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.

Higher-order tensors are becoming prevalent in many scientific areas such as computer vision, social network analysis, data mining and neuroscience. Traditional tensor decomposition approaches face three major challenges: model selecting, gross corruptions and computational efficiency. To address these problems, we first propose a parallel trace norm regularized tensor decomposition method, and formulate it as a convex optimization problem. This mehtod does not require the rank of each mode to be specified beforehand, and can automaticaly determine the number of factors in each mode through our optimization scheme. By considering the low-rank structure of the observed tensor, we analyze the equivalent relationship of the trace norm between a low-rank tensor and its core tensor. Then, we cast a non-convex tensor decomposition model into a weighted combination of multiple much smaller-scale matrix trace norm minimization. Finally, we develop two parallel alternating direction methods of multipliers (ADMM) to solve our problems. Experimental results verify that our regularized formulation is effective, and our methods are robust to noise or outliers.

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 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.

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.

In portfolio selection, it often might be preferable to focus on a few top performing industries/sectors to beat the market. These top performing sectors however might change over time. In this paper, we propose an online portfolio selection algorithm that can take advantage of sector information through the use of a group sparsity inducing regularizer while making lazy updates to the portfolio. The lazy updates prevent changing ones portfolio too often which otherwise might incur huge transaction costs. The proposed formulation leads to a non-smooth constrained optimization problem at every step, with the constraint that the solution has to lie in a probability simplex. We propose an efficient primal-dual based alternating direction method of multipliers algorithm and demonstrate its effectiveness for the problem of online portfolio selection with sector information. We show that our algorithm OLU-GS has sub-linear regret w.r.t. the best fixed and best shifting solution in hindsight. We successfully establish the robustness and scalability of OLU-GS by performing extensive experiments on two real-world datasets.

Postoperative atrial fibrillation (PAF) occurs in 10% to 65% of the patients undergoing cardiothoracic surgery. It is associated with increased post-surgical mortality and morbidity, and results in longer and more expensive hospital stays. Accurately stratifying patients for PAF allows for selective use of prophylactic therapies (e.g., amiodarone). Unfortunately, existing tools to stratify patients for PAF fail to provide clinically adequate discrimination. Our research addresses this situation through the development of novel electrocardiographic(ECG) markers to identify patients at risk of PAF. As a first step, we explore an eigen-decomposition approach that partitions ECG signals into atrial and ventricular components by exploiting knowledge of the underlying cardiac cycle. We then quantify electrical instability in the myocardium manifesting as probabilistic variations in atrial ECG morphology to assess therisk of PAF. When evaluated on 385 patients undergoing cardiac surgery, this approach of stratifying patients for PAF through an analysis of morphologic variability within decoupled atrial ECG demonstrated substantial promise and improved net reclassification by over 53% relative to the use of baseline clinical characteristics.

This paper introduces a novel framework for performing machine learning onlongitudinal neuroimaging datasets. These datasets are characterized by theirsize, particularly their width (millions of features per data input). Specifically, we address the problem of detecting subtle, short-term changes inneural structure that are indicative of cognitive change and correlate withrisk factors for Alzheimer's disease. We introduce a new spatially-sensitivekernel that allows us to reason about individuals, as opposed to populations. In doing so, this paper presents the first evidence demonstrating that verysmall changes in white matter structure over a two year period can predictchange in cognitive function in healthy adults.

In this paper we consider the problem of repairing missing is-a relations in ontologies. We formalize the problem as a generalized TBox abduction problem (GTAP). Based on this abduction framework, we present complexity results for the existence, relevance and necessity decision problems for the GTAP with and without some specific preference relations for ontologies that can be represented using a member of the EL family of description logics. Further, we present algorithms for finding solutions, a system as well as experiments.