Generalized autoregressive conditional heteroscedasticity (GARCH) models have long been considered as one of the most successful families of approaches for volatility modeling in financial return series. In this paper, we propose an alternative approach based on methodologies widely used in the field of statistical machine learning. Specifically, we propose a novel nonparametric Bayesian mixture of Gaussian process regression models, each component of which models the noise variance process that contaminates the observed data as a separate latent Gaussian process driven by the observed data. This way, we essentially obtain a mixture Gaussian process conditional heteroscedasticity (MGPCH) model for volatility modeling in financial return series. We impose a nonparametric prior with power-law nature over the distribution of the model mixture components, namely the Pitman-Yor process prior, to allow for better capturing modeled data distributions with heavy tails and skewness. Finally, we provide a copula- based approach for obtaining a predictive posterior for the covariances over the asset returns modeled by means of a postulated MGPCH model. We evaluate the efficacy of our approach in a number of benchmark scenarios, and compare its performance to state-of-the-art methodologies.

The development of competitive artificial Poker playing agents has proven to be a challenge, because agents must deal with unreliable information and deception which make it essential to model the opponents in order to achieve good results. This paper presents a methodology to develop opponent modeling techniques for Poker agents. The approach is based on applying clustering algorithms to a Poker game database in order to identify player types based on their actions. First, common game moves were identified by clustering all players\' moves. Then, player types were defined by calculating the frequency with which the players perform each type of movement. With the given dataset, 7 different types of players were identified with each one having at least one tactic that characterizes him. The identification of player types may improve the overall performance of Poker agents, because it helps the agents to predict the opponent\'s moves, by associating each opponent to a distinct cluster.

Computer Poker's unique characteristics present a well-suited challenge for research in artificial intelligence. For that reason, and due to the Poker's market increase in popularity in Portugal since 2008, several members of LIACC have researched in this field. Several works were published as papers and master theses and more recently a member of LIACC engaged on a research in this area as a Ph.D. thesis in order to develop a more extensive and in-depth work. This paper describes the existing research in LIACC about Computer Poker, with special emphasis on the completed master's theses and plans for future work. This paper means to present a summary of the lab's work to the research community in order to encourage the exchange of ideas with other labs / individuals. LIACC hopes this will improve research in this area so as to reach the goal of creating an agent that surpasses the best human players.

Reinforcement learning systems are often concerned with balancing exploration of untested actions against exploitation of actions that are known to be good. The benefit of exploration can be estimated using the classical notion of Value of Information - the expected improvement in future decision quality arising from the information acquired by exploration. Estimating this quantity requires an assessment of the agent's uncertainty about its current value estimates for states. In this paper we investigate ways of representing and reasoning about this uncertainty in algorithms where the system attempts to learn a model of its environment. We explicitly represent uncertainty about the parameters of the model and build probability distributions over Q-values based on these. These distributions are used to compute a myopic approximation to the value of information for each action and hence to select the action that best balances exploration and exploitation.

We consider the problem of finding all enclosing rectangles of minimum area that can contain a given set of rectangles without overlap. Our rectangle packer chooses the x-coordinates of all the rectangles before any of the y-coordinates. We then transform the problem into a perfect-packing problem with no empty space by adding additional rectangles. To determine the y-coordinates, we branch on the different rectangles that can be placed in each empty position. Our packer allows us to extend the known solutions for a consecutive-square benchmark from 27 to 32 squares. We also introduce three new benchmarks, avoiding properties that make a benchmark easy, such as rectangles with shared dimensions. Our third benchmark consists of rectangles of increasingly high precision. To pack them efficiently, we limit the rectangles' coordinates and the bounding box dimensions to the set of subset sums of the rectangles' dimensions. Overall, our algorithms represent the current state-of-the-art for this problem, outperforming other algorithms by orders of magnitude, depending on the benchmark.

Structure and parameters in a Bayesian network uniquely specify the probability distribution of the modeled domain. The locality of both structure and probabilistic information are the great benefits of Bayesian networks and require the modeler to only specify local information. On the other hand this locality of information might prevent the modeler - and even more any other person - from obtaining a general overview of the important relationships within the domain. The goal of the work presented in this paper is to provide an "alternative" view on the knowledge encoded in a Bayesian network which might sometimes be very helpful for providing insights into the underlying domain. The basic idea is to calculate a mixture approximation to the probability distribution represented by the Bayesian network. The mixture component densities can be thought of as representing typical scenarios implied by the Bayesian model, providing intuition about the basic relationships. As an additional benefit, performing inference in the approximate model is very simple and intuitive and can provide additional insights. The computational complexity for the calculation of the mixture approximations criticaly depends on the measure which defines the distance between the probability distribution represented by the Bayesian network and the approximate distribution. Both the KL-divergence and the backward KL-divergence lead to inefficient algorithms. Incidentally, the latter is used in recent work on mixtures of mean field solutions to which the work presented here is closely related. We show, however, that using a mean squared error cost function leads to update equations which can be solved using the junction tree algorithm. We conclude that the mean squared error cost function can be used for Bayesian networks in which inference based on the junction tree is tractable. For large networks, however, one may have to rely on mean field approximations.

Current methods for learning graphical models with latent variables and a fixed structure estimate optimal values for the model parameters. Whereas this approach usually produces overfitting and suboptimal generalization performance, carrying out the Bayesian program of computing the full posterior distributions over the parameters remains a difficult problem. Moreover, learning the structure of models with latent variables, for which the Bayesian approach is crucial, is yet a harder problem. In this paper I present the Variational Bayes framework, which provides a solution to these problems. This approach approximates full posterior distributions over model parameters and structures, as well as latent variables, in an analytical manner without resorting to sampling methods. Unlike in the Laplace approximation, these posteriors are generally non-Gaussian and no Hessian needs to be computed. The resulting algorithm generalizes the standard Expectation Maximization algorithm, and its convergence is guaranteed. I demonstrate that this algorithm can be applied to a large class of models in several domains, including unsupervised clustering and blind source separation.

The AGM theory of belief revision has become an important paradigm for investigating rational belief changes. Unfortunately, researchers working in this paradigm have restricted much of their attention to rather simple representations of belief states, namely logically closed sets of propositional sentences. In our opinion, this has resulted in a too abstract categorisation of belief change operations: expansion, revision, or contraction. Occasionally, in the AGM paradigm, also probabilistic belief changes have been considered, and it is widely accepted that the probabilistic version of expansion is conditioning. However, we argue that it may be more correct to view conditioning and expansion as two essentially different kinds of belief change, and that what we call constraining is a better candidate for being considered probabilistic expansion.

In building Bayesian belief networks, the elicitation of all probabilities required can be a major obstacle. We learned the extent of this often-cited observation in the construction of the probabilistic part of a complex influence diagram in the field of cancer treatment. Based upon our negative experiences with existing methods, we designed a new method for probability elicitation from domain experts. The method combines various ideas, among which are the ideas of transcribing probabilities and of using a scale with both numerical and verbal anchors for marking assessments. In the construction of the probabilistic part of our influence diagram, the method proved to allow for the elicitation of many probabilities in little time.

The deontic logic DUS is a Deontic Update Semantics for prescriptive obligations based on the update semantics of Veltman. In DUS the definition of logical validity of obligations is not based on static truth values but on dynamic action transitions. In this paper prescriptive defeasible obligations are formalized in update semantics and the diagnostic problem of defeasible deontic logic is discussed. Assume a defeasible obligation `normally A ought to be (done)' together withthe fact `A is not (done).' Is this an exception of the normality claim, or is it a violation of the obligation? In this paper we formalize the heuristic principle that it is a violation, unless there is a more specific overriding obligation. The underlying motivation from legal reasoning is that criminals should have as little opportunities as possible to excuse themselves by claiming that their behavior was exceptional rather than criminal.