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Manuela Veloso

Publications and source records attributed to Manuela Veloso.

At least 109 records · Page 6Linked to original sources
arXiv2021

Parameterized Explanations for Investor / Company Matching

Matching companies and investors is usually considered a highly specialized decision making process. Building an AI agent that can automate such recommendation process can significantly help reduce costs, and eliminate human biases and errors. However, limited sample size of financial data-sets and the need for not only good recommendations, but also explaining why a particular recommendation is being made, makes this a challenging problem. In this work we propose a representation learning based recommendation engine that works extremely well with small datasets and demonstrate how it can be coupled with a parameterized explanation generation engine to build an explainable recommendation system for investor-company matching. We compare the performance of our system with human generated recommendations and demonstrate the ability of our algorithm to perform extremely well on this task. We also highlight how explainability helps with real-life adoption of our system.

cs.IR↗
arXiv2021

ABIDES-Gym: Gym Environments for Multi-Agent Discrete Event Simulation and Application to Financial Markets

Model-free Reinforcement Learning (RL) requires the ability to sample trajectories by taking actions in the original problem environment or a simulated version of it. Breakthroughs in the field of RL have been largely facilitated by the development of dedicated open source simulators with easy to use frameworks such as OpenAI Gym and its Atari environments. In this paper we propose to use the OpenAI Gym framework on discrete event time based Discrete Event Multi-Agent Simulation (DEMAS). We introduce a general technique to wrap a DEMAS simulator into the Gym framework. We expose the technique in detail and implement it using the simulator ABIDES as a base. We apply this work by specifically using the markets extension of ABIDES, ABIDES-Markets, and develop two benchmark financial markets OpenAI Gym environments for training daily investor and execution agents. As a result, these two environments describe classic financial problems with a complex interactive market behavior response to the experimental agent's action.

cs.MA↗
arXiv2021

How Robust are Limit Order Book Representations under Data Perturbation?

The success of machine learning models in the financial domain is highly reliant on the quality of the data representation. In this paper, we focus on the representation of limit order book data and discuss the opportunities and challenges for learning representations of such data. We also experimentally analyse the issues associated with existing representations and present a guideline for future research in this area.

q-fin.TR↗
arXiv2021

Waiting Tables as a Robot Planning Problem

We present how we formalize the waiting tables task in a restaurant as a robot planning problem. This formalization was used to test our recently developed algorithms that allow for optimal planning for achieving multiple independent tasks that are partially observable and evolve over time [1], [2].

cs.RO↗
arXiv2021

Advising Agent for Service-Providing Live-Chat Operators

Call centers, in which human operators attend clients using textual chat, are very common in modern e-commerce. Training enough skilled operators who are able to provide good service is a challenge. We suggest an algorithm and a method to train and implement an assisting agent that provides on-line advice to operators while they attend clients. The agent is domain-independent and can be introduced to new domains without major efforts in design, training and organizing structured knowledge of the professional discipline. We demonstrate the applicability of the system in an experiment that realizes its full life-cycle on a specific domain and analyze its capabilities.

cs.CL↗
arXiv2021

Iterative Bounding MDPs: Learning Interpretable Policies via Non-Interpretable Methods

Current work in explainable reinforcement learning generally produces policies in the form of a decision tree over the state space. Such policies can be used for formal safety verification, agent behavior prediction, and manual inspection of important features. However, existing approaches fit a decision tree after training or use a custom learning procedure which is not compatible with new learning techniques, such as those which use neural networks. To address this limitation, we propose a novel Markov Decision Process (MDP) type for learning decision tree policies: Iterative Bounding MDPs (IBMDPs). An IBMDP is constructed around a base MDP so each IBMDP policy is guaranteed to correspond to a decision tree policy for the base MDP when using a method-agnostic masking procedure. Because of this decision tree equivalence, any function approximator can be used during training, including a neural network, while yielding a decision tree policy for the base MDP. We present the required masking procedure as well as a modified value update step which allows IBMDPs to be solved using existing algorithms. We apply this procedure to produce IBMDP variants of recent reinforcement learning methods. We empirically show the benefits of our approach by solving IBMDPs to produce decision tree policies for the base MDPs.

cs.LG↗
arXiv2021

DocuBot : Generating financial reports using natural language interactions

The financial services industry perpetually processes an overwhelming amount of complex data. Digital reports are often created based on tedious manual analysis as well as visualization of the underlying trends and characteristics of data. Often, the accruing costs of human computation errors in creating these reports are very high. We present DocuBot, a novel AI-powered virtual assistant for creating and modifying content in digital documents by modeling natural language interactions as "skills" and using them to transform underlying data. DocuBot has the ability to agglomerate saved skills for reuse, enabling humans to automatically generate recurrent reports. DocuBot also has the capability to continuously learn domain-specific and user-specific vocabulary by interacting with the user. We present evidence that DocuBot adds value to the financial industry and demonstrate its impact with experiments involving real and simulated users tasked with creating PowerPoint presentations.

cs.CL↗
arXiv2021

The MineRL 2019 Competition on Sample Efficient Reinforcement Learning using Human Priors

Though deep reinforcement learning has led to breakthroughs in many difficult domains, these successes have required an ever-increasing number of samples. As state-of-the-art reinforcement learning (RL) systems require an exponentially increasing number of samples, their development is restricted to a continually shrinking segment of the AI community. Likewise, many of these systems cannot be applied to real-world problems, where environment samples are expensive. Resolution of these limitations requires new, sample-efficient methods. To facilitate research in this direction, we introduce the MineRL Competition on Sample Efficient Reinforcement Learning using Human Priors. The primary goal of the competition is to foster the development of algorithms which can efficiently leverage human demonstrations to drastically reduce the number of samples needed to solve complex, hierarchical, and sparse environments. To that end, we introduce: (1) the Minecraft ObtainDiamond task, a sequential decision making environment requiring long-term planning, hierarchical control, and efficient exploration methods; and (2) the MineRL-v0 dataset, a large-scale collection of over 60 million state-action pairs of human demonstrations that can be resimulated into embodied trajectories with arbitrary modifications to game state and visuals. Participants will compete to develop systems which solve the ObtainDiamond task with a limited number of samples from the environment simulator, Malmo. The competition is structured into two rounds in which competitors are provided several paired versions of the dataset and environment with different game textures. At the end of each round, competitors will submit containerized versions of their learning algorithms and they will then be trained/evaluated from scratch on a hold-out dataset-environment pair for a total of 4-days on a prespecified hardware platform.

cs.LG↗
arXiv2021

Bayesian Consensus: Consensus Estimates from Miscalibrated Instruments under Heteroscedastic Noise

We consider the problem of aggregating predictions or measurements from a set of human forecasters, models, sensors or other instruments which may be subject to bias or miscalibration and random heteroscedastic noise. We propose a Bayesian consensus estimator that adjusts for miscalibration and noise and show that this estimator is unbiased and asymptotically more efficient than naive alternatives. We further propose a Hierarchical Bayesian Model that leverages our proposed estimator and apply it to two real world forecasting challenges that require consensus estimates from error prone individual estimates: forecasting influenza like illness (ILI) weekly percentages and forecasting annual earnings of public companies. We demonstrate that our approach is effective at mitigating bias and error and results in more accurate forecasts than existing consensus models.

q-fin.ST↗
arXiv2021

Playing with Food: Learning Food Item Representations through Interactive Exploration

A key challenge in robotic food manipulation is modeling the material properties of diverse and deformable food items. We propose using a multimodal sensory approach to interact and play with food that facilitates the ability to distinguish these properties across food items. First, we use a robotic arm and an array of sensors, which are synchronized using ROS, to collect a diverse dataset consisting of 21 unique food items with varying slices and properties. Afterwards, we learn visual embedding networks that utilize a combination of proprioceptive, audio, and visual data to encode similarities among food items using a triplet loss formulation. Our evaluations show that embeddings learned through interactions can successfully increase performance in a wide range of material and shape classification tasks. We envision that these learned embeddings can be utilized as a basis for planning and selecting optimal parameters for more material-aware robotic food manipulation skills. Furthermore, we hope to stimulate further innovations in the field of food robotics by sharing this food playing dataset with the research community.

cs.RO↗
arXiv2020

Simulating and classifying behavior in adversarial environments based on action-state traces: an application to money laundering

Many business applications involve adversarial relationships in which both sides adapt their strategies to optimize their opposing benefits. One of the key characteristics of these applications is the wide range of strategies that an adversary may choose as they adapt their strategy dynamically to sustain benefits and evade authorities. In this paper, we present a novel way of approaching these types of applications, in particular in the context of Anti-Money Laundering. We provide a mechanism through which diverse, realistic and new unobserved behavior may be generated to discover potential unobserved adversarial actions to enable organizations to preemptively mitigate these risks. In this regard, we make three main contributions. (a) Propose a novel behavior-based model as opposed to individual transactions-based models currently used by financial institutions. We introduce behavior traces as enriched relational representation to represent observed human behavior. (b) A modelling approach that observes these traces and is able to accurately infer the goals of actors by classifying the behavior into money laundering or standard behavior despite significant unobserved activity. And (c) a synthetic behavior simulator that can generate new previously unseen traces. The simulator incorporates a high level of flexibility in the behavioral parameters so that we can challenge the detection algorithm. Finally, we provide experimental results that show that the learning module (automated investigator) that has only partial observability can still successfully infer the type of behavior, and thus the simulated goals, followed by customers based on traces - a key aspiration for many applications today.

cs.AI↗
arXiv2020

Domain-independent generation and classification of behavior traces

Financial institutions mostly deal with people. Therefore, characterizing different kinds of human behavior can greatly help institutions for improving their relation with customers and with regulatory offices. In many of such interactions, humans have some internal goals, and execute some actions within the financial system that lead them to achieve their goals. In this paper, we tackle these tasks as a behavior-traces classification task. An observer agent tries to learn characterizing other agents by observing their behavior when taking actions in a given environment. The other agents can be of several types and the goal of the observer is to identify the type of the other agent given a trace of observations. We present CABBOT, a learning technique that allows the agent to perform on-line classification of the type of planning agent whose behavior is observing. In this work, the observer agent has partial and noisy observability of the environment (state and actions of the other agents). In order to evaluate the performance of the learning technique, we have generated a domain-independent goal-based simulator of agents. We present experiments in several (both financial and non-financial) domains with promising results.

cs.AI↗
arXiv2020

Trading via Image Classification

The art of systematic financial trading evolved with an array of approaches, ranging from simple strategies to complex algorithms all relying, primary, on aspects of time-series analysis. Recently, after visiting the trading floor of a leading financial institution, we noticed that traders always execute their trade orders while observing images of financial time-series on their screens. In this work, we built upon the success in image recognition and examine the value in transforming the traditional time-series analysis to that of image classification. We create a large sample of financial time-series images encoded as candlestick (Box and Whisker) charts and label the samples following three algebraically-defined binary trade strategies. Using the images, we train over a dozen machine-learning classification models and find that the algorithms are very efficient in recovering the complicated, multiscale label-generating rules when the data is represented visually. We suggest that the transformation of continuous numeric time-series classification problem to a vision problem is useful for recovering signals typical of technical analysis.

cs.CV↗
arXiv2020

Calibration of Shared Equilibria in General Sum Partially Observable Markov Games

Training multi-agent systems (MAS) to achieve realistic equilibria gives us a useful tool to understand and model real-world systems. We consider a general sum partially observable Markov game where agents of different types share a single policy network, conditioned on agent-specific information. This paper aims at i) formally understanding equilibria reached by such agents, and ii) matching emergent phenomena of such equilibria to real-world targets. Parameter sharing with decentralized execution has been introduced as an efficient way to train multiple agents using a single policy network. However, the nature of resulting equilibria reached by such agents has not been yet studied: we introduce the novel concept of Shared equilibrium as a symmetric pure Nash equilibrium of a certain Functional Form Game (FFG) and prove convergence to the latter for a certain class of games using self-play. In addition, it is important that such equilibria satisfy certain constraints so that MAS are calibrated to real world data for practical use: we solve this problem by introducing a novel dual-Reinforcement Learning based approach that fits emergent behaviors of agents in a Shared equilibrium to externally-specified targets, and apply our methods to a n-player market example. We do so by calibrating parameters governing distributions of agent types rather than individual agents, which allows both behavior differentiation among agents and coherent scaling of the shared policy network to multiple agents.

cs.MA↗
arXiv2020

Robust Document Representations using Latent Topics and Metadata

Task specific fine-tuning of a pre-trained neural language model using a custom softmax output layer is the de facto approach of late when dealing with document classification problems. This technique is not adequate when labeled examples are not available at training time and when the metadata artifacts in a document must be exploited. We address these challenges by generating document representations that capture both text and metadata artifacts in a task agnostic manner. Instead of traditional auto-regressive or auto-encoding based training, our novel self-supervised approach learns a soft-partition of the input space when generating text embeddings. Specifically, we employ a pre-learned topic model distribution as surrogate labels and construct a loss function based on KL divergence. Our solution also incorporates metadata explicitly rather than just augmenting them with text. The generated document embeddings exhibit compositional characteristics and are directly used by downstream classification tasks to create decision boundaries from a small number of labeled examples, thereby eschewing complicated recognition methods. We demonstrate through extensive evaluation that our proposed cross-model fusion solution outperforms several competitive baselines on multiple datasets.

cs.CL↗
arXiv2020

SURF: Improving classifiers in production by learning from busy and noisy end users

Supervised learning classifiers inevitably make mistakes in production, perhaps mis-labeling an email, or flagging an otherwise routine transaction as fraudulent. It is vital that the end users of such a system are provided with a means of relabeling data points that they deem to have been mislabeled. The classifier can then be retrained on the relabeled data points in the hope of performance improvement. To reduce noise in this feedback data, well known algorithms from the crowdsourcing literature can be employed. However, the feedback setting provides a new challenge: how do we know what to do in the case of user non-response? If a user provides us with no feedback on a label then it can be dangerous to assume they implicitly agree: a user can be busy, lazy, or no longer a user of the system! We show that conventional crowdsourcing algorithms struggle in this user feedback setting, and present a new algorithm, SURF, that can cope with this non-response ambiguity.

cs.LG↗
arXiv2020

Paying down metadata debt: learning the representation of concepts using topic models

We introduce a data management problem called metadata debt, to identify the mapping between data concepts and their logical representations. We describe how this mapping can be learned using semisupervised topic models based on low-rank matrix factorizations that account for missing and noisy labels, coupled with sparsity penalties to improve localization and interpretability. We introduce a gauge transformation approach that allows us to construct explicit associations between topics and concept labels, and thus assign meaning to topics. We also show how to use this topic model for semisupervised learning tasks like extrapolating from known labels, evaluating possible errors in existing labels, and predicting missing features. We show results from this topic model in predicting subject tags on over 25,000 datasets from Kaggle.com, demonstrating the ability to learn semantically meaningful features.

cs.LG↗