arXiv subjects

Vadim Sokolov

Publications and source records attributed to Vadim Sokolov.

60 records · Page 4Linked to original sources

arXiv2017

Deep Learning: A Bayesian Perspective

Deep learning is a form of machine learning for nonlinear high dimensional pattern matching and prediction. By taking a Bayesian probabilistic perspective, we provide a number of insights into more efficient algorithms for optimisation and hyper-parameter tuning. Traditional high-dimensional data reduction techniques, such as principal component analysis (PCA), partial least squares (PLS), reduced rank regression (RRR), projection pursuit regression (PPR) are all shown to be shallow learners. Their deep learning counterparts exploit multiple deep layers of data reduction which provide predictive performance gains. Stochastic gradient descent (SGD) training optimisation and Dropout (DO) regularization provide estimation and variable selection. Bayesian regularization is central to finding weights and connections in networks to optimize the predictive bias-variance trade-off. To illustrate our methodology, we provide an analysis of international bookings on Airbnb. Finally, we conclude with directions for future research.

stat.ML↗

arXiv2017

Deep Learning for Short-Term Traffic Flow Prediction

We develop a deep learning model to predict traffic flows. The main contribution is development of an architecture that combines a linear model that is fitted using $\ell_1$ regularization and a sequence of $\tanh$ layers. The challenge of predicting traffic flows are the sharp nonlinearities due to transitions between free flow, breakdown, recovery and congestion. We show that deep learning architectures can capture these nonlinear spatio-temporal effects. The first layer identifies spatio-temporal relations among predictors and other layers model nonlinear relations. We illustrate our methodology on road sensor data from Interstate I-55 and predict traffic flows during two special events; a Chicago Bears football game and an extreme snowstorm event. Both cases have sharp traffic flow regime changes, occurring very suddenly, and we show how deep learning provides precise short term traffic flow predictions.

stat.AP↗

arXiv2017

Platoon formation maximization through centralized routing and departure time coordination

Platooning allows vehicles to travel with small intervehicle distance in a coordinated fashion thanks to vehicle-to-vehicle connectivity. When applied at a larger scale, platooning will create significant opportunities for energy savings due to reduced aerodynamic drag, as well as increased road capacity and congestion reduction resulting from shorter vehicle headways. However, these potential savings are maximized if platooning-capable vehicles spend most of their travel time within platoons. Ad hoc platoon formation may not ensure a high rate of platoon driving. In this paper we consider the problem of central coordination of platooning-capable vehicles. By coordinating their routes and departure times, we can maximize the fuel savings afforded by platooning vehicles. The resulting problem is a combinatorial optimization problem that considers the platoon coordination and vehicle routing problems simultaneously. We demonstrate our methodology by evaluating the benefits of a coordinated solution and comparing it with the uncoordinated case when platoons form only in an ad hoc manner. We compare the coordinated and uncoordinated scenarios on a grid network with different assumptions about demand and the time vehicles are willing to wait.

eess.SY↗

arXiv2016

Sequential Bayesian Learning for Merton's Jump Model with Stochastic Volatility

Jump stochastic volatility models are central to financial econometrics for volatility forecasting, portfolio risk management, and derivatives pricing. Markov Chain Monte Carlo (MCMC) algorithms are computationally unfeasible for the sequential learning of volatility state variables and parameters, whereby the investor must update all posterior and predictive densities as new information arrives. We develop a particle filtering and learning algorithm to sample posterior distribution in Merton's jump stochastic volatility. This allows to filter spot volatilities and jump times, together with sequentially updating (learning) of jump and volatility parameters. We illustrate our methodology on Google's stock return. We conclude with directions for future research.

stat.AP↗

arXiv2016

Bayesian analysis of traffic flow on interstate I-55: The LWR model

Transportation departments take actions to manage traffic flow and reduce travel times based on estimated current and projected traffic conditions. Travel time estimates and forecasts require information on traffic density which are combined with a model to project traffic flow such as the Lighthill-Whitham-Richards (LWR) model. We develop a particle filtering and learning algorithm to estimate the current traffic density state and the LWR parameters. These inputs are related to the so-called fundamental diagram, which describes the relationship between traffic flow and density. We build on existing methodology by allowing real-time updating of the posterior uncertainty for the critical density and capacity parameters. Our methodology is applied to traffic flow data from interstate highway I-55 in Chicago. We provide a real-time data analysis of how to learn the drop in capacity as a result of a major traffic accident. Our algorithm allows us to accurately assess the uncertainty of the current traffic state at shock waves, where the uncertainty is a mixture distribution. We show that Bayesian learning can correct the estimation bias that is present in the model with fixed parameters.

stat.AP↗

arXiv2015

Bayesian Particle Tracking of Traffic Flows

We develop a Bayesian particle filter for tracking traffic flows that is capable of capturing non-linearities and discontinuities present in flow dynamics. Our model includes a hidden state variable that captures sudden regime shifts between traffic free flow, breakdown and recovery. We develop an efficient particle learning algorithm for real time on-line inference of states and parameters. This requires a two step approach, first, resampling the current particles, with a mixture predictive distribution and second, propagation of states using the conditional posterior distribution. Particle learning of parameters follows from updating recursions for conditional sufficient statistics. To illustrate our methodology, we analyze measurements of daily traffic flow from the Illinois interstate I-55 highway system. We demonstrate how our filter can be used to inference the change of traffic flow regime on a highway road segment based on a measurement from freeway single-loop detectors. Finally, we conclude with directions for future research.

stat.AP↗