1、% 画出原始上证指数的每日开盘数figure;plot(ts,LineWidth,2);title(上证指数的每日开盘数(1990.12.20-2009.08.19),FontSize,12);xlabel(交易日天数(1990.12.19-2009.08.19)ylabel(开盘数grid on;% 数据预处理,将原始数据进行归一化ts = ts;tsx = tsx% mapminmax为matlab自带的映射函数% 对ts进行归一化TS,TSps = mapminmax(ts,1,2);% 画出原始上证指数的每日开盘数归一化后的图像plot(TS,原始上证指数的每日开盘数归一化后的图像归一
2、化后的开盘数% 对TS进行转置,以符合libsvm工具箱的数据格式要求TS = TS% mapminmax为matlab自带的映射函数% 对tsx进行归一化TSX,TSXps = mapminmax(tsx,1,2);% 对TSX进行转置,以符合libsvm工具箱的数据格式要求TSX = TSX% 选择回归预测分析最佳的SVM参数c&g% 首先进行粗略选择: bestmse,bestc,bestg = SVMcgForRegress(TS,TSX,-8,8,-8,8);% 打印粗略选择结果disp(打印粗略选择结果str = sprintf( Best Cross Validation MSE
3、 = %g Best c = %g Best g = %g,bestmse,bestc,bestg);disp(str);% 根据粗略选择的结果图再进行精细选择:bestmse,bestc,bestg = SVMcgForRegress(TS,TSX,-4,4,-4,4,3,0.5,0.5,0.05);% 打印精细选择结果打印精细选择结果% 利用回归预测分析最佳的参数进行SVM网络训练cmd = -c , num2str(bestc), -g , num2str(bestg) , -s 3 -p 0.01;model = svmtrain(TS,TSX,cmd);% SVM网络回归预测pred
4、ict,mse = svmpredict(TS,TSX,model);predict = mapminmax(reverse,predict,TSps);predict = predict% 打印回归结果均方误差 MSE = %g 相关系数 R = %g%,mse(2),mse(3)*100);% 结果分析hold on;-oplot(predict,r-legend(原始数据回归预测数据hold off;原始数据和回归预测数据对比error = predict - tsplot(error,rd误差图(predicted data - original data)误差量error = (pr
5、edict - ts)./ts相对误差图(predicted data - original data)/original data相对误差量snapnow;toc;% 子函数 SVMcgForRegress.mfunction mse,bestc,bestg = SVMcgForRegress(train_label,train,cmin,cmax,gmin,gmax,v,cstep,gstep,msestep)%SVMcg cross validation by faruto% by faruto%Email:patrick.lee QQ:516667408 BNU%last modifi
6、ed 2010.01.17%Super Moderator % 若转载请注明:% faruto and liyang , LIBSVM-farutoUltimateVersion % a toolbox with implements for support vector machines based on libsvm, 2009. % Software available at % % Chih-Chung Chang and Chih-Jen Lin, LIBSVM : a library for% support vector machines, 2001. Software avai
7、lable at% http:/www.csie.ntu.edu.tw/cjlin/libsvm% about the parameters of SVMcg if nargin 10 msestep = 0.06;end 8 cstep = 0.8; gstep = 0.8; 7 v = 5; 5 gmax = 8; gmin = -8; 3 cmax = 8; cmin = -8;% X:c Y:g cg:accX,Y = meshgrid(cmin:cstep:cmax,gmin:gstep:gmax);m,n = size(X);cg = zeros(m,n);eps = 10(-4)
8、;bestc = 0;bestg = 0;mse = Inf;basenum = 2;for i = 1:m for j = 1:n cmd = -v ,num2str(v), -c ,num2str( basenumX(i,j) ),num2str( basenumY(i,j) ), -s 3 -p 0.1 cg(i,j) = svmtrain(train_label, train, cmd); if cg(i,j) mse mse = cg(i,j); bestc = basenumX(i,j); bestg = basenumY(i,j); end if abs( cg(i,j)-mse
9、 ) basenumX(i,j) end% to draw the acc with different c & gcg,ps = mapminmax(cg,0,1);C,h = contour(X,Y,cg,0:msestep:0.5);clabel(C,h,10,Colorrlog2clog2gfirstline = SVR参数选择结果图(等高线图)GridSearchMethodsecondline = Best c=,num2str(bestc), g=,num2str(bestg), . CVmse=,num2str(mse);title(firstline;secondline,Fontsizemeshc(X,Y,cg);% mesh(X,Y,cg);% surf(X,Y,cg);axis(cmin,cmax,gmin,gmax,0,1);zlabel(MSESVR参数选择结果图(3D视图)GridSearchMethod
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