arXiv subjects

Jesse Davis

Publications and source records attributed to Jesse Davis.

At least 37 records · Page 2Linked to original sources

arXiv2023

How to Allocate your Label Budget? Choosing between Active Learning and Learning to Reject in Anomaly Detection

Anomaly detection attempts at finding examples that deviate from the expected behaviour. Usually, anomaly detection is tackled from an unsupervised perspective because anomalous labels are rare and difficult to acquire. However, the lack of labels makes the anomaly detector have high uncertainty in some regions, which usually results in poor predictive performance or low user trust in the predictions. One can reduce such uncertainty by collecting specific labels using Active Learning (AL), which targets examples close to the detector's decision boundary. Alternatively, one can increase the user trust by allowing the detector to abstain from making highly uncertain predictions, which is called Learning to Reject (LR). One way to do this is by thresholding the detector's uncertainty based on where its performance is low, which requires labels to be evaluated. Although both AL and LR need labels, they work with different types of labels: AL seeks strategic labels, which are evidently biased, while LR requires i.i.d. labels to evaluate the detector's performance and set the rejection threshold. Because one usually has a unique label budget, deciding how to optimally allocate it is challenging. In this paper, we propose a mixed strategy that, given a budget of labels, decides in multiple rounds whether to use the budget to collect AL labels or LR labels. The strategy is based on a reward function that measures the expected gain when allocating the budget to either side. We evaluate our strategy on 18 benchmark datasets and compare it to some baselines.

cs.LG↗

arXiv2022

Nowcasting Stock Implied Volatility with Twitter

In this study, we predict next-day movements of stock end-of-day implied volatility using random forests. Through an ablation study, we examine the usefulness of different sources of predictors and expose the value of attention and sentiment features extracted from Twitter. We study the approach on a stock universe comprised of the 165 most liquid US stocks diversified across the 11 traditional market sectors using a sizeable out-of-sample period spanning over six years. In doing so, we uncover that stocks in certain sectors, such as Consumer Discretionary, Technology, Real Estate, and Utilities are easier to predict than others. Further analysis shows that possible reasons for these discrepancies might be caused by either excess social media attention or low option liquidity. Lastly, we explore how our proposed approach fares throughout time by identifying four underlying market regimes in implied volatility using hidden Markov models. We find that most added value is achieved in regimes associated with lower implied volatility, but optimal regimes vary per market sector.

q-fin.CP↗

arXiv2022

Elastic Product Quantization for Time Series

Analyzing numerous or long time series is difficult in practice due to the high storage costs and computational requirements. Therefore, techniques have been proposed to generate compact similarity-preserving representations of time series, enabling real-time similarity search on large in-memory data collections. However, the existing techniques are not ideally suited for assessing similarity when sequences are locally out of phase. In this paper, we propose the use of product quantization for efficient similarity-based comparison of time series under time warping. The idea is to first compress the data by partitioning the time series into equal length sub-sequences which are represented by a short code. The distance between two time series can then be efficiently approximated by pre-computed elastic distances between their codes. The partitioning into sub-sequences forces unwanted alignments, which we address with a pre-alignment step using the maximal overlap discrete wavelet transform (MODWT). To demonstrate the efficiency and accuracy of our method, we perform an extensive experimental evaluation on benchmark datasets in nearest neighbors classification and clustering applications. Overall, the proposed solution emerges as a highly efficient (both in terms of memory usage and computation time) replacement for elastic measures in time series applications.

cs.LG↗

arXiv2022

Adversarial Example Detection in Deployed Tree Ensembles

Tree ensembles are powerful models that are widely used. However, they are susceptible to adversarial examples, which are examples that purposely constructed to elicit a misprediction from the model. This can degrade performance and erode a user's trust in the model. Typically, approaches try to alleviate this problem by verifying how robust a learned ensemble is or robustifying the learning process. We take an alternative approach and attempt to detect adversarial examples in a post-deployment setting. We present a novel method for this task that works by analyzing an unseen example's output configuration, which is the set of predictions made by an ensemble's constituent trees. Our approach works with any additive tree ensemble and does not require training a separate model. We evaluate our approach on three different tree ensemble learners. We empirically show that our method is currently the best adversarial detection method for tree ensembles.

cs.LG↗

arXiv2021

A Bayesian Approach to In-Game Win Probability in Soccer

In-game win probability models, which provide a sports team's likelihood of winning at each point in a game based on historical observations, are becoming increasingly popular. In baseball, basketball and American football, they have become important tools to enhance fan experience, to evaluate in-game decision-making, and to inform coaching decisions. While equally relevant in soccer, the adoption of these models is held back by technical challenges arising from the low-scoring nature of the sport. In this paper, we introduce an in-game win probability model for soccer that addresses the shortcomings of existing models. First, we demonstrate that in-game win probability models for other sports struggle to provide accurate estimates for soccer, especially towards the end of a game. Second, we introduce a novel Bayesian statistical framework that estimates running win, tie and loss probabilities by leveraging a set of contextual game state features. An empirical evaluation on eight seasons of data for the top-five soccer leagues demonstrates that our framework provides well-calibrated probabilities. Furthermore, two use cases show its ability to enhance fan experience and to evaluate performance in crucial game situations.

cs.LG↗

arXiv2021

Verifying Tree Ensembles by Reasoning about Potential Instances

Imagine being able to ask questions to a black box model such as "Which adversarial examples exist?", "Does a specific attribute have a disproportionate effect on the model's prediction?" or "What kind of predictions could possibly be made for a partially described example?" This last question is particularly important if your partial description does not correspond to any observed example in your data, as it provides insight into how the model will extrapolate to unseen data. These capabilities would be extremely helpful as they would allow a user to better understand the model's behavior, particularly as it relates to issues such as robustness, fairness, and bias. In this paper, we propose such an approach for an ensemble of trees. Since, in general, this task is intractable we present a strategy that (1) can prune part of the input space given the question asked to simplify the problem; and (2) follows a divide and conquer approach that is incremental and can always return some answers and indicates which parts of the input domains are still uncertain. The usefulness of our approach is shown on a diverse set of use cases.

cs.LG↗

arXiv2020

Predicting gait events from tibial acceleration in rearfoot running: a structured machine learning approach

Gait event detection of the initial contact and toe off is essential for running gait analysis, allowing the derivation of parameters such as stance time. Heuristic-based methods exist to estimate these key gait events from tibial accelerometry. However, these methods are tailored to very specific acceleration profiles, which may offer complications when dealing with larger data sets and inherent biological variability. Therefore, this paper investigates whether a structured machine learning approach can achieve a more accurate prediction of running gait event timings from tibial accelerometry. Force-based event detection acted as the criterion measure in order to assess the accuracy, repeatability and sensitivity of the predicted gait events. A heuristic method and two structured machine learning methods were employed to derive initial contact, toe off and stance time from tibial acceleration signals. Both a structured perceptron model (median absolute error of stance time estimation: 10.00 $\pm$ 8.73 ms) and a structured recurrent neural network model (median absolute error of stance time estimation: 6.50 $\pm$ 5.74 ms) significantly outperformed the existing heuristic approach (median absolute error of stance time estimation: 11.25 $\pm$ 9.52 ms) on data from 93 rearfoot runners. Thus, results indicate that a structured recurrent neural network machine learning model offers the most accurate and consistent estimation of the gait events and its derived stance time during level overground running. The machine learning methods seem less affected by intra- and inter-subject variation within the data, allowing for accurate and efficient automated data output during rearfoot overground running. Furthermore offering possibilities for real-time monitoring and biofeedback during prolonged measurements, even outside the laboratory.

cs.LG↗

arXiv2020

Versatile Verification of Tree Ensembles

Machine learned models often must abide by certain requirements (e.g., fairness or legal). This has spurred interested in developing approaches that can provably verify whether a model satisfies certain properties. This paper introduces a generic algorithm called Veritas that enables tackling multiple different verification tasks for tree ensemble models like random forests (RFs) and gradient boosting decision trees (GBDTs). This generality contrasts with previous work, which has focused exclusively on either adversarial example generation or robustness checking. Veritas formulates the verification task as a generic optimization problem and introduces a novel search space representation. Veritas offers two key advantages. First, it provides anytime lower and upper bounds when the optimization problem cannot be solved exactly. In contrast, many existing methods have focused on exact solutions and are thus limited by the verification problem being NP-complete. Second, Veritas produces full (bounded suboptimal) solutions that can be used to generate concrete examples. We experimentally show that Veritas outperforms the previous state of the art by (a) generating exact solutions more frequently, (b) producing tighter bounds when (a) is not possible, and (c) offering orders of magnitude speed ups. Subsequently, Veritas enables tackling more and larger real-world verification scenarios.

cs.LG↗

arXiv2020

Using Machine Learning and Alternative Data to Predict Movements in Market Risk

Using machine learning and alternative data for the prediction of financial markets has been a popular topic in recent years. Many financial variables such as stock price, historical volatility and trade volume have already been through extensive investigation. Remarkably, we found no existing research on the prediction of an asset's market implied volatility within this context. This forward-looking measure gauges the sentiment on the future volatility of an asset, and is deemed one of the most important parameters in the world of derivatives. The ability to predict this statistic may therefore provide a competitive edge to practitioners of market making and asset management alike. Consequently, in this paper we investigate Google News statistics and Wikipedia site traffic as alternative data sources to quantitative market data and consider Logistic Regression, Support Vector Machines and AdaBoost as machine learning models. We show that movements in market implied volatility can indeed be predicted through the help of machine learning techniques. Although the employed alternative data appears to not enhance predictive accuracy, we reveal preliminary evidence of non-linear relationships between features obtained from Wikipedia page traffic and movements in market implied volatility.

q-fin.CP↗

arXiv2020

Learning from positive and unlabeled data: a survey

Learning from positive and unlabeled data or PU learning is the setting where a learner only has access to positive examples and unlabeled data. The assumption is that the unlabeled data can contain both positive and negative examples. This setting has attracted increasing interest within the machine learning literature as this type of data naturally arises in applications such as medical diagnosis and knowledge base completion. This article provides a survey of the current state of the art in PU learning. It proposes seven key research questions that commonly arise in this field and provides a broad overview of how the field has tried to address them.

cs.LG↗

arXiv2020

Fast Distance-based Anomaly Detection in Images Using an Inception-like Autoencoder

The goal of anomaly detection is to identify examples that deviate from normal or expected behavior. We tackle this problem for images. We consider a two-phase approach. First, using normal examples, a convolutional autoencoder (CAE) is trained to extract a low-dimensional representation of the images. Here, we propose a novel architectural choice when designing the CAE, an Inception-like CAE. It combines convolutional filters of different kernel sizes and it uses a Global Average Pooling (GAP) operation to extract the representations from the CAE's bottleneck layer. Second, we employ a distanced-based anomaly detector in the low-dimensional space of the learned representation for the images. However, instead of computing the exact distance, we compute an approximate distance using product quantization. This alleviates the high memory and prediction time costs of distance-based anomaly detectors. We compare our proposed approach to a number of baselines and state-of-the-art methods on four image datasets, and we find that our approach resulted in improved predictive performance.

cs.CV↗

arXiv2020

A general anomaly detection framework for fleet-based condition monitoring of machines

Machine failures decrease up-time and can lead to extra repair costs or even to human casualties and environmental pollution. Recent condition monitoring techniques use artificial intelligence in an effort to avoid time-consuming manual analysis and handcrafted feature extraction. Many of these only analyze a single machine and require a large historical data set. In practice, this can be difficult and expensive to collect. However, some industrial condition monitoring applications involve a fleet of similar operating machines. In most of these applications, it is safe to assume healthy conditions for the majority of machines. Deviating machine behavior is then an indicator for a machine fault. This work proposes an unsupervised, generic, anomaly detection framework for fleet-based condition monitoring. It uses generic building blocks and offers three key advantages. First, a historical data set is not required due to online fleet-based comparisons. Second, it allows incorporating domain expertise by user-defined comparison measures. Finally, contrary to most black-box artificial intelligence techniques, easy interpretability allows a domain expert to validate the predictions made by the framework. Two use-cases on an electrical machine fleet demonstrate the applicability of the framework to detect a voltage unbalance by means of electrical and vibration signatures.

cs.LG↗

arXiv2019

LazyBum: Decision tree learning using lazy propositionalization

Propositionalization is the process of summarizing relational data into a tabular (attribute-value) format. The resulting table can next be used by any propositional learner. This approach makes it possible to apply a wide variety of learning methods to relational data. However, the transformation from relational to propositional format is generally not lossless: different relational structures may be mapped onto the same feature vector. At the same time, features may be introduced that are not needed for the learning task at hand. In general, it is hard to define a feature space that contains all and only those features that are needed for the learning task. This paper presents LazyBum, a system that can be considered a lazy version of the recently proposed OneBM method for propositionalization. LazyBum interleaves OneBM's feature construction method with a decision tree learner. This learner both uses and guides the propositionalization process. It indicates when and where to look for new features. This approach is similar to what has elsewhere been called dynamic propositionalization. In an experimental comparison with the original OneBM and with two other recently proposed propositionalization methods (nFOIL and MODL, which respectively perform dynamic and static propositionalization), LazyBum achieves a comparable accuracy with a lower execution time on most of the datasets.

cs.LG↗

arXiv2019

Actions Speak Louder Than Goals: Valuing Player Actions in Soccer

Assessing the impact of the individual actions performed by soccer players during games is a crucial aspect of the player recruitment process. Unfortunately, most traditional metrics fall short in addressing this task as they either focus on rare actions like shots and goals alone or fail to account for the context in which the actions occurred. This paper introduces (1) a new language for describing individual player actions on the pitch and (2) a framework for valuing any type of player action based on its impact on the game outcome while accounting for the context in which the action happened. By aggregating soccer players' action values, their total offensive and defensive contributions to their team can be quantified. We show how our approach considers relevant contextual information that traditional player evaluation metrics ignore and present a number of use cases related to scouting and playing style characterization in the 2016/2017 and 2017/2018 seasons in Europe's top competitions.

stat.AP↗

arXiv2019

Beyond the Selected Completely At Random Assumption for Learning from Positive and Unlabeled Data

Most positive and unlabeled data is subject to selection biases. The labeled examples can, for example, be selected from the positive set because they are easier to obtain or more obviously positive. This paper investigates how learning can be ena BHbled in this setting. We propose and theoretically analyze an empirical-risk-based method for incorporating the labeling mechanism. Additionally, we investigate under which assumptions learning is possible when the labeling mechanism is not fully understood and propose a practical method to enable this. Our empirical analysis supports the theoretical results and shows that taking into account the possibility of a selection bias, even when the labeling mechanism is unknown, improves the trained classifiers.

cs.LG↗

arXiv2018

Learning from Positive and Unlabeled Data under the Selected At Random Assumption

For many interesting tasks, such as medical diagnosis and web page classification, a learner only has access to some positively labeled examples and many unlabeled examples. Learning from this type of data requires making assumptions about the true distribution of the classes and/or the mechanism that was used to select the positive examples to be labeled. The commonly made assumptions, separability of the classes and positive examples being selected completely at random, are very strong. This paper proposes a weaker assumption that assumes the positive examples to be selected at random, conditioned on some of the attributes. To learn under this assumption, an EM method is proposed. Experiments show that our method is not only very capable of learning under this assumption, but it also outperforms the state of the art for learning under the selected completely at random assumption.

cs.LG↗

arXiv2018

PAC-Reasoning in Relational Domains

We consider the problem of predicting plausible missing facts in relational data, given a set of imperfect logical rules. In particular, our aim is to provide bounds on the (expected) number of incorrect inferences that are made in this way. Since for classical inference it is in general impossible to bound this number in a non-trivial way, we consider two inference relations that weaken, but remain close in spirit to classical inference.

cs.AI↗

arXiv2018

Relational Marginal Problems: Theory and Estimation

In the propositional setting, the marginal problem is to find a (maximum-entropy) distribution that has some given marginals. We study this problem in a relational setting and make the following contributions. First, we compare two different notions of relational marginals. Second, we show a duality between the resulting relational marginal problems and the maximum likelihood estimation of the parameters of relational models, which generalizes a well-known duality from the propositional setting. Third, by exploiting the relational marginal formulation, we present a statistically sound method to learn the parameters of relational models that will be applied in settings where the number of constants differs between the training and test data. Furthermore, based on a relational generalization of marginal polytopes, we characterize cases where the standard estimators based on feature's number of true groundings needs to be adjusted and we quantitatively characterize the consequences of these adjustments. Fourth, we prove bounds on expected errors of the estimated parameters, which allows us to lower-bound, among other things, the effective sample size of relational training data.

cs.AI↗