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Data Augmentation for Deep Candlestick Learner

arXiv.org Machine Learning

How to augment limited stock price data is an open problem in stock trend prediction. Most innovative data augmentation schemes adopted in image processing community cannot be used directly in time-series data. Although the traditional financial data simulation method can generate time-series data, there are some defects when considering the real-world market. For example, Monte Carlo simulation is one of the primary traditional tools applied extensively in financial engineering research, economics, and a wide array of other fields during the past four decades [1]. However, Monte Carlo simulation is ultimately a statistical model, which means it requires several assumptions. Those assumptions may be unrealistic and depends on the individual circumstances. There are three primary disadvantages as follows: 1. Monte Carlo simulations need distribution assumptions to built around a specific type of statistical distribution. If we use the right distribution assumption, the results are valid. However, if we use the wrong one then the results will be meaningless [2].


Mu-suppression detection in motor imagery electroencephalographic signals using the generalized extreme value distribution

arXiv.org Machine Learning

Electroencephalograms (EEG) are a noninvasive longstanding medical modality that measures the brain's activity by recording the electromagnetic field at the scalp. Since its creation, EEG has played a fundamental role in understanding several major neurological disorders, by analyzing their manifestation into brain rhythms. For example, the study of deceases such as depression, age-related cognitive deterioration, epilepsy, anxiety disorders and subnormal brain development in children have benefited from this technology. The typical brain rhythms are distinguished by their different frequency ranges, called delta (δ) within the range 0.5 to 4Hz, theta (θ) within the range 4 to 7.5Hz, alpha (α) within the range 8 to 13Hz, beta (β) within the range 14 to 30Hz, and gamma (γ) within the range 30 to 64Hz. In this study, we focus on the brain rhythm called mu (µ) within the range 7.5 to 11.5Hz. Mu-waves are considered to emerge naturally and may convey information about what the functioning of brain hierarchies [1]. According to [2], there exist three historical theoretical hypotheses to explaining the mu-brain rhythm: i) the neuronal hyperexcitability related to the rolandic cortex; ii) the superficial cortical inhibition explaining its suppression with motor activity; and iii) the somatosensory cortical idling, related to the afference-dependent phenomenon.


Detecting Problem Statements in Peer Assessments

arXiv.org Machine Learning

Effective peer assessment requires students to be attentive to the deficiencies in the work they rate. Thus, their reviews should identify problems. But what ways are there to check that they do? We attempt to automate the process of deciding whether a review comment detects a problem. We use over 18,000 review comments that were labeled by the reviewees as either detecting or not detecting a problem with the work. We deploy several traditional machine-learning models, as well as neural-network models using GloVe and BERT embeddings. We find that the best performer is the Hierarchical Attention Network classifier, followed by the Bidirectional Gated Recurrent Units (GRU) Attention and Capsule model with scores of 93.1% and 90.5% respectively. The best non-neural network model was the support vector machine with a score of 89.71%. This is followed by the Stochastic Gradient Descent model and the Logistic Regression model with 89.70% and 88.98%.


A Hierarchical Deep Convolutional Neural Network and Gated Recurrent Unit Framework for Structural Damage Detection

arXiv.org Machine Learning

Structural damage detection has become an interdisciplinary area of interest for various engineering fields, while the available damage detection methods are being in the process of adapting machine learning concepts. Most machine learning based methods heavily depend on extracted ``hand-crafted" features that are manually selected in advance by domain experts and then, fixed. Recently, deep learning has demonstrated remarkable performance on traditional challenging tasks, such as image classification, object detection, etc., due to the powerful feature learning capabilities. This breakthrough has inspired researchers to explore deep learning techniques for structural damage detection problems. However, existing methods have considered either spatial relation (e.g., using convolutional neural network (CNN)) or temporal relation (e.g., using long short term memory network (LSTM)) only. In this work, we propose a novel Hierarchical CNN and Gated recurrent unit (GRU) framework to model both spatial and temporal relations, termed as HCG, for structural damage detection. Specifically, CNN is utilized to model the spatial relations and the short-term temporal dependencies among sensors, while the output features of CNN are fed into the GRU to learn the long-term temporal dependencies jointly. Extensive experiments on IASC-ASCE structural health monitoring benchmark and scale model of three-span continuous rigid frame bridge structure datasets have shown that our proposed HCG outperforms other existing methods for structural damage detection significantly.


An Analytical Formula for Spectrum Reconstruction

arXiv.org Machine Learning

We study the spectrum reconstruction technique. As is known to all, eigenvalues play an important role in many research fields and are foundation to many practical techniques such like PCA(Principal Component Analysis). We believe that related algorithms should perform better with more accurate spectrum estimation. There was an approximation formula proposed, however, they didn't give any proof. In our research, we show why the formula works. And when both number of features and dimension of space go to infinity, we find the order of error for the approximation formula, which is related to a constant $c$-the ratio of dimension of space and number of features.


Machine Learning Fund Categorizations

arXiv.org Machine Learning

Given the surge in popularity of mutual funds (including exchange-traded funds (ETFs)) as a diversified financial investment, a vast variety of mutual funds from various investment management firms and diversification strategies have become available in the market. Identifying similar mutual funds among such a wide landscape of mutual funds has become more important than ever because of many applications ranging from sales and marketing to portfolio replication, portfolio diversification and tax loss harvesting. The current best method is data-vendor provided categorization which usually relies on curation by human experts with the help of available data. In this work, we establish that an industry wide well-regarded categorization system is learnable using machine learning and largely reproducible, and in turn constructing a truly data-driven categorization. We discuss the intellectual challenges in learning this man-made system, our results and their implications.


Graph-based calibration transfer

arXiv.org Machine Learning

Calibration transfer (CT), sometimes referred to as instrument standardization in chemometrics, is the process of transferring a calibration model from one instrument to another [1, 2, 3]. Ideally, CT preserves the accuracy and precision of a calibration model developed on a primary instrument, i.e. providing statistically identical analysis of the same samples measured on the secondary instrument. Historically, CT has been addressed by i) model updating, or ii) measuring a set of so-called calibration standards on both instruments in order to derive a correction for the difference in the instrumental response. The former can be considered more generic and copes with any type of change related to the measurement condition such as environmental influences, matrix effects or instrumental changes. Slope and bias correction [4], calibration set augmentation [5], model updating via Tihkonov regularization [6] or domain-invariant modelling [7, 8, 9] all belong to this category and have been applied with success to CT problems. However, these methods usually require a considerable amount of (additional) samples (and reference measurements) and deciding between maintenance and re-calibration is not always straightforward. Calibration transfer by means of calibration standards, on the other hand, solely requires a small set of samples that can be measured on both devices and does not require any additional reference values. In this second category, Direct- (DS) and piecewise direct standardization (PDS) can be considered the gold standard [10]. Both operate by learning a multivariate transformation (mapping) such that the instrumental response of the secondary instrument matches with the one of the primary instrument.


Meta Clustering for Collaborative Learning

arXiv.org Machine Learning

An emerging number of learning scenarios involve a set of learners/analysts each equipped with a unique dataset and algorithm, who may collaborate with each other to enhance their learning performance. From the perspective of a particular learner, a careless collaboration with task-irrelevant other learners is likely to incur modeling error. A crucial problem is to search for the most appropriate collaborators so that their data and modeling resources can be effectively leveraged. Motivated by this, we propose to study the problem of'meta clustering', where the goal is to identify subsets of relevant learners whose collaboration will improve the performance of each individual learner. In particular, we study the scenario where each learner is performing a supervised regression, and the meta clustering aims to categorize the underlying supervised relations (between responses and predictors) instead of the raw data. We propose a general method named as Select-Exchange-Cluster (SEC) for performing such a clustering. Our method is computationally efficient as it does not require each learner to exchange their raw data. We prove that the SEC method can accurately cluster the learners into appropriate collaboration sets according to their underlying regression functions. Synthetic and real data examples show the desired performance and wide applicability of SEC to a variety of learning tasks. Index Terms Distributed computing; Fairness; Meta clustering; Regression.


CLARITY -- Comparing heterogeneous data using dissimiLARITY

arXiv.org Machine Learning

Integrating datasets from different disciplines is hard because the data are often qualitatively different in meaning, scale, and reliability. When two datasets describe the same entities, many scientific questions can be phrased around whether the similarities between entities are conserved. Our method, CLARITY, quantifies consistency across datasets, identifies where inconsistencies arise, and aids in their interpretation. We explore three diverse comparisons: Gene Methylation vs Gene Expression, evolution of language sounds vs word use, and country-level economic metrics vs cultural beliefs. The nonparametric approach is robust to noise and differences in scaling, and makes only weak assumptions about how the data were generated. It operates by decomposing similarities into two components: the'structural' component analogous to a clustering, and an underlying'relationship' between those structures. This allows a'structural comparison' between two similarity matrices using their predictability from'structure'. The software, CLARITY, is available as an R package from github.com/danjlawson/CLARITY.


Learning stochastic object models from medical imaging measurements using Progressively-Growing AmbientGANs

arXiv.org Machine Learning

It has been advocated that medical imaging systems and reconstruction algorithms should be assessed and optimized by use of objective measures of image quality that quantify the performance of an observer at specific diagnostic tasks. One important source of variability that can significantly limit observer performance is variation in the objects to-be-imaged. This source of variability can be described by stochastic object models (SOMs). A SOM is a generative model that can be employed to establish an ensemble of to-be-imaged objects with prescribed statistical properties. In order to accurately model variations in anatomical structures and object textures, it is desirable to establish SOMs from experimental imaging measurements acquired by use of a well-characterized imaging system. Deep generative neural networks, such as generative adversarial networks (GANs) hold great potential for this task. However, conventional GANs are typically trained by use of reconstructed images that are influenced by the effects of measurement noise and the reconstruction process. To circumvent this, an AmbientGAN has been proposed that augments a GAN with a measurement operator. However, the original AmbientGAN could not immediately benefit from modern training procedures, such as progressive growing, which limited its ability to be applied to realistically sized medical image data. To circumvent this, in this work, a new Progressive Growing AmbientGAN (ProAmGAN) strategy is developed for establishing SOMs from medical imaging measurements. Stylized numerical studies corresponding to common medical imaging modalities are conducted to demonstrate and validate the proposed method for establishing SOMs.