Understanding time series networks: a case study in rule extraction

A significant limitation of neural networks is that the representations they learn are usually incomprehensible to humans. We have developed an algorithm, called TREPAN, for extracting comprehensible, symbolic representations from trained neural networks. Given a trained network, TREPAN produces a decision tree that approximates the concept represented by the network. In this article, we discuss the application of TREPAN to a neural network trained on a noisy time series task: predicting the Dollar-Mark exchange rate. We present experiments that show that TREPAN is able to extract a decision tree from this network that equals the network in terms of predictive accuracy, yet provides a comprehensible concept representation. Moreover, our experiments indicate that decision trees induced directly from the training data using conventional algorithms do not match the accuracy nor the comprehensibility of the tree extracted by TREPAN.