We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the relative population dynamics of technical trading strategies that can survive historical back-testing as well as form an overall aggregated portfolio trading strategy from the set of underlying trading strategies implemented on daily and intraday Johannesburg Stock Exchange data. The resulting population time-series are investigated using unsupervised learning for dimensionality reduction and visualisation. A key contribution is that the overall aggregated trading strategies are tested for statistical arbitrage using a novel hypothesis test proposed by Jarrow et al. on both daily sampled and intraday time-scales. The (low frequency) daily sampled strategies fail the arbitrage tests after costs, while the (high frequency) intraday sampled strategies are not falsified as statistical arbitrages after costs. The estimates of trading strategy success, cost of trading and slippage are considered along with an offline benchmark portfolio algorithm for performance comparison. In addition, the algorithms generalisation error is analysed by recovering a probability of back-test overfitting estimate using a nonparametric procedure introduced by Bailey et al.. The work aims to explore and better understand the interplay between different technical trading strategies from a data-informed perspective.

The objective for this work is to develop a data-driven proxy to high-fidelity numerical flow simulations using digital images. The proposed model can capture the flow field and permeability in a large verity of digital porous media based on solid grain geometry and pore size distribution by detailed analyses of the local pore geometry and the local flow fields. To develop the model, the detailed pore space geometry and simulation runs data from 3500 two-dimensional high-fidelity Lattice Boltzmann simulation runs are used to train and to predict the solutions with a high accuracy in much less computational time. The proposed methodology harness the enormous amount of generated data from high-fidelity flow simulations to decode the often under-utilized patterns in simulations and to accurately predict solutions to new cases. The developed model can truly capture the physics of the problem and enhance prediction capabilities of the simulations at a much lower cost. These predictive models, in essence, do not spatio-temporally reduce the order of the problem. They, however, possess the same numerical resolutions as their Lattice Boltzmann simulations equivalents do with the great advantage that their solutions can be achieved by significant reduction in computational costs (speed and memory).

The identification of predictive biomarkers from a large scale of covariates for subgroup analysis has attracted fundamental attention in medical research. In this article, we propose a generalized penalized regression method with a novel penalty function, for enforcing the hierarchy structure between the prognostic and predictive effects, such that a nonzero predictive effect must induce its ancestor prognostic effects being nonzero in the model. Our method is able to select useful predictive biomarkers by yielding a sparse, interpretable, and predictable model for subgroup analysis, and can deal with different types of response variable such as continuous, categorical, and time-to-event data. We show that our method is asymptotically consistent under some regularized conditions. To minimize the generalized penalized regression model, we propose a novel integrative optimization algorithm by integrating the majorization-minimization and the alternating direction method of multipliers, which is named after \texttt{smog}. The enriched simulation study and real case study demonstrate that our method is very powerful for discovering the true predictive biomarkers and identifying subgroups of patients.

We consider worker skill estimation for the single-coin Dawid-Skene crowdsourcing model. In practice, skill-estimation is challenging because worker assignments are sparse and irregular due to the arbitrary and uncontrolled availability of workers. We formulate skill estimation as a rank-one correlation-matrix completion problem, where the observed components correspond to observed label correlations between workers. We show that the correlation matrix can be successfully recovered and skills are identifiable if and only if the sampling matrix (observed components) does not have a bipartite connected component. We then propose a projected gradient descent scheme and show that skill estimates converge to the desired global optima for such sampling matrices. Our proof is original and the results are surprising in light of the fact that even the weighted rank-one matrix factorization problem is NP-hard in general. Next, we derive sample complexity bounds in terms of spectral properties of the signless Laplacian of the sampling matrix. Our proposed scheme achieves state-of-art performance on a number of real-world datasets.

In this article, we consider the problem of choosing the optimal scenario of the impact between nodes based on of the introduced criteria for the optimality of the impact. Two criteria for the optimality of the impact, which are called the force of impact and the speed of implementation of the scenario, are considered. To obtain a unique solution of the problem, a multi-criterial assessment of the received scenarios using the Pareto principle was applied. Based on the criteria of a force of impact and the speed of implementation of the scenario, the choice of the optimal scenario of impact was justified. The results and advantages of the proposed approach in comparison with the Kosko model are presented.

Training models to high-end performance requires availability of large labeled datasets, which are expensive to get. The goal of our work is to automatically synthesize labeled datasets that are relevant for a downstream task. We propose Meta-Sim, which learns a generative model of synthetic scenes, and obtain images as well as its corresponding ground-truth via a graphics engine. We parametrize our dataset generator with a neural network, which learns to modify attributes of scene graphs obtained from probabilistic scene grammars, so as to minimize the distribution gap between its rendered outputs and target data. If the real dataset comes with a small labeled validation set, we additionally aim to optimize a meta-objective, i.e. downstream task performance. Experiments show that the proposed method can greatly improve content generation quality over a human-engineered probabilistic scene grammar, both qualitatively and quantitatively as measured by performance on a downstream task.

Deep learning models have demonstrated outstanding performance in several problems, but their training process tends to require immense amounts of computational and human resources for training and labeling, constraining the types of problems that can be tackled. Therefore, the design of effective training methods that require small labeled training sets is an important research direction that will allow a more effective use of resources.Among current approaches designed to address this issue, two are particularly interesting: data augmentation and active learning. Data augmentation achieves this goal by artificially generating new training points, while active learning relies on the selection of the "most informative" subset of unlabeled training samples to be labelled by an oracle. Although successful in practice, data augmentation can waste computational resources because it indiscriminately generates samples that are not guaranteed to be informative, and active learning selects a small subset of informative samples (from a large un-annotated set) that may be insufficient for the training process. In this paper, we propose a Bayesian generative active deep learning approach that combines active learning with data augmentation -- we provide theoretical and empirical evidence (MNIST, CIFAR-$\{10,100\}$, and SVHN) that our approach has more efficient training and better classification results than data augmentation and active learning.

Click-through rate (CTR) prediction has been one of the most central problems in computational advertising. Lately, embedding techniques that produce low-dimensional representations of ad IDs drastically improve CTR prediction accuracies. However, such learning techniques are data demanding and work poorly on new ads with little logging data, which is known as the cold-start problem. In this paper, we aim to improve CTR predictions during both the cold-start phase and the warm-up phase when a new ad is added to the candidate pool. We propose Meta-Embedding, a meta-learning-based approach that learns to generate desirable initial embeddings for new ad IDs. The proposed method trains an embedding generator for new ad IDs by making use of previously learned ads through gradient-based meta-learning. In other words, our method learns how to learn better embeddings. When a new ad comes, the trained generator initializes the embedding of its ID by feeding its contents and attributes. Next, the generated embedding can speed up the model fitting during the warm-up phase when a few labeled examples are available, compared to the existing initialization methods. Experimental results on three real-world datasets showed that Meta-Embedding can significantly improve both the cold-start and warm-up performances for six existing CTR prediction models, ranging from lightweight models such as Factorization Machines to complicated deep models such as PNN and DeepFM. All of the above apply to conversion rate (CVR) predictions as well.

Different functional areas of the human brain play different roles in brain activity, which has not been paid sufficient research attention in the brain-computer interface (BCI) field. This paper presents a new approach for electroencephalography (EEG) classification that applies attention-based transfer learning. Our approach considers the importance of different brain functional areas to improve the accuracy of EEG classification, and provides an additional way to automatically identify brain functional areas associated with new activities without the involvement of a medical professional. We demonstrate empirically that our approach out-performs state-of-the-art approaches in the task of EEG classification, and the results of visualization indicate that our approach can detect brain functional areas related to a certain task.

News headline generation is an essential problem of text summarization because it is constrained, well-defined, and is still hard to solve. Models with a limited vocabulary can not solve it well, as new named entities can appear regularly in the news and these entities often should be in the headline. News articles in morphologically rich languages such as Russian require model modifications due to a large number of possible word forms. This study aims to validate that models with a possibility of copying words from the original article performs better than models without such an option. The proposed model achieves a mean ROUGE score of 23 on the provided test dataset, which is 8 points greater than the result of a similar model without a copying mechanism. Moreover, the resulting model performs better than any known model on the new dataset of Russian news.