*************************************************************************
** PROGRAM: NETLE **
** PURPOSE: Feedforward Neural Networks and Lyapunov Exponents **
** Estimation **
** COPYRIGHT: Chung-Ming Kuan, Tung Liu, and Ramazan Gencay **
** VERSION: 2.1, February 1995 **
*************************************************************************
CONTENTS:
Section 1. INTRODUCTION
Section 2. SYSTEM REQUIREMENTS AND INSTALLATION:
System requirements and instructions of installing this program
for DOS and for Windows.
Section 3. PROGRAM RESTRICTIONS:
The data and neural network restrictions for this program.
Section 4. DATA FILE:
The structure of the data file.
Section 5. CONTROL FILE:
A file with the information and options for running this program.
Section 6. PROGRAM OUTPUT:
How to read the program output.
Section 7. CORRESPONDENCE:
The address, phone number, and email address for the authors.
========================================================================
1. INTRODUCTION
This program, NETLE.EXE, estimates feedforward neural network models
and computes Lyapunov exponents (LE). Neural networks are estimated
by the method of nonlinear least squares (NLS) (Kuan and Liu (1995));
Lyapunov exponents are calculated from the derivative matrices of
estimated network models (Gencay and Dechert (1992)). Note that a
positive Lyapunov exponent indicates that the underlying series is
chaotic.
This disk contains the main program, a supporting software, and some
sample data and output files (they are explained in detail in later
sections):
README This file.
NETLE.EXE The main program.
DOSXMSF.EXE DOS extender program.
DOSXNT.386 DOS extender device drive for Window's SYSTEM.INI.
MMD.386 DOS extender device drive for Window's SYSTEM.INI.
SAMPLE.IN A sample control file for NETLE.EXE.
HENON.DAT An example data set with 600 observations and 4 inputs.
HENON0.OUT The output file based on SAMPLE.IN.
HENON1.OUT Same as HENON0.out, without LE estimates.
HENON0.PAR The file for parameter estimates based on SAMPLE.IN.
HENON0.FIT The file for fitted values based on SAMPLE.IN.
HENON0.DER The file for derivatives based on SAMPLE.IN.
To run the main program NETLE, you need NETLE.EXE, a control file,
a data file, and a supporting software. After the program is
installed properly (Section 2), the main program can be executed
at the DOS prompt by typing:
C:> NETLE control_file_name
You may test NETLE with the supplied sample control file and data
file by typing:
C:> NETLE SAMPLE.IN
This disk is distributed for academic purposes only; proper citation of
this program is gratefully appreciated.
REFERENCES:
Kuan, Chung-Ming and Tung Liu (1995).
"Forecasting exchange rates using feedforward and recurrent networks",
Journal of Applied Econometrics, forthcoming.
Gencay, Ramazan and W. D. Dechert (1992).
"An algorithm for the n Lyapunov exponents of an n-dimensional unknown
dynamical system", Physica D, 59, 142-157.
========================================================================
2. SYSTEM REQUIREMENTS AND INSTALLATION
NETLE.EXE requires an IBM or IBM compatible PC with a 386 (or higher)
chip. Since the NLS estimation requires a lot of CPU time, a high
speed 486 or Pentium PC is recommended. To use the program at its
maximum capacity, at least 8 MB RAM are required (the program can use
PC's extended memory). The free shareware DOSXMSF.EXE is used for
running the program with the extended memory. To use this supporting
program, follow the installation:
2.1 DOS Installation
Create a directory for NETLE in the hard disk and copy all the files
in this distributed disk to this directory. You can put DOSXMSF.EXE
either in this directory or in a directory that is in your DOS PATH
environment variable. But the main program NETLE.EXE, the control
file, and the data file must be in the same directory.
2.2 Windows Installation
The program can also run under Microsoft Windows 3.1 (but not in
Windows NT). After you follow the above DOS installation, copy
the following two files from the disk to C:\WINDOWS (or your Windows
directory):
DOSXNT.386
MMD.386
Modifications to SYSTEM.INI
---------------------------
Modify the SYSTEM.INI file in your Windows directory by adding
the following information in the [386ENH] section:
device=c:\windows\dosxnt.386
device=c:\windows\mmd.386
Then reboot your PC and you are ready to run NETLE.
========================================================================
3. PROGRAM RESTRICTIONS
Current version of NETLE.EXE has the following restrictions:
(a) Data: The maximum number of observations is 4000.
(b) Network: The maximum number of inputs is 10;
The maximum number of hidden units is 10;
You may run NETLE with the above maximum feature only if your
PC has enough RAM.
========================================================================
4. DATA FILE
The first column of the data file must be a series of ID numbers (e.g.
1,2,3,....,n); the second column should contain the target (dependent)
variable; the other columns should be input (explanatory) variables.
========================================================================
5. CONTROL FILE
NETLE is not an interactive program. The execution of this program
is controlled by a control file which contains information of the
data file name, network structure, and other options for computation.
A sample of this control file SAMPLE.IN is included in the disk. The
simplest way to create your own control file is to revise the content of
SAMPLE.IN and rename it with a new file name. After you create your
own control file, you can run NETLE from the DOS prompt by typing
C:> NETLE control_file_name
For example, to test the program using SAMPLE.IN, type
C:> NETLE SAMPLE.IN
5.1 Contents of a Control File:
This file contains 16 instruction lines. Each line is followed by
a single information line. The user must supply all the information
in these information lines. If no information is needed, a blank line
must exist between two instruction lines. The program will not function
properly if wrong information or more than one information line is supplied.
If two numbers are required in an information line, these numbers must be
separated by space(s). DO NOT erase the instruction lines in your control
file as the program will read them as NULL lines.
The following are the instruction lines and explanation.
(1) [* NETLE Version 2.1 (neural NETwork for LE) by Kuan, Liu, & Gencay. *]
The TITLE you would like to have in your output file.
(2) [* Data File Name: *]
The name of the data file to be read by the program.
(3) [* Output File Name: *]
The name of the output file.
(4) [* Number of Observations: *]
Total number of observations in the data file specified in (2).
(5) [* Number of Inputs: *]
The number of inputs (explanatory variables).
(6) [* Minimum and Maximum Number of Hidden Units: *]
Two integer values. The first value, q, is a number specifying the
minimum number of hidden units; the second value, Q, is a number
specifying the maximum number of hidden units. The program will
estimate total (Q-q+1) networks.
(7) [* Calculating the Lyapunov Exponent: 0/No, 1/Yes *]
Enter 0 or 1. The Lyapunov exponents will be computed if 1 is entered.
(8) [* Method of Scaling Inputs: *]
Enter one of the following 4 choices:
0: no scaling is made;
1: each input is standardized by subtracting its mean and divided
by its standard deviation;
2: each input is standardized between 0 and 1 using a logistic
transformation: x*=1/(1+exp(-x));
3: each input is standardized between -1 and 1 using a logistic
transformation: x*=2/(1+exp(-x)) - 1;
Notice that this value will be set to 0 by the program if the
calculation of Lyapunov exponents is requested.
(9) [* Seeds (Positive Number); NTRY: *]
The first number specifies the seed of the (standard normal)
random number generator; the second gives the number of
sets of initial parameters to be generated. The program will
select the set of initial parameters which results in the lowest
MSE as the starting values for NLS estimation.
(10) [* Number of Iterations; Tolerance in NLS: *]
The first number specifies the maximum number of iterations in
NLS estimation; the second specifies the tolerance level
for NLS convergence.
(11) [* Creating the Parameters File: 0/No, 1/Yes *]
Enter 0 or 1. A file for parameter estimates will be created under
the name specified in (12) if 1 is entered.
(12) [* Parameters File Name: (The Option Above Must Be "1") *]
The file name for parameter estimates. If 0 is specified in
(11), you may leave this line blank, or the program will ignore the
content of this line.
(13) [* Creating the Fitted Values File: 0/No, 1/Yes *]
Enter 0 or 1. A file for fitted values will be created under the
name specified in (14) if 1 is entered.
(14) [* Fitted Values File Name: *]
The file name for fitted values. If 0 is specified in (13),
you may leave this line blank, or the program will ignore the content
of this line.
(15) [* Creating the Derivatives: 0/No, 1/Yes *]
Enter 0 or 1. A file for derivatives will be created under the
name specified in (16) if 1 is entered.
(16) [* Derivatives File Name: *]
The file name for derivatives which is used to compute Lyapunov
exponents. If 0 is specified in (15), you may leave this line blank,
or the program will ignore the content of this line.
5.2. A Sample Control File
Below is a sample control file SAMPLE.IN. The user may create a new
control file by suitably modifying this sample file.
[* NETLE Version 2.1 (neural NETwork for LE) by Kuan, Liu, & Gencay. *]
Henon Map
[* Data File Name: *]
henon.dat
[* Output File Name: *]
henon.out
[* Number of Observations: *]
200
[* Number of Inputs: *]
2
[* Minimum and Maximum Number of Hidden Units: *]
1 2
[* Calculating the Lyapunov Exponent: 0/No, 1/Yes *]
1
[* Method of Scaling Inputs: *]
0
[* Seeds (Positive Number); NTRY: *]
56666459 500
[* Number of Iterations; Tolerance in NLS: *]
900 1.0d-9
[* Creating the Parameters File: 0/No, 1/Yes *]
1
[* Parameters File Name: (The Option Above Must Be "1") *]
henon.par
[* Creating the Fitted Values File: 0/No, 1/Yes *]
1
[* Fitted Values File Name: *]
henon.fit
[* Creating the Derivatives: 0/No, 1/Yes *]
1
[* Derivatives File Name: *]
henon.der
========================================================================
6. PROGRAM OUTPUT
The results of the program will be displayed on the screen and
written to an output file as specified in the control file.
Part of the result from the control file SAMPLE.IN is as follows.
Hiddens 1: MSE = .226113 SIC = -1.35426
Lyapunov Exponents:
lambda( 1) = -1.451576
lambda( 2) = -4.839406
Hiddens 2: MSE = .744204E-08 SIC = -18.4777
Lyapunov Exponents:
lambda( 1) = .4331328
lambda( 2) = -1.636965
The values of lambda's are the estimated Lyapunov exponents. If the
calculation of Lyapunov exponents is set to "0" in SAMPLE.IN, the
values of lambda will not be given, and the result reads:
Hiddens 1: MSE = .226113 SIC = -1.35426
Hiddens 2: MSE = .744204E-08 SIC = -18.4777
6.1 The file for Parameter Estimates
If the parameter file is requested, both the initial values from the
random number generator and the final estimates from NLS will be written
to the parameter file. There are two lines above each set of parameters:
Initial Est.: ntobs nv nq nw
xxx x x xx
NLS Est.: ntobs nv nq nw
xxx x x xx
Here, "ntobs" is the total number of observations in the data file,
"nv" is the number of inputs, "nq" is the number of hidden units, and
"nw" is the total number of parameters of the estimated network. The
parameters of each network in the parameter file are arranged according
to the following order:
Output bias (constant term),
Parameters connecting hidden and output units,
The first hidden bias,
The parameter connecting the first input and first hidden units,
The parameter connecting the second input and first hidden units,
...
The parameter connecting the v-th input and first hidden units,
...
The q-th hidden bias,
The parameter connecting the first input and q-th hidden units,
The parameter connecting the second input and q-th hidden units,
...
The parameter connecting the v-th input and q-th hidden units,
6.2. The file for Fitted Values
The file for fitted values has 3 columns: the first contains
original target values, the second contains network fitted values,
and the third contains network errors (target - fitted values).
========================================================================
7. CORRESPONDENCES
Questions of this program should be addressed to:
Prof. Tung Liu
Department of Economics
Ball State University
Muncie, IN 47306
U.S.A.
(765) 285-3724
E-Mail: tliu@bsu-cs.bsu.edu
Other authors can be reached at:
Prof. Chung-Ming Kuan
Department of Economics
National Taiwan University
Taipei 10020
TAIWAN
(886-2) 351-9641 ext. 522
E-mail: ckuan@ccms.ntu.edu.tw
Prof. Ramazan Gencay
Department of Economics
University of Windsor
Windsor Ontario
Canada, N9B3P4
(519) 253-4232 ext. 2382
E-mail: gencay@uwindsor.ca