arXiv subjects

Manuela Veloso

Publications and source records attributed to Manuela Veloso.

At least 91 records · Page 5Linked to original sources

arXiv2023

Differentially Private Synthetic Data Using KD-Trees

Creation of a synthetic dataset that faithfully represents the data distribution and simultaneously preserves privacy is a major research challenge. Many space partitioning based approaches have emerged in recent years for answering statistical queries in a differentially private manner. However, for synthetic data generation problem, recent research has been mainly focused on deep generative models. In contrast, we exploit space partitioning techniques together with noise perturbation and thus achieve intuitive and transparent algorithms. We propose both data independent and data dependent algorithms for $ε$-differentially private synthetic data generation whose kernel density resembles that of the real dataset. Additionally, we provide theoretical results on the utility-privacy trade-offs and show how our data dependent approach overcomes the curse of dimensionality and leads to a scalable algorithm. We show empirical utility improvements over the prior work, and discuss performance of our algorithm on a downstream classification task on a real dataset.

cs.CR↗

arXiv2023

Financial Time Series Forecasting using CNN and Transformer

Time series forecasting is important across various domains for decision-making. In particular, financial time series such as stock prices can be hard to predict as it is difficult to model short-term and long-term temporal dependencies between data points. Convolutional Neural Networks (CNN) are good at capturing local patterns for modeling short-term dependencies. However, CNNs cannot learn long-term dependencies due to the limited receptive field. Transformers on the other hand are capable of learning global context and long-term dependencies. In this paper, we propose to harness the power of CNNs and Transformers to model both short-term and long-term dependencies within a time series, and forecast if the price would go up, down or remain the same (flat) in the future. In our experiments, we demonstrated the success of the proposed method in comparison to commonly adopted statistical and deep learning methods on forecasting intraday stock price change of S&P 500 constituents.

cs.LG↗

arXiv2022

Learn to explain yourself, when you can: Equipping Concept Bottleneck Models with the ability to abstain on their concept predictions

The Concept Bottleneck Models (CBMs) of Koh et al. [2020] provide a means to ensure that a neural network based classifier bases its predictions solely on human understandable concepts. The concept labels, or rationales as we refer to them, are learned by the concept labeling component of the CBM. Another component learns to predict the target classification label from these predicted concept labels. Unfortunately, these models are heavily reliant on human provided concept labels for each datapoint. To enable CBMs to behave robustly when these labels are not readily available, we show how to equip them with the ability to abstain from predicting concepts when the concept labeling component is uncertain. In other words, our model learns to provide rationales for its predictions, but only whenever it is sure the rationale is correct.

cs.LG↗

arXiv2022

Fast Learning of Multidimensional Hawkes Processes via Frank-Wolfe

Hawkes processes have recently risen to the forefront of tools when it comes to modeling and generating sequential events data. Multidimensional Hawkes processes model both the self and cross-excitation between different types of events and have been applied successfully in various domain such as finance, epidemiology and personalized recommendations, among others. In this work we present an adaptation of the Frank-Wolfe algorithm for learning multidimensional Hawkes processes. Experimental results show that our approach has better or on par accuracy in terms of parameter estimation than other first order methods, while enjoying a significantly faster runtime.

cs.LG↗

arXiv2022

Towards Robust Representation of Limit Orders Books for Deep Learning Models

The success of deep learning-based limit order book forecasting models is highly dependent on the quality and the robustness of the input data representation. A significant body of the quantitative finance literature focuses on utilising different deep learning architectures without taking into consideration the key assumptions these models make with respect to the input data representation. In this paper, we highlight the issues associated with the commonly-used representations of limit order book data from both a theoretical and practical perspectives. We also show the fragility of the representations under adversarial perturbations and propose two simple modifications to the existing representations that match the theoretical assumptions of deep learning models. Finally, we show experimentally how our proposed representations lead to state-of-the-art performance in both accuracy and robustness utilising very simple neural network architectures.

q-fin.TR↗

arXiv2022

Simulation Intelligence: Towards a New Generation of Scientific Methods

The original "Seven Motifs" set forth a roadmap of essential methods for the field of scientific computing, where a motif is an algorithmic method that captures a pattern of computation and data movement. We present the "Nine Motifs of Simulation Intelligence", a roadmap for the development and integration of the essential algorithms necessary for a merger of scientific computing, scientific simulation, and artificial intelligence. We call this merger simulation intelligence (SI), for short. We argue the motifs of simulation intelligence are interconnected and interdependent, much like the components within the layers of an operating system. Using this metaphor, we explore the nature of each layer of the simulation intelligence operating system stack (SI-stack) and the motifs therein: (1) Multi-physics and multi-scale modeling; (2) Surrogate modeling and emulation; (3) Simulation-based inference; (4) Causal modeling and inference; (5) Agent-based modeling; (6) Probabilistic programming; (7) Differentiable programming; (8) Open-ended optimization; (9) Machine programming. We believe coordinated efforts between motifs offers immense opportunity to accelerate scientific discovery, from solving inverse problems in synthetic biology and climate science, to directing nuclear energy experiments and predicting emergent behavior in socioeconomic settings. We elaborate on each layer of the SI-stack, detailing the state-of-art methods, presenting examples to highlight challenges and opportunities, and advocating for specific ways to advance the motifs and the synergies from their combinations. Advancing and integrating these technologies can enable a robust and efficient hypothesis-simulation-analysis type of scientific method, which we introduce with several use-cases for human-machine teaming and automated science.

cs.AI↗

arXiv2022

Towards learning to explain with concept bottleneck models: mitigating information leakage

Concept bottleneck models perform classification by first predicting which of a list of human provided concepts are true about a datapoint. Then a downstream model uses these predicted concept labels to predict the target label. The predicted concepts act as a rationale for the target prediction. Model trust issues emerge in this paradigm when soft concept labels are used: it has previously been observed that extra information about the data distribution leaks into the concept predictions. In this work we show how Monte-Carlo Dropout can be used to attain soft concept predictions that do not contain leaked information.

cs.LG↗

arXiv2022

ASPiRe:Adaptive Skill Priors for Reinforcement Learning

We introduce ASPiRe (Adaptive Skill Prior for RL), a new approach that leverages prior experience to accelerate reinforcement learning. Unlike existing methods that learn a single skill prior from a large and diverse dataset, our framework learns a library of different distinction skill priors (i.e., behavior priors) from a collection of specialized datasets, and learns how to combine them to solve a new task. This formulation allows the algorithm to acquire a set of specialized skill priors that are more reusable for downstream tasks; however, it also brings up additional challenges of how to effectively combine these unstructured sets of skill priors to form a new prior for new tasks. Specifically, it requires the agent not only to identify which skill prior(s) to use but also how to combine them (either sequentially or concurrently) to form a new prior. To achieve this goal, ASPiRe includes Adaptive Weight Module (AWM) that learns to infer an adaptive weight assignment between different skill priors and uses them to guide policy learning for downstream tasks via weighted Kullback-Leibler divergences. Our experiments demonstrate that ASPiRe can significantly accelerate the learning of new downstream tasks in the presence of multiple priors and show improvement on competitive baselines.

cs.LG↗

arXiv2022

Online Learning for Mixture of Multivariate Hawkes Processes

Online learning of Hawkes processes has received increasing attention in the last couple of years especially for modeling a network of actors. However, these works typically either model the rich interaction between the events or the latent cluster of the actors or the network structure between the actors. We propose to model the latent structure of the network of actors as well as their rich interaction across events for real-world settings of medical and financial applications. Experimental results on both synthetic and real-world data showcase the efficacy of our approach.

stat.ML↗

arXiv2022

Differentially Private Learning of Hawkes Processes

Hawkes processes have recently gained increasing attention from the machine learning community for their versatility in modeling event sequence data. While they have a rich history going back decades, some of their properties, such as sample complexity for learning the parameters and releasing differentially private versions, are yet to be thoroughly analyzed. In this work, we study standard Hawkes processes with background intensity $μ$ and excitation function $αe^{-βt}$. We provide both non-private and differentially private estimators of $μ$ and $α$, and obtain sample complexity results in both settings to quantify the cost of privacy. Our analysis exploits the strong mixing property of Hawkes processes and classical central limit theorem results for weakly dependent random variables. We validate our theoretical findings on both synthetic and real datasets.

stat.ML↗

arXiv2022

Synthetic Document Generator for Annotation-free Layout Recognition

Analyzing the layout of a document to identify headers, sections, tables, figures etc. is critical to understanding its content. Deep learning based approaches for detecting the layout structure of document images have been promising. However, these methods require a large number of annotated examples during training, which are both expensive and time consuming to obtain. We describe here a synthetic document generator that automatically produces realistic documents with labels for spatial positions, extents and categories of the layout elements. The proposed generative process treats every physical component of a document as a random variable and models their intrinsic dependencies using a Bayesian Network graph. Our hierarchical formulation using stochastic templates allow parameter sharing between documents for retaining broad themes and yet the distributional characteristics produces visually unique samples, thereby capturing complex and diverse layouts. We empirically illustrate that a deep layout detection model trained purely on the synthetic documents can match the performance of a model that uses real documents.

cs.CV↗

arXiv2022

Structure and Semantics Preserving Document Representations

Retrieving relevant documents from a corpus is typically based on the semantic similarity between the document content and query text. The inclusion of structural relationship between documents can benefit the retrieval mechanism by addressing semantic gaps. However, incorporating these relationships requires tractable mechanisms that balance structure with semantics and take advantage of the prevalent pre-train/fine-tune paradigm. We propose here a holistic approach to learning document representations by integrating intra-document content with inter-document relations. Our deep metric learning solution analyzes the complex neighborhood structure in the relationship network to efficiently sample similar/dissimilar document pairs and defines a novel quintuplet loss function that simultaneously encourages document pairs that are semantically relevant to be closer and structurally unrelated to be far apart in the representation space. Furthermore, the separation margins between the documents are varied flexibly to encode the heterogeneity in relationship strengths. The model is fully fine-tunable and natively supports query projection during inference. We demonstrate that it outperforms competing methods on multiple datasets for document retrieval tasks.

cs.IR↗

arXiv2022

A Survey of Explainable Reinforcement Learning

Explainable reinforcement learning (XRL) is an emerging subfield of explainable machine learning that has attracted considerable attention in recent years. The goal of XRL is to elucidate the decision-making process of learning agents in sequential decision-making settings. In this survey, we propose a novel taxonomy for organizing the XRL literature that prioritizes the RL setting. We overview techniques according to this taxonomy. We point out gaps in the literature, which we use to motivate and outline a roadmap for future work.

cs.LG↗

arXiv2021

Visual Time Series Forecasting: An Image-driven Approach

Time series forecasting is essential for agents to make decisions. Traditional approaches rely on statistical methods to forecast given past numeric values. In practice, end-users often rely on visualizations such as charts and plots to reason about their forecasts. Inspired by practitioners, we re-imagine the topic by creating a novel framework to produce visual forecasts, similar to the way humans intuitively do. In this work, we leverage advances in deep learning to extend the field of time series forecasting to a visual setting. We capture input data as an image and train a model to produce the subsequent image. This approach results in predicting distributions as opposed to pointwise values. We examine various synthetic and real datasets with diverse degrees of complexity. Our experiments show that visual forecasting is effective for cyclic data but somewhat less for irregular data such as stock price. Importantly, when using image-based evaluation metrics, we find the proposed visual forecasting method to outperform various numerical baselines, including ARIMA and a numerical variation of our method. We demonstrate the benefits of incorporating vision-based approaches in forecasting tasks -- both for the quality of the forecasts produced, as well as the metrics that can be used to evaluate them.

cs.CV↗

arXiv2021

Visual Time Series Forecasting: An Image-driven Approach

In this work, we address time-series forecasting as a computer vision task. We capture input data as an image and train a model to produce the subsequent image. This approach results in predicting distributions as opposed to pointwise values. To assess the robustness and quality of our approach, we examine various datasets and multiple evaluation metrics. Our experiments show that our forecasting tool is effective for cyclic data but somewhat less for irregular data such as stock prices. Importantly, when using image-based evaluation metrics, we find our method to outperform various baselines, including ARIMA, and a numerical variation of our deep learning approach.

cs.CV↗

arXiv2021

Deep Video Prediction for Time Series Forecasting

Time series forecasting is essential for decision making in many domains. In this work, we address the challenge of predicting prices evolution among multiple potentially interacting financial assets. A solution to this problem has obvious importance for governments, banks, and investors. Statistical methods such as Auto Regressive Integrated Moving Average (ARIMA) are widely applied to these problems. In this paper, we propose to approach economic time series forecasting of multiple financial assets in a novel way via video prediction. Given past prices of multiple potentially interacting financial assets, we aim to predict the prices evolution in the future. Instead of treating the snapshot of prices at each time point as a vector, we spatially layout these prices in 2D as an image, such that we can harness the power of CNNs in learning a latent representation for these financial assets. Thus, the history of these prices becomes a sequence of images, and our goal becomes predicting future images. We build on a state-of-the-art video prediction method for forecasting future images. Our experiments involve the prediction task of the price evolution of nine financial assets traded in U.S. stock markets. The proposed method outperforms baselines including ARIMA, Prophet, and variations of the proposed method, demonstrating the benefits of harnessing the power of CNNs in the problem of economic time series forecasting.

cs.CV↗

arXiv2021

Tradeoffs in Streaming Binary Classification under Limited Inspection Resources

Institutions are increasingly relying on machine learning models to identify and alert on abnormal events, such as fraud, cyber attacks and system failures. These alerts often need to be manually investigated by specialists. Given the operational cost of manual inspections, the suspicious events are selected by alerting systems with carefully designed thresholds. In this paper, we consider an imbalanced binary classification problem, where events arrive sequentially and only a limited number of suspicious events can be inspected. We model the event arrivals as a non-homogeneous Poisson process, and compare various suspicious event selection methods including those based on static and adaptive thresholds. For each method, we analytically characterize the tradeoff between the minority-class detection rate and the inspection capacity as a function of the data class imbalance and the classifier confidence score densities. We implement the selection methods on a real public fraud detection dataset and compare the empirical results with analytical bounds. Finally, we investigate how class imbalance and the choice of classifier impact the tradeoff.

cs.LG↗

arXiv2021

Learning to Classify and Imitate Trading Agents in Continuous Double Auction Markets

Continuous double auctions such as the limit order book employed by exchanges are widely used in practice to match buyers and sellers of a variety of financial instruments. In this work, we develop an agent-based model for trading in a limit order book and show (1) how opponent modelling techniques can be applied to classify trading agent archetypes and (2) how behavioural cloning can be used to imitate these agents in a simulated setting. We experimentally compare a number of techniques for both tasks and evaluate their applicability and use in real-world scenarios.

q-fin.CP↗