arXiv subjects

Tie-Yan Liu

Publications and source records attributed to Tie-Yan Liu.

At least 145 records · Page 8Linked to original sources

arXiv2021

REST: Relational Event-driven Stock Trend Forecasting

Stock trend forecasting, aiming at predicting the stock future trends, is crucial for investors to seek maximized profits from the stock market. Many event-driven methods utilized the events extracted from news, social media, and discussion board to forecast the stock trend in recent years. However, existing event-driven methods have two main shortcomings: 1) overlooking the influence of event information differentiated by the stock-dependent properties; 2) neglecting the effect of event information from other related stocks. In this paper, we propose a relational event-driven stock trend forecasting (REST) framework, which can address the shortcoming of existing methods. To remedy the first shortcoming, we propose to model the stock context and learn the effect of event information on the stocks under different contexts. To address the second shortcoming, we construct a stock graph and design a new propagation layer to propagate the effect of event information from related stocks. The experimental studies on the real-world data demonstrate the efficiency of our REST framework. The results of investment simulation show that our framework can achieve a higher return of investment than baselines.

q-fin.ST↗

arXiv2021

Revisiting Language Encoding in Learning Multilingual Representations

Transformer has demonstrated its great power to learn contextual word representations for multiple languages in a single model. To process multilingual sentences in the model, a learnable vector is usually assigned to each language, which is called "language embedding". The language embedding can be either added to the word embedding or attached at the beginning of the sentence. It serves as a language-specific signal for the Transformer to capture contextual representations across languages. In this paper, we revisit the use of language embedding and identify several problems in the existing formulations. By investigating the interaction between language embedding and word embedding in the self-attention module, we find that the current methods cannot reflect the language-specific word correlation well. Given these findings, we propose a new approach called Cross-lingual Language Projection (XLP) to replace language embedding. For a sentence, XLP projects the word embeddings into language-specific semantic space, and then the projected embeddings will be fed into the Transformer model to process with their language-specific meanings. In such a way, XLP achieves the purpose of appropriately encoding "language" in a multilingual Transformer model. Experimental results show that XLP can freely and significantly boost the model performance on extensive multilingual benchmark datasets. Codes and models will be released at https://github.com/lsj2408/XLP.

cs.CL↗

arXiv2021

LightSpeech: Lightweight and Fast Text to Speech with Neural Architecture Search

Text to speech (TTS) has been broadly used to synthesize natural and intelligible speech in different scenarios. Deploying TTS in various end devices such as mobile phones or embedded devices requires extremely small memory usage and inference latency. While non-autoregressive TTS models such as FastSpeech have achieved significantly faster inference speed than autoregressive models, their model size and inference latency are still large for the deployment in resource constrained devices. In this paper, we propose LightSpeech, which leverages neural architecture search~(NAS) to automatically design more lightweight and efficient models based on FastSpeech. We first profile the components of current FastSpeech model and carefully design a novel search space containing various lightweight and potentially effective architectures. Then NAS is utilized to automatically discover well performing architectures within the search space. Experiments show that the model discovered by our method achieves 15x model compression ratio and 6.5x inference speedup on CPU with on par voice quality. Audio demos are provided at https://speechresearch.github.io/lightspeech.

cs.SD↗

arXiv2021

Universal Trading for Order Execution with Oracle Policy Distillation

As a fundamental problem in algorithmic trading, order execution aims at fulfilling a specific trading order, either liquidation or acquirement, for a given instrument. Towards effective execution strategy, recent years have witnessed the shift from the analytical view with model-based market assumptions to model-free perspective, i.e., reinforcement learning, due to its nature of sequential decision optimization. However, the noisy and yet imperfect market information that can be leveraged by the policy has made it quite challenging to build up sample efficient reinforcement learning methods to achieve effective order execution. In this paper, we propose a novel universal trading policy optimization framework to bridge the gap between the noisy yet imperfect market states and the optimal action sequences for order execution. Particularly, this framework leverages a policy distillation method that can better guide the learning of the common policy towards practically optimal execution by an oracle teacher with perfect information to approximate the optimal trading strategy. The extensive experiments have shown significant improvements of our method over various strong baselines, with reasonable trading actions.

q-fin.TR↗

arXiv2021

BN-invariant sharpness regularizes the training model to better generalization

It is arguably believed that flatter minima can generalize better. However, it has been pointed out that the usual definitions of sharpness, which consider either the maxima or the integral of loss over a $δ$ ball of parameters around minima, cannot give consistent measurement for scale invariant neural networks, e.g., networks with batch normalization layer. In this paper, we first propose a measure of sharpness, BN-Sharpness, which gives consistent value for equivalent networks under BN. It achieves the property of scale invariance by connecting the integral diameter with the scale of parameter. Then we present a computation-efficient way to calculate the BN-sharpness approximately i.e., one dimensional integral along the "sharpest" direction. Furthermore, we use the BN-sharpness to regularize the training and design an algorithm to minimize the new regularized objective. Our algorithm achieves considerably better performance than vanilla SGD over various experiment settings.

cs.LG↗

arXiv2021

Exploring the Regulatory Function of the N-terminal Domain of SARS-CoV-2 Spike Protein Through Molecular Dynamics Simulation

SARS-CoV-2 is what has caused the COVID-19 pandemic. Early viral infection is mediated by the SARS-CoV-2 homo-trimeric Spike (S) protein with its receptor binding domains (RBDs) in the receptor-accessible state. We performed molecular dynamics simulation on the S protein with a focus on the function of its N-terminal domains (NTDs). Our study reveals that the NTD acts as a "wedge" and plays a crucial regulatory role in the conformational changes of the S protein. The complete RBD structural transition is allowed only when the neighboring NTD that typically prohibits the RBD's movements as a wedge detaches and swings away. Based on this NTD "wedge" model, we propose that the NTD-RBD interface should be a potential drug target.

q-bio.BM↗

arXiv2020

Cooperative Policy Learning with Pre-trained Heterogeneous Observation Representations

Multi-agent reinforcement learning (MARL) has been increasingly explored to learn the cooperative policy towards maximizing a certain global reward. Many existing studies take advantage of graph neural networks (GNN) in MARL to propagate critical collaborative information over the interaction graph, built upon inter-connected agents. Nevertheless, the vanilla GNN approach yields substantial defects in dealing with complex real-world scenarios since the generic message passing mechanism is ineffective between heterogeneous vertices and, moreover, simple message aggregation functions are incapable of accurately modeling the combinational interactions from multiple neighbors. While adopting complex GNN models with more informative message passing and aggregation mechanisms can obviously benefit heterogeneous vertex representations and cooperative policy learning, it could, on the other hand, increase the training difficulty of MARL and demand more intense and direct reward signals compared to the original global reward. To address these challenges, we propose a new cooperative learning framework with pre-trained heterogeneous observation representations. Particularly, we employ an encoder-decoder based graph attention to learn the intricate interactions and heterogeneous representations that can be more easily leveraged by MARL. Moreover, we design a pre-training with local actor-critic algorithm to ease the difficulty in cooperative policy learning. Extensive experiments over real-world scenarios demonstrate that our new approach can significantly outperform existing MARL baselines as well as operational research solutions that are widely-used in industry.

cs.LG↗

arXiv2020

DenoiSpeech: Denoising Text to Speech with Frame-Level Noise Modeling

While neural-based text to speech (TTS) models can synthesize natural and intelligible voice, they usually require high-quality speech data, which is costly to collect. In many scenarios, only noisy speech of a target speaker is available, which presents challenges for TTS model training for this speaker. Previous works usually address the challenge using two methods: 1) training the TTS model using the speech denoised with an enhancement model; 2) taking a single noise embedding as input when training with noisy speech. However, they usually cannot handle speech with real-world complicated noise such as those with high variations along time. In this paper, we develop DenoiSpeech, a TTS system that can synthesize clean speech for a speaker with noisy speech data. In DenoiSpeech, we handle real-world noisy speech by modeling the fine-grained frame-level noise with a noise condition module, which is jointly trained with the TTS model. Experimental results on real-world data show that DenoiSpeech outperforms the previous two methods by 0.31 and 0.66 MOS respectively.

eess.AS↗

arXiv2020

UWSpeech: Speech to Speech Translation for Unwritten Languages

Existing speech to speech translation systems heavily rely on the text of target language: they usually translate source language either to target text and then synthesize target speech from text, or directly to target speech with target text for auxiliary training. However, those methods cannot be applied to unwritten target languages, which have no written text or phoneme available. In this paper, we develop a translation system for unwritten languages, named as UWSpeech, which converts target unwritten speech into discrete tokens with a converter, and then translates source-language speech into target discrete tokens with a translator, and finally synthesizes target speech from target discrete tokens with an inverter. We propose a method called XL-VAE, which enhances vector quantized variational autoencoder (VQ-VAE) with cross-lingual (XL) speech recognition, to train the converter and inverter of UWSpeech jointly. Experiments on Fisher Spanish-English conversation translation dataset show that UWSpeech outperforms direct translation and VQ-VAE baseline by about 16 and 10 BLEU points respectively, which demonstrate the advantages and potentials of UWSpeech.

eess.AS↗

arXiv2020

Semi-Supervised Neural Architecture Search

Neural architecture search (NAS) relies on a good controller to generate better architectures or predict the accuracy of given architectures. However, training the controller requires both abundant and high-quality pairs of architectures and their accuracy, while it is costly to evaluate an architecture and obtain its accuracy. In this paper, we propose SemiNAS, a semi-supervised NAS approach that leverages numerous unlabeled architectures (without evaluation and thus nearly no cost). Specifically, SemiNAS 1) trains an initial accuracy predictor with a small set of architecture-accuracy data pairs; 2) uses the trained accuracy predictor to predict the accuracy of large amount of architectures (without evaluation); and 3) adds the generated data pairs to the original data to further improve the predictor. The trained accuracy predictor can be applied to various NAS algorithms by predicting the accuracy of candidate architectures for them. SemiNAS has two advantages: 1) It reduces the computational cost under the same accuracy guarantee. On NASBench-101 benchmark dataset, it achieves comparable accuracy with gradient-based method while using only 1/7 architecture-accuracy pairs. 2) It achieves higher accuracy under the same computational cost. It achieves 94.02% test accuracy on NASBench-101, outperforming all the baselines when using the same number of architectures. On ImageNet, it achieves 23.5% top-1 error rate (under 600M FLOPS constraint) using 4 GPU-days for search. We further apply it to LJSpeech text to speech task and it achieves 97% intelligibility rate in the low-resource setting and 15% test error rate in the robustness setting, with 9%, 7% improvements over the baseline respectively.

cs.LG↗

arXiv2020

MPNet: Masked and Permuted Pre-training for Language Understanding

BERT adopts masked language modeling (MLM) for pre-training and is one of the most successful pre-training models. Since BERT neglects dependency among predicted tokens, XLNet introduces permuted language modeling (PLM) for pre-training to address this problem. However, XLNet does not leverage the full position information of a sentence and thus suffers from position discrepancy between pre-training and fine-tuning. In this paper, we propose MPNet, a novel pre-training method that inherits the advantages of BERT and XLNet and avoids their limitations. MPNet leverages the dependency among predicted tokens through permuted language modeling (vs. MLM in BERT), and takes auxiliary position information as input to make the model see a full sentence and thus reducing the position discrepancy (vs. PLM in XLNet). We pre-train MPNet on a large-scale dataset (over 160GB text corpora) and fine-tune on a variety of down-streaming tasks (GLUE, SQuAD, etc). Experimental results show that MPNet outperforms MLM and PLM by a large margin, and achieves better results on these tasks compared with previous state-of-the-art pre-trained methods (e.g., BERT, XLNet, RoBERTa) under the same model setting. The code and the pre-trained models are available at: https://github.com/microsoft/MPNet.

cs.CL↗

arXiv2020

Gradient Perturbation is Underrated for Differentially Private Convex Optimization

Gradient perturbation, widely used for differentially private optimization, injects noise at every iterative update to guarantee differential privacy. Previous work first determines the noise level that can satisfy the privacy requirement and then analyzes the utility of noisy gradient updates as in the non-private case. In contrast, we explore how privacy noise affects optimization property. We show that for differentially private convex optimization, the utility guarantee of differentially private (stochastic) gradient descent is determined by an \emph{expected curvature} rather than the minimum curvature. The \emph{expected curvature}, which represents the average curvature over the optimization path, is usually much larger than the minimum curvature. By using the \emph{expected curvature}, we show that gradient perturbation can achieve a significantly improved utility guarantee that can theoretically justify the advantage of gradient perturbation over other perturbation methods. Finally, our extensive experiments suggest that gradient perturbation with the advanced composition method indeed outperforms other perturbation approaches by a large margin, matching our theoretical findings.

cs.LG↗

arXiv2020

Beyond Exponentially Discounted Sum: Automatic Learning of Return Function

In reinforcement learning, Return, which is the weighted accumulated future rewards, and Value, which is the expected return, serve as the objective that guides the learning of the policy. In classic RL, return is defined as the exponentially discounted sum of future rewards. One key insight is that there could be many feasible ways to define the form of the return function (and thus the value), from which the same optimal policy can be derived, yet these different forms might render dramatically different speeds of learning this policy. In this paper, we research how to modify the form of the return function to enhance the learning towards the optimal policy. We propose to use a general mathematical form for return function, and employ meta-learning to learn the optimal return function in an end-to-end manner. We test our methods on a specially designed maze environment and several Atari games, and our experimental results clearly indicate the advantages of automatically learning optimal return functions in reinforcement learning.

cs.LG↗

arXiv2020

COSEA: Convolutional Code Search with Layer-wise Attention

Semantic code search, which aims to retrieve code snippets relevant to a given natural language query, has attracted many research efforts with the purpose of accelerating software development. The huge amount of online publicly available code repositories has prompted the employment of deep learning techniques to build state-of-the-art code search models. Particularly, they leverage deep neural networks to embed codes and queries into a unified semantic vector space and then use the similarity between code's and query's vectors to approximate the semantic correlation between code and the query. However, most existing studies overlook the code's intrinsic structural logic, which indeed contains a wealth of semantic information, and fails to capture intrinsic features of codes. In this paper, we propose a new deep learning architecture, COSEA, which leverages convolutional neural networks with layer-wise attention to capture the valuable code's intrinsic structural logic. To further increase the learning efficiency of COSEA, we propose a variant of contrastive loss for training the code search model, where the ground-truth code should be distinguished from the most similar negative sample. We have implemented a prototype of COSEA. Extensive experiments over existing public datasets of Python and SQL have demonstrated that COSEA can achieve significant improvements over state-of-the-art methods on code search tasks.

cs.SE↗

arXiv2020

Self-paced Ensemble for Highly Imbalanced Massive Data Classification

Many real-world applications reveal difficulties in learning classifiers from imbalanced data. The rising big data era has been witnessing more classification tasks with large-scale but extremely imbalance and low-quality datasets. Most of existing learning methods suffer from poor performance or low computation efficiency under such a scenario. To tackle this problem, we conduct deep investigations into the nature of class imbalance, which reveals that not only the disproportion between classes, but also other difficulties embedded in the nature of data, especially, noises and class overlapping, prevent us from learning effective classifiers. Taking those factors into consideration, we propose a novel framework for imbalance classification that aims to generate a strong ensemble by self-paced harmonizing data hardness via under-sampling. Extensive experiments have shown that this new framework, while being very computationally efficient, can lead to robust performance even under highly overlapping classes and extremely skewed distribution. Note that, our methods can be easily adapted to most of existing learning methods (e.g., C4.5, SVM, GBDT and Neural Network) to boost their performance on imbalanced data.

cs.LG↗

arXiv2020

Dynamic of Stochastic Gradient Descent with State-Dependent Noise

Stochastic gradient descent (SGD) and its variants are mainstream methods to train deep neural networks. Since neural networks are non-convex, more and more works study the dynamic behavior of SGD and the impact to its generalization, especially the escaping efficiency from local minima. However, these works take the over-simplified assumption that the covariance of the noise in SGD is (or can be upper bounded by) constant, although it is actually state-dependent. In this work, we conduct a formal study on the dynamic behavior of SGD with state-dependent noise. Specifically, we show that the covariance of the noise of SGD in the local region of the local minima is a quadratic function of the state. Thus, we propose a novel power-law dynamic with state-dependent diffusion to approximate the dynamic of SGD. We prove that, power-law dynamic can escape from sharp minima exponentially faster than flat minima, while the previous dynamics can only escape sharp minima polynomially faster than flat minima. Our experiments well verified our theoretical results. Inspired by our theory, we propose to add additional state-dependent noise into (large-batch) SGD to further improve its generalization ability. Experiments verify that our method is effective.

cs.LG↗

arXiv2020

Qlib: An AI-oriented Quantitative Investment Platform

Quantitative investment aims to maximize the return and minimize the risk in a sequential trading period over a set of financial instruments. Recently, inspired by rapid development and great potential of AI technologies in generating remarkable innovation in quantitative investment, there has been increasing adoption of AI-driven workflow for quantitative research and practical investment. In the meantime of enriching the quantitative investment methodology, AI technologies have raised new challenges to the quantitative investment system. Particularly, the new learning paradigms for quantitative investment call for an infrastructure upgrade to accommodate the renovated workflow; moreover, the data-driven nature of AI technologies indeed indicates a requirement of the infrastructure with more powerful performance; additionally, there exist some unique challenges for applying AI technologies to solve different tasks in the financial scenarios. To address these challenges and bridge the gap between AI technologies and quantitative investment, we design and develop Qlib that aims to realize the potential, empower the research, and create the value of AI technologies in quantitative investment.

q-fin.GN↗

arXiv2020

DualLip: A System for Joint Lip Reading and Generation

Lip reading aims to recognize text from talking lip, while lip generation aims to synthesize talking lip according to text, which is a key component in talking face generation and is a dual task of lip reading. In this paper, we develop DualLip, a system that jointly improves lip reading and generation by leveraging the task duality and using unlabeled text and lip video data. The key ideas of the DualLip include: 1) Generate lip video from unlabeled text with a lip generation model, and use the pseudo pairs to improve lip reading; 2) Generate text from unlabeled lip video with a lip reading model, and use the pseudo pairs to improve lip generation. We further extend DualLip to talking face generation with two additionally introduced components: lip to face generation and text to speech generation. Experiments on GRID and TCD-TIMIT demonstrate the effectiveness of DualLip on improving lip reading, lip generation, and talking face generation by utilizing unlabeled data. Specifically, the lip generation model in our DualLip system trained with only10% paired data surpasses the performance of that trained with the whole paired data. And on the GRID benchmark of lip reading, we achieve 1.16% character error rate and 2.71% word error rate, outperforming the state-of-the-art models using the same amount of paired data.

cs.MM↗