Empirical strategy for stretching probability distribution in neural-network-based regression

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In regression analysis under artificial neural networks, the prediction performance depends on determining the appropriate weights between layers. As randomly initialized weights are updated during back-propagation using the gradient descent procedure under a given loss function, the loss function structure can affect the performance significantly. In this study, we considered the distribution error, i.e., the inconsistency of two distributions (those of the predicted values and label), as the prediction error, and proposed weighted empirical stretching (WES) as a novel loss function to increase the overlap area of the two distributions. The function depends on the distribution of a given label, thus, it is applicable to any distribution shape. Moreover, it contains a scaling hyperparameter (beta) such that the appropriate parameter value maximizes the common section of the two distributions. To test the function capability, we generated ideal distributed curves (unimodal, skewed unimodal, bimodal, and skewed bimodal) as the labels, and used the Fourier-extracted input data from the curves under a feedforward neural network. In general, WES outperformed loss functions in wide use, and the performance was robust to the various noise levels. The improved results in RMSE for the extreme domain (i.e., both tail regions of the distribution) are expected to be utilized for prediction of abnormal events in non-linear complex systems such as natural disaster and financial crisis. (C) 2021 The Authors. Published by Elsevier Ltd.
Publisher
PERGAMON-ELSEVIER SCIENCE LTD
Issue Date
2021-08
Language
English
Article Type
Article
Citation

NEURAL NETWORKS, v.140, pp.113 - 120

ISSN
0893-6080
DOI
10.1016/j.neunet.2021.02.030
URI
http://hdl.handle.net/10203/286698
Appears in Collection
RIMS Journal Papers
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