Neural network based data-driven market simulation unveils a new and flexible way of modelling financial time series, without imposing assumptions on the underlying stochastic dynamics. Though in this sense generative market simulation is model-free, the concrete modelling choices are nevertheless decisive for the features of the simulated paths. We give a brief overview of currently used generative modelling approaches and performance evaluation metrics for financial time series, and address some of the challenges to achieve good results in the latter. We also contrast some classical approaches of market simulation with simulation based on generative modelling and highlight some advantages and pitfalls of the new approach. While most generative models tend to rely on large amounts of training data, we present here a generative model that works reliably even in environments where the amount of available training data is notoriously small. Furthermore, we show how a rough paths perspective combined with a parsimonious Variational Autoencoder framework provides a powerful way for encoding and evaluating financial time series in such environments where available training data is scarce. Finally, we also propose a suitable performance evaluation metric for financial time series and discuss some connections of our Market Generator to deep hedging.

Zeroth-order (ZO) optimization is a subset of gradient-free optimization that emerges in many signal processing and machine learning applications. It is used for solving optimization problems similarly to gradient-based methods. However, it does not require the gradient, using only function evaluations. Specifically, ZO optimization iteratively performs three major steps: gradient estimation, descent direction computation, and solution update. In this paper, we provide a comprehensive review of ZO optimization, with an emphasis on showing the underlying intuition, optimization principles and recent advances in convergence analysis. Moreover, we demonstrate promising applications of ZO optimization, such as evaluating robustness and generating explanations from black-box deep learning models, and efficient online sensor management.

This paper analyzes the trajectories of stochastic gradient descent (SGD) to help understand the algorithm's convergence properties in non-convex problems. We first show that the sequence of iterates generated by SGD remains bounded and converges with probability $1$ under a very broad range of step-size schedules. Subsequently, going beyond existing positive probability guarantees, we show that SGD avoids strict saddle points/manifolds with probability $1$ for the entire spectrum of step-size policies considered. Finally, we prove that the algorithm's rate of convergence to Hurwicz minimizers is $\mathcal{O}(1/n^{p})$ if the method is employed with a $\Theta(1/n^p)$ step-size schedule. This provides an important guideline for tuning the algorithm's step-size as it suggests that a cool-down phase with a vanishing step-size could lead to faster convergence; we demonstrate this heuristic using ResNet architectures on CIFAR.

This survey paper describes a literature review of deep learning (DL) methods for cyber security applications. A short tutorial-style description of each DL method is provided, including deep autoencoders, restricted Boltzmann machines, recurrent neural networks, generative adversarial networks, and several others. Then we discuss how each of the DL methods is used for security applications. We cover a broad array of attack types including malware, spam, insider threats, network intrusions, false data injection, and malicious domain names used by botnets.

Robust Subspace Recovery (RoSuRe) algorithm was recently introduced as a principled and numerically efficient algorithm that unfolds underlying Unions of Subspaces (UoS) structure, present in the data. The union of Subspaces (UoS) is capable of identifying more complex trends in data sets than simple linear models. We build on and extend RoSuRe to prospect the structure of different data modalities individually. We propose a novel multi-modal data fusion approach based on group sparsity which we refer to as Robust Group Subspace Recovery (RoGSuRe). Relying on a bi-sparsity pursuit paradigm and non-smooth optimization techniques, the introduced framework learns a new joint representation of the time series from different data modalities, respecting an underlying UoS model. We subsequently integrate the obtained structures to form a unified subspace structure. The proposed approach exploits the structural dependencies between the different modalities data to cluster the associated target objects. The resulting fusion of the unlabeled sensors' data from experiments on audio and magnetic data has shown that our method is competitive with other state of the art subspace clustering methods. The resulting UoS structure is employed to classify newly observed data points, highlighting the abstraction capacity of the proposed method.

The global volume of digital data is expected to reach 175 zettabytes by 2025. The volume, variety, and velocity of water-related data are increasing due to large-scale sensor networks and increased attention to topics such as disaster response, water resources management, and climate change. Combined with the growing availability of computational resources and popularity of deep learning, these data are transformed into actionable and practical knowledge, revolutionizing the water industry. In this article, a systematic review of literature is conducted to identify existing research which incorporates deep learning methods in the water sector, with regard to monitoring, management, governance and communication of water resources. The study provides a comprehensive review of state-of-the-art deep learning approaches used in the water industry for generation, prediction, enhancement, and classification tasks, and serves as a guide for how to utilize available deep learning methods for future water resources challenges. Key issues and challenges in the application of these techniques in the water domain are discussed, including the ethics of these technologies for decision-making in water resources management and governance. Finally, we provide recommendations and future directions for the application of deep learning models in hydrology and water resources.

Computers have been used to analyze and create music since they were first introduced in the 1950s and 1960s. Beginning in the late 1990s, the rise of the Internet and large scale platforms for music recommendation and retrieval have made music an increasingly prevalent domain of machine learning and artificial intelligence research. While still nascent, several different approaches have been employed to tackle what may broadly be referred to as "musical intelligence." This article provides a definition of musical intelligence, introduces a taxonomy of its constituent components, and surveys the wide range of AI methods that can be, and have been, brought to bear in its pursuit, with a particular emphasis on machine learning methods.

We investigate the stochastic Thresholding Bandit problem (TBP) under several shape constraints. On top of (i) the vanilla, unstructured TBP, we consider the case where (ii) the sequence of arm's means $(\mu_k)_k$ is monotonically increasing MTBP, (iii) the case where $(\mu_k)_k$ is unimodal UTBP and (iv) the case where $(\mu_k)_k$ is concave CTBP. In the TBP problem the aim is to output, at the end of the sequential game, the set of arms whose means are above a given threshold. The regret is the highest gap between a misclassified arm and the threshold. In the fixed budget setting, we provide problem independent minimax rates for the expected regret in all settings, as well as associated algorithms. We prove that the minimax rates for the regret are (i) $\sqrt{\log(K)K/T}$ for TBP, (ii) $\sqrt{\log(K)/T}$ for MTBP, (iii) $\sqrt{K/T}$ for UTBP and (iv) $\sqrt{\log\log K/T}$ for CTBP, where $K$ is the number of arms and $T$ is the budget. These rates demonstrate that the dependence on $K$ of the minimax regret varies significantly depending on the shape constraint. This highlights the fact that the shape constraints modify fundamentally the nature of the TBP.

Deep learning in remote sensing has become an international hype, but it is mostly limited to the evaluation of optical data. Although deep learning has been introduced in SAR data processing, despite successful first attempts, its huge potential remains locked. For example, to the best knowledge of the authors, there is no single example of deep learning in SAR that has been developed up to operational processing of big data or integrated into the production chain of any satellite mission. In this paper, we provide an introduction to the most relevant deep learning models and concepts, point out possible pitfalls by analyzing special characteristics of SAR data, review the state-of-the-art of deep learning applied to SAR in depth, summarize available benchmarks, and recommend some important future research directions. With this effort, we hope to stimulate more research in this interesting yet under-exploited research field.

In the past decade, Artificial Intelligence (AI) has become a part of our daily lives due to major advances in Machine Learning (ML) techniques. In spite of an explosive growth in the raw AI technology and in consumer facing applications on the internet, its adoption in business applications has conspicuously lagged behind. For business/mission-critical systems, serious concerns about reliability and maintainability of AI applications remain. Due to the statistical nature of the output, software 'defects' are not well defined. Consequently, many traditional quality management techniques such as program debugging, static code analysis, functional testing, etc. have to be reevaluated. Beyond the correctness of an AI model, many other new quality attributes, such as fairness, robustness, explainability, transparency, etc. become important in delivering an AI system. The purpose of this paper is to present a view of a holistic quality management framework for ML applications based on the current advances and identify new areas of software engineering research to achieve a more trustworthy AI.