong Metropolitan University, Kowloon, Hong Kong
| | - Jun Wang
- Department of Computer Science and School of Data Science, City University of Hong Kong, Kowloon, Hong Kong.
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