arXiv subjects

Moncef Gabbouj

Publications and source records attributed to Moncef Gabbouj.

At least 163 records · Page 9Linked to original sources

arXiv2019

Deep Adaptive Input Normalization for Time Series Forecasting

Deep Learning (DL) models can be used to tackle time series analysis tasks with great success. However, the performance of DL models can degenerate rapidly if the data are not appropriately normalized. This issue is even more apparent when DL is used for financial time series forecasting tasks, where the non-stationary and multimodal nature of the data pose significant challenges and severely affect the performance of DL models. In this work, a simple, yet effective, neural layer, that is capable of adaptively normalizing the input time series, while taking into account the distribution of the data, is proposed. The proposed layer is trained in an end-to-end fashion using back-propagation and leads to significant performance improvements compared to other evaluated normalization schemes. The proposed method differs from traditional normalization methods since it learns how to perform normalization for a given task instead of using a fixed normalization scheme. At the same time, it can be directly applied to any new time series without requiring re-training. The effectiveness of the proposed method is demonstrated using a large-scale limit order book dataset, as well as a load forecasting dataset.

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arXiv2019

Automated Polysomnography Analysis for Detection of Non-Apneic and Non-Hypopneic Arousals using Feature Engineering and a Bidirectional LSTM Network

Objective: The aim of this study is to develop an automated classification algorithm for polysomnography (PSG) recordings to detect non-apneic and non-hypopneic arousals. Our particular focus is on detecting the respiratory effort-related arousals (RERAs) which are very subtle respiratory events that do not meet the criteria for apnea or hypopnea, and are more challenging to detect. Methods: The proposed algorithm is based on a bidirectional long short-term memory (BiLSTM) classifier and 465 multi-domain features, extracted from multimodal clinical time series. The features consist of a set of physiology-inspired features (n = 75), obtained by multiple steps of feature selection and expert analysis, and a set of physiology-agnostic features (n = 390), derived from scattering transform. Results: The proposed algorithm is validated on the 2018 PhysioNet challenge dataset. The overall performance in terms of the area under the precision-recall curve (AUPRC) is 0.50 on the hidden test dataset. This result is tied for the second-best score during the follow-up and official phases of the 2018 PhysioNet challenge. Conclusions: The results demonstrate that it is possible to automatically detect subtle non-apneic/non-hypopneic arousal events from PSG recordings. Significance: Automatic detection of subtle respiratory events such as RERAs together with other non-apneic/non-hypopneic arousals will allow detailed annotations of large PSG databases. This contributes to a better retrospective analysis of sleep data, which may also improve the quality of treatment.

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arXiv2019

Progressive Operational Perceptron with Memory

Generalized Operational Perceptron (GOP) was proposed to generalize the linear neuron model in the traditional Multilayer Perceptron (MLP) and this model can mimic the synaptic connections of the biological neurons that have nonlinear neurochemical behaviours. Progressive Operational Perceptron (POP) is a multilayer network composing of GOPs which is formed layer-wise progressively. In this work, we propose major modifications that can accelerate as well as augment the progressive learning procedure of POP by incorporating an information-preserving, linear projection path from the input to the output layer at each progressive step. The proposed extensions can be interpreted as a mechanism that provides direct information extracted from the previously learned layers to the network, hence the term "memory". This allows the network to learn deeper architectures with better data representations. An extensive set of experiments show that the proposed modifications can surpass the learning capability of the original POPs and other related algorithms.

cs.NE↗

arXiv2019

Mid-price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators

Stock price prediction is a challenging task, but machine learning methods have recently been used successfully for this purpose. In this paper, we extract over 270 hand-crafted features (factors) inspired by technical and quantitative analysis and tested their validity on short-term mid-price movement prediction. We focus on a wrapper feature selection method using entropy, least-mean squares, and linear discriminant analysis. We also build a new quantitative feature based on adaptive logistic regression for online learning, which is constantly selected first among the majority of the proposed feature selection methods. This study examines the best combination of features using high frequency limit order book data from Nasdaq Nordic. Our results suggest that sorting methods and classifiers can be used in such a way that one can reach the best performance with a combination of only very few advanced hand-crafted features.

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arXiv2019

Reversible Privacy Preservation using Multi-level Encryption and Compressive Sensing

Security monitoring via ubiquitous cameras and their more extended in intelligent buildings stand to gain from advances in signal processing and machine learning. While these innovative and ground-breaking applications can be considered as a boon, at the same time they raise significant privacy concerns. In fact, recent GDPR (General Data Protection Regulation) legislation has highlighted and become an incentive for privacy-preserving solutions. Typical privacy-preserving video monitoring schemes address these concerns by either anonymizing the sensitive data. However, these approaches suffer from some limitations, since they are usually non-reversible, do not provide multiple levels of decryption and computationally costly. In this paper, we provide a novel privacy-preserving method, which is reversible, supports de-identification at multiple privacy levels, and can efficiently perform data acquisition, encryption and data hiding by combining multi-level encryption with compressive sensing. The effectiveness of the proposed approach in protecting the identity of the users has been validated using the goodness of reconstruction quality and strong anonymization of the faces.

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arXiv2019

Bag of Color Features For Color Constancy

In this paper, we propose a novel color constancy approach, called Bag of Color Features (BoCF), building upon Bag-of-Features pooling. The proposed method substantially reduces the number of parameters needed for illumination estimation. At the same time, the proposed method is consistent with the color constancy assumption stating that global spatial information is not relevant for illumination estimation and local information ( edges, etc.) is sufficient. Furthermore, BoCF is consistent with color constancy statistical approaches and can be interpreted as a learning-based generalization of many statistical approaches. To further improve the illumination estimation accuracy, we propose a novel attention mechanism for the BoCF model with two variants based on self-attention. BoCF approach and its variants achieve competitive, compared to the state of the art, results while requiring much fewer parameters on three benchmark datasets: ColorChecker RECommended, INTEL-TUT version 2, and NUS8.

cs.CV↗

arXiv2019

Feature Engineering for Mid-Price Prediction with Deep Learning

Mid-price movement prediction based on limit order book (LOB) data is a challenging task due to the complexity and dynamics of the LOB. So far, there have been very limited attempts for extracting relevant features based on LOB data. In this paper, we address this problem by designing a new set of handcrafted features and performing an extensive experimental evaluation on both liquid and illiquid stocks. More specifically, we implement a new set of econometrical features that capture statistical properties of the underlying securities for the task of mid-price prediction. Moreover, we develop a new experimental protocol for online learning that treats the task as a multi-objective optimization problem and predicts i) the direction of the next price movement and ii) the number of order book events that occur until the change takes place. In order to predict the mid-price movement, the features are fed into nine different deep learning models based on multi-layer perceptrons (MLP), convolutional neural networks (CNN) and long short-term memory (LSTM) neural networks. The performance of the proposed method is then evaluated on liquid and illiquid stocks, which are based on TotalView-ITCH US and Nordic stocks, respectively. For some stocks, results suggest that the correct choice of a feature set and a model can lead to the successful prediction of how long it takes to have a stock price movement.

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arXiv2019

Color Constancy Convolutional Autoencoder

In this paper, we study the importance of pre-training for the generalization capability in the color constancy problem. We propose two novel approaches based on convolutional autoencoders: an unsupervised pre-training algorithm using a fine-tuned encoder and a semi-supervised pre-training algorithm using a novel composite-loss function. This enables us to solve the data scarcity problem and achieve competitive, to the state-of-the-art, results while requiring much fewer parameters on ColorChecker RECommended dataset. We further study the over-fitting phenomenon on the recently introduced version of INTEL-TUT Dataset for Camera Invariant Color Constancy Research, which has both field and non-field scenes acquired by three different camera models.

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arXiv2019

1D Convolutional Neural Networks and Applications: A Survey

During the last decade, Convolutional Neural Networks (CNNs) have become the de facto standard for various Computer Vision and Machine Learning operations. CNNs are feed-forward Artificial Neural Networks (ANNs) with alternating convolutional and subsampling layers. Deep 2D CNNs with many hidden layers and millions of parameters have the ability to learn complex objects and patterns providing that they can be trained on a massive size visual database with ground-truth labels. With a proper training, this unique ability makes them the primary tool for various engineering applications for 2D signals such as images and video frames. Yet, this may not be a viable option in numerous applications over 1D signals especially when the training data is scarce or application-specific. To address this issue, 1D CNNs have recently been proposed and immediately achieved the state-of-the-art performance levels in several applications such as personalized biomedical data classification and early diagnosis, structural health monitoring, anomaly detection and identification in power electronics and motor-fault detection. Another major advantage is that a real-time and low-cost hardware implementation is feasible due to the simple and compact configuration of 1D CNNs that perform only 1D convolutions (scalar multiplications and additions). This paper presents a comprehensive review of the general architecture and principals of 1D CNNs along with their major engineering applications, especially focused on the recent progress in this field. Their state-of-the-art performance is highlighted concluding with their unique properties. The benchmark datasets and the principal 1D CNN software used in those applications are also publically shared in a dedicated website.

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arXiv2019

Heterogeneous Multilayer Generalized Operational Perceptron

The traditional Multilayer Perceptron (MLP) using McCulloch-Pitts neuron model is inherently limited to a set of neuronal activities, i.e., linear weighted sum followed by nonlinear thresholding step. Previously, Generalized Operational Perceptron (GOP) was proposed to extend conventional perceptron model by defining a diverse set of neuronal activities to imitate a generalized model of biological neurons. Together with GOP, Progressive Operational Perceptron (POP) algorithm was proposed to optimize a pre-defined template of multiple homogeneous layers in a layerwise manner. In this paper, we propose an efficient algorithm to learn a compact, fully heterogeneous multilayer network that allows each individual neuron, regardless of the layer, to have distinct characteristics. Based on the complexity of the problem, the proposed algorithm operates in a progressive manner on a neuronal level, searching for a compact topology, not only in terms of depth but also width, i.e., the number of neurons in each layer. The proposed algorithm is shown to outperform other related learning methods in extensive experiments on several classification problems.

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arXiv2019

3D Quantum Cuts for Automatic Segmentation of Porous Media in Tomography Images

Binary segmentation of volumetric images of porous media is a crucial step towards gaining a deeper understanding of the factors governing biogeochemical processes at minute scales. Contemporary work primarily revolves around primitive techniques based on global or local adaptive thresholding that have known common drawbacks in image segmentation. Moreover, absence of a unified benchmark prohibits quantitative evaluation, which further clouds the impact of existing methodologies. In this study, we tackle the issue on both fronts. Firstly, by drawing parallels with natural image segmentation, we propose a novel, and automatic segmentation technique, 3D Quantum Cuts (QCuts-3D) grounded on a state-of-the-art spectral clustering technique. Secondly, we curate and present a publicly available dataset of 68 multiphase volumetric images of porous media with diverse solid geometries, along with voxel-wise ground truth annotations for each constituting phase. We provide comparative evaluations between QCuts-3D and the current state-of-the-art over this dataset across a variety of evaluation metrics. The proposed systematic approach achieves a 26% increase in AUROC while achieving a substantial reduction of the computational complexity of the state-of-the-art competitors. Moreover, statistical analysis reveals that the proposed method exhibits significant robustness against the compositional variations of porous media.

cs.CV↗

arXiv2019

Machine Learning for Forecasting Mid Price Movement using Limit Order Book Data

Forecasting the movements of stock prices is one the most challenging problems in financial markets analysis. In this paper, we use Machine Learning (ML) algorithms for the prediction of future price movements using limit order book data. Two different sets of features are combined and evaluated: handcrafted features based on the raw order book data and features extracted by ML algorithms, resulting in feature vectors with highly variant dimensionalities. Three classifiers are evaluated using combinations of these sets of features on two different evaluation setups and three prediction scenarios. Even though the large scale and high frequency nature of the limit order book poses several challenges, the scope of the conducted experiments and the significance of the experimental results indicate that Machine Learning highly befits this task carving the path towards future research in this field.

cs.CE↗

arXiv2019

Colorectal cancer diagnosis from histology images: A comparative study

Computer-aided diagnosis (CAD) based on histopathological imaging has progressed rapidly in recent years with the rise of machine learning based methodologies. Traditional approaches consist of training a classification model using features extracted from the images, based on textures or morphological properties. Recently, deep-learning based methods have been applied directly to the raw (unprocessed) data. However, their usability is impacted by the paucity of annotated data in the biomedical sector. In order to leverage the learning capabilities of deep Convolutional Neural Nets (CNNs) within the confines of limited labelled data, in this study we shall investigate the transfer learning approaches that aim to apply the knowledge gained from solving a source (e.g., non-medical) problem, to learn better predictive models for the target (e.g., biomedical) task. As an alternative, we shall further propose a new adaptive and compact CNN based architecture that can be trained from scratch even on scarce and low-resolution data. Moreover, we conduct quantitative comparative evaluations among the traditional methods, transfer learning-based methods and the proposed adaptive approach for the particular task of cancer detection and identification from scarce and low-resolution histology images. Over the largest benchmark dataset formed for this purpose, the proposed adaptive approach achieved a higher cancer detection accuracy with a significant gap, whereas the deep CNNs with transfer learning achieved a superior cancer identification.

cs.CV↗

arXiv2019

Data-driven Neural Architecture Learning For Financial Time-series Forecasting

Forecasting based on financial time-series is a challenging task since most real-world data exhibits nonstationary property and nonlinear dependencies. In addition, different data modalities often embed different nonlinear relationships which are difficult to capture by human-designed models. To tackle the supervised learning task in financial time-series prediction, we propose the application of a recently formulated algorithm that adaptively learns a mapping function, realized by a heterogeneous neural architecture composing of Generalized Operational Perceptron, given a set of labeled data. With a modified objective function, the proposed algorithm can accommodate the frequently observed imbalanced data distribution problem. Experiments on a large-scale Limit Order Book dataset demonstrate that the proposed algorithm outperforms related algorithms, including tensor-based methods which have access to a broader set of input information.

cs.LG↗

arXiv2019

1D Convolutional Neural Network Models for Sleep Arousal Detection

Sleep arousals transition the depth of sleep to a more superficial stage. The occurrence of such events is often considered as a protective mechanism to alert the body of harmful stimuli. Thus, accurate sleep arousal detection can lead to an enhanced understanding of the underlying causes and influencing the assessment of sleep quality. Previous studies and guidelines have suggested that sleep arousals are linked mainly to abrupt frequency shifts in EEG signals, but the proposed rules are shown to be insufficient for a comprehensive characterization of arousals. This study investigates the application of five recent convolutional neural networks (CNNs) for sleep arousal detection and performs comparative evaluations to determine the best model for this task. The investigated state-of-the-art CNN models have originally been designed for image or speech processing. A detailed set of evaluations is performed on the benchmark dataset provided by PhysioNet/Computing in Cardiology Challenge 2018, and the results show that the best 1D CNN model has achieved an average of 0.31 and 0.84 for the area under the precision-recall and area under the ROC curves, respectively.

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arXiv2019

Real-time PCG Anomaly Detection by Adaptive 1D Convolutional Neural Networks

The heart sound signals (Phonocardiogram - PCG) enable the earliest monitoring to detect a potential cardiovascular pathology and have recently become a crucial tool as a diagnostic test in outpatient monitoring to assess heart hemodynamic status. The need for an automated and accurate anomaly detection method for PCG has thus become imminent. To determine the state-of-the-art PCG classification algorithm, 48 international teams competed in the PhysioNet (CinC) Challenge at 2016 over the largest benchmark dataset with 3126 records with the classification outputs, normal (N), abnormal (A) and unsure - too noisy (U). In this study, our aim is to push this frontier further; however, we focus deliberately on the anomaly detection problem while assuming a reasonably high Signal-to-Noise Ratio (SNR) on the records. By using 1D Convolutional Neural Networks trained with a novel data purification approach, we aim to achieve the highest detection performance and a real-time processing ability with significantly lower delay and computational complexity. The experimental results over the high-quality subset of the same benchmark dataset shows that the proposed approach achieves both objectives. Furthermore, our findings reveal the fact that further improvements indeed require a personalized (patient-specific) approach to avoid major drawbacks of a global PCG classification approach.

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arXiv2019

Temporal Logistic Neural Bag-of-Features for Financial Time series Forecasting leveraging Limit Order Book Data

Time series forecasting is a crucial component of many important applications, ranging from forecasting the stock markets to energy load prediction. The high-dimensionality, velocity and variety of the data collected in these applications pose significant and unique challenges that must be carefully addressed for each of them. In this work, a novel Temporal Logistic Neural Bag-of-Features approach, that can be used to tackle these challenges, is proposed. The proposed method can be effectively combined with deep neural networks, leading to powerful deep learning models for time series analysis. However, combining existing BoF formulations with deep feature extractors pose significant challenges: the distribution of the input features is not stationary, tuning the hyper-parameters of the model can be especially difficult and the normalizations involved in the BoF model can cause significant instabilities during the training process. The proposed method is capable of overcoming these limitations by a employing a novel adaptive scaling mechanism and replacing the classical Gaussian-based density estimation involved in the regular BoF model with a logistic kernel. The effectiveness of the proposed approach is demonstrated using extensive experiments on a large-scale financial time series dataset that consists of more than 4 million limit orders.

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arXiv2018

Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data

The existing literature provides evidence that limit order book data can be used to predict short-term price movements in stock markets. This paper proposes a new neural network architecture for predicting return jump arrivals in equity markets with high-frequency limit order book data. This new architecture, based on Convolutional Long Short-Term Memory with Attention, is introduced to apply time series representation learning with memory and to focus the prediction attention on the most important features to improve performance. The data set consists of order book data on five liquid U.S. stocks. The use of the attention mechanism makes it possible to analyze the importance of the inclusion limit order book data and other input variables. By using this mechanism, we provide evidence that the use of limit order book data was found to improve the performance of the proposed model in jump prediction, either clearly or marginally, depending on the underlying stock. This suggests that path-dependence in limit order book markets is a stock specific feature. Moreover, we find that the proposed approach with an attention mechanism outperforms the multi-layer perceptron network as well as the convolutional neural network and Long Short-Term memory model.

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