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Generating functionals may guide the evolution of a dynamical system and constitute a possible route for handling the complexity of neural networks as relevant for computational intelligence.We propose and explore a new objective function, which allows to obtain plasticity rules for the afferent synaptic weights. The adaption rules are Hebbian, self-limiting, and result from the minimization of the Fisher information with respect to the synaptic flux. We perform a series of simulations examining the behavior of the new learning rules in various circumstances.The vector of synaptic weights aligns with the principal direction of input activities, whenever one is present. A linear discrimination is performed when there are two or more principal directions; directions having bimodal firing-rate distributions, being characterized by a negative excess kurtosis, are preferred. We find robust performance and full homeostatic adaption of the synaptic weights results as a by-product of the synaptic flux minimization. This self-limiting behavior allows for stable online learning for arbitrary durations.The neuron acquires new information when the statistics of input activities is changed at a certain point of the simulation, showing however, a distinct resilience to unlearn previously acquired knowledge. Learning is fast when starting with randomly drawn synaptic weights and substantially slower when the synaptic weights are already fully adapted.
The Fisher information constitutes a natural measure for the sensitivity of a probability distribution with respect to a set of parameters. An implementation of the stationarity principle for synaptic learning in terms of the Fisher information results in a Hebbian self-limiting learning rule for synaptic plasticity. In the present work, we study the dependence of the solutions to this rule in terms of the moments of the input probability distribution and find a preference for non-Gaussian directions, making it a suitable candidate for independent component analysis (ICA). We confirm in a numerical experiment that a neuron trained under these rules is able to find the independent components in the non-linear bars problem. The specific form of the plasticity rule depends on the transfer function used, becoming a simple cubic polynomial of the membrane potential for the case of the rescaled error function. The cubic learning rule is also an excellent approximation for other transfer functions, as the standard sigmoidal, and can be used to show analytically that the proposed plasticity rules are selective for directions in the space of presynaptic neural activities characterized by a negative excess kurtosis.
Volatility is a widely recognized measure of market risk. As volatility is not observed it has to be estimated from market prices, i.e., as the implied volatility from option prices. The volatility index VIX making volatility a tradeable asset in its own right is computed from near- and next-term put and call options on the S&P 500 with more than 23 days and less than 37 days to expiration and non-vanishing bid. In the present paper we quantify the information content of the constituents of the VIX about the volatility of the S&P 500 in terms of the Fisher information matrix. Assuming that observed option prices are centered on the theoretical price provided by Heston's model perturbed by additive Gaussian noise we relate their Fisher information matrix to the Greeks in the Heston model. We find that the prices of options contained in the VIX basket allow for reliable estimates of the volatility of the S&P 500 with negligible uncertainty as long as volatility is large enough. Interestingly, if volatility drops below a critical value of roughly 3%, inferences from option prices become imprecise because Vega, the derivative of a European option w.r.t. volatility, and thereby the Fisher information nearly vanishes.