Due to recent empirical success, machine learning algorithms have drawn sufficient attention and are becoming important analysis tools in financial industry. In particular, as the core engine of many financial services such as private wealth and pension fund management, portfolio management calls for the application of those novel algorithms. Most of portfolio allocation strategies do not account for costs from market frictions such as transaction costs and capital gain taxes, as the complexity of sensible cost models often causes the induced problem intractable. In this paper, we propose a doubly regularized portfolio that provides a modest but effective solution to the above difficulty. Specifically, as all kinds of trading costs primarily root in large transaction volumes, to reduce volumes we synergistically combine two penalty terms with classic risk minimization models to ensure: (1) only a small set of assets are selected to invest in each period; (2) portfolios in consecutive trading periods are similar. To assess the new portfolio, we apply standard evaluation criteria and conduct extensive experiments on well-known benchmarks and market datasets. Compared with various state-of-the-art portfolios, the proposed portfolio demonstrates a superior performance of having both higher risk-adjusted returns and dramatically decreased transaction volumes.

Maintaining and cultivating student engagement is critical for learning. Understanding factors affecting student engagement will help in designing better courses and improving student retention. The large number of participants in massive open online courses (MOOCs) and data collected from their interaction with the MOOC open up avenues for studying student engagement at scale. In this work, we develop a framework for modeling and understanding student engagement in online courses based on student behavioral cues. Our first contribution is the abstraction of student engagement types using latent representations and using that in a probabilistic model to connect student behavior with course completion. We demonstrate that the latent formulation for engagement helps in predicting student survival across three MOOCs. Next, in order to initiate better instructor interventions, we need to be able to predict student survival early in the course. We demonstrate that we can predict student survival early in the course reliably using the latent model. Finally, we perform a closer quantitative analysis of user interaction with the MOOC and identify student activities that are good indicators for survival at different points in the course.

This paper presents a direct semantic analysis method for learning the correlation matrix between visual and textual words from socially tagged images. In the literature, to improve the traditional visual bag-of-words (BOW) representation, latent semantic analysis has been studied extensively for learning a compact visual representation, where each visual word may be related to multiple latent topics. However, these latent topics do not convey any true semantic information which can be understood by human. In fact, it remains a challenging problem how to recover the relationships between visual and textual words. Motivated by the recent advances in dealing with socially tagged images, we develop a direct semantic analysis method which can explicitly learn the correlation matrix between visual and textual words for social image classification. To this end, we formulate our direct semantic analysis from a graph-based learning viewpoint. Once the correlation matrix is learnt, we can readily first obtain a semantically refined visual BOW representation and then apply it to social image classification. Experimental results on two benchmark image datasets show the promising performance of the proposed method.

This paper proposes the Proximal Iteratively REweighted (PIRE) algorithm for solving a general problem, which involves a large body of nonconvex sparse and structured sparse related problems. Comparing with previous iterative solvers for nonconvex sparse problem, PIRE is much more general and efficient. The computational cost of PIRE in each iteration is usually as low as the state-of-the-art convex solvers. We further propose the PIRE algorithm with Parallel Splitting (PIRE-PS) and PIRE algorithm with Alternative Updating (PIRE-AU) to handle the multi-variable problems. In theory, we prove that our proposed methods converge and any limit solution is a stationary point. Extensive experiments on both synthesis and real data sets demonstrate that our methods achieve comparative learning performance, but are much more efficient, by comparing with previous nonconvex solvers.

This paper presents the beginnings of an automatic statistician, focusing on regression problems. Our system explores an open-ended space of statistical models to discover a good explanation of a data set, and then produces a detailed report with figures and natural-language text. Our approach treats unknown regression functions nonparametrically using Gaussian processes, which has two important consequences. First, Gaussian processes can model functions in terms of high-level properties (e.g. smoothness, trends, periodicity, changepoints). Taken together with the compositional structure of our language of models this allows us to automatically describe functions in simple terms. Second, the use of flexible nonparametric models and a rich language for composing them in an open-ended manner also results in state-of-the-art extrapolation performance evaluated over 13 real time series data sets from various domains.

Tweets ranking is important for information acquisition in Microblog. Due to the content sparsity and lackof labeled data, it is better to employ semi-supervisedlearning methods to utilize the unlabeled data. However,most of previous semi-supervised learning methods donot consider the pair conflict problem, which means thatthe new selected unlabeled data may conflict with the labeled and previously selected data. It will hurt the learning performance a lot, if the training data contains manyconflict pairs. In this paper, we propose a new collaborative semi-supervised SVM ranking model (CSR-TC)with consideration of the order conflict. The unlabeleddata is selected based on a dynamically maintained transitive closure graph to avoid pair conflict. We also investigate the two views of features, intrinsic and contentrelevant features, for the proposed model. Extensive experiments are conducted on TREC Microblogging corpus. The results demonstrate that our proposed methodachieves significant improvement, compared to severalstate-of-the-art models.

Tensor completion is an important topic in the area of image processing and computer vision research, which is generally built on extraction of the intrinsic structure of the tensor data. Drawing on this fact, action classification, relying heavily on the extracted features of high-dimensional tensors, may indeed benefit from tensor completion techniques. In this paper, we propose a low-rank tensor completion method for action classification, as well as image recovery. Since there may exist distortion and corruption in the tensor representations of video sequences, we project the tensors into a subspace, which contains the invariant structure of the tensors. In order to integrate useful supervisory information for classification, we adopt a discriminant analysis criterion to learn the projection matrices. The resulting multi-variate optimization problem can be effectively solved using the augmented Lagrange multiplier (ALM) algorithm. Experiments demonstrate that our method results with better accuracy compared with some other state-of-the-art low-rank tensor representation learning approaches on the MSR Hand Gesture 3D database and the MSR Action 3D database. By denoising the Multi-PIE face database, our experimental setup testifies the proposed method can also be employed to recover images.

Online discussions are growing as a popular, effective and reliable source of information for users because of their liveliness, flexibility and up-to-date information. Online discussions are usually developed and advanced by groups of users with various backgrounds and intents. However because of their diversities in topics and issues discussed by the users, supervised methods are not able to accurately model such dynamic conditions. In this paper, we propose a novel unsupervised generative model to derive aspect-action pairs from online discussions. The proposed method simultaneously captures and models these two features with their relationships that exist in each thread. We assume that each user post is generated by a mixture of aspect and action topics. Therefore, we design a model that captures the latent factors that incorporates the aspect types and intended actions, which describe how users develop a topic in a discussion. In order to demonstrate the effectiveness of our approach, we empirically compare our model against the state of the art methods on large-scale discussion dataset, crawled from apple discussions with over 3.3 million user posts from 340k discussion threads.

Recent works have explored the use of brain signals to directly control virtual and robotic agents in sequential tasks. So far in such brain-computer interfaces (BCI), an explicit calibration phase was required to build a decoder that translates raw electroencephalography (EEG) signals from the brain of each user into meaningful instructions. This paper proposes a method that removes the calibration phase, and allows a user to control an agent to solve a sequential task. The proposed method assumes a distribution of possible tasks, and infers the interpretation of EEG signals and the task by selecting the hypothesis which best explains the history of interaction. We introduce a measure of uncertainty on the task and on the EEG signal interpretation to act as an exploratory bonus for a planning strategy. This speeds up learning by guiding the system to regions that better disambiguate among task hypotheses. We report experiments where four users use BCI to control an agent on a virtual world to reach a target without any previous calibration process.

Restricted Boltzmann machines (RBMs) are powerful machine learning models, but learning and some kinds of inference in the model require sampling-based approximations, which, in classical digital computers, are implemented using expensive MCMC. Physical computation offers the opportunity to reduce the costof sampling by building physical systems whose natural dynamics correspond to drawing samples from the desired RBM distribution. Such a system avoids the burn-in and mixing cost of a Markov chain. However, hardware implementations of this variety usually entail limitations such as low-precision and limited range of the parameters and restrictions on the size and topology of the RBM. We conduct software simulations to determine how harmful each of these restrictions is. Our simulations are based on the D-Wave Two computer, but the issues we investigate arise in most forms of physical computation.Our findings suggest that designers of new physical computing hardware and algorithms for physical computers should focus their efforts on overcoming the limitations imposed by the topology restrictions of currently existing physical computers.