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Nicola Picchiotti

Publications and source records attributed to Nicola Picchiotti.

4 recordsLinked to original sources

Clustering-Based Interpretation of Deep ReLU Network

Amongst others, the adoption of Rectified Linear Units (ReLUs) is regarded as one of the ingredients of the success of deep learning. ReLU activation has been shown to mitigate the vanishing gradient issue, to encourage sparsity in the learned parameters, and to allow for efficient backpropagation. In this paper, we recognize that the non-linear behavior of the ReLU function gives rise to a natural clustering when the pattern of active neurons is considered. This observation helps to deepen the learning mechanism of the network; in fact, we demonstrate that, within each cluster, the network can be fully represented as an affine map. The consequence is that we are able to recover an explanation, in the form of feature importance, for the predictions done by the network to the instances belonging to the cluster. Therefore, the methodology we propose is able to increase the level of interpretability of a fully connected feedforward ReLU neural network, downstream from the fitting phase of the model, without altering the structure of the network. A simulation study and the empirical application to the Titanic dataset, show the capability of the method to bridge the gap between the algorithm optimization and the human understandability of the black box deep ReLU networks.

stat.ML

Logic Constraints to Feature Importances

In recent years, Artificial Intelligence (AI) algorithms have been proven to outperform traditional statistical methods in terms of predictivity, especially when a large amount of data was available. Nevertheless, the "black box" nature of AI models is often a limit for a reliable application in high-stakes fields like diagnostic techniques, autonomous guide, etc. Recent works have shown that an adequate level of interpretability could enforce the more general concept of model trustworthiness. The basic idea of this paper is to exploit the human prior knowledge of the features' importance for a specific task, in order to coherently aid the phase of the model's fitting. This sort of "weighted" AI is obtained by extending the empirical loss with a regularization term encouraging the importance of the features to follow predetermined constraints. This procedure relies on local methods for the feature importance computation, e.g. LRP, LIME, etc. that are the link between the model weights to be optimized and the user-defined constraints on feature importance. In the fairness area, promising experimental results have been obtained for the Adult dataset. Many other possible applications of this model agnostic theoretical framework are described.

stat.ML

COVID-19 pandemic: a mobility-dependent SEIR model with undetected cases in Italy, Europe and US

OBJECTIVES: to describe the first wave of the COVID-19 pandemic with a focus on undetected cases and to evaluate different post-lockdown scenarios. DESIGN: the study introduces a SEIR compartmental model, taking into account the region-specific fraction of undetected cases, the effects of mobility restrictions, and the personal protective measures adopted, such as wearing a mask and washing hands frequently. SETTING AND PARTICIPANTS: the model is experimentally validated with data of all the Italian regions, some European countries, and the US. MAIN OUTCOME MEASURES: the accuracy of the model results is measured through the mean absolute percentage error (MAPE) and Lewis criteria; fitting parameters are in good agreement with previous literature. RESULTS: the epidemic curves for different countries and the amount of undetected and asymptomatic cases are estimated, which are likely to represent the main source of infections in the near future. The model is applied to the Hubei case study, which is the first place to relax mobility restrictions. Results show different possible scenarios. Mobility and the adoption of personal protective measures greatly influence the dynamics of the infection, determining either a huge and rapid secondary epidemic peak or a more delayed and manageable one. CONCLUSIONS: mathematical models can provide useful insights for healthcare decision makers to determine the best strategy in case of future outbreaks.

q-bio.PE

Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling

This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance from the total process quadratic variation is confirmed by both simulated and empirical tests. For practical purposes, we introduce an iterative algorithm to estimate the time-varying volatility and the occurred jumps of log-return time series. Such estimates enable the definition of a new market risk model for the Value at Risk forecasting. We show empirically that this procedure outperforms the standard historical simulation method applying standard back-testing approach.

q-fin.RM