Markov Models
Financial Trading Model with Stock Bar Chart Image Time Series with Deep Convolutional Neural Networks
Sezer, Omer Berat, Ozbayoglu, Ahmet Murat
Even though computational intelligence techniques have been extensively utilized in financial trading systems, almost all developed models use the time series data for price prediction or identifying buy-sell points. However, in this study we decided to use 2-D stock bar chart images directly without introducing any additional time series associated with the underlying stock. We propose a novel algorithmic trading model CNN-BI (Convolutional Neural Network with Bar Images) using a 2-D Convolutional Neural Network. We generated 2-D images of sliding windows of 30-day bar charts for Dow 30 stocks and trained a deep Convolutional Neural Network (CNN) model for our algorithmic trading model. We tested our model separately between 2007-2012 and 2012-2017 for representing different market conditions. The results indicate that the model was able to outperform Buy and Hold strategy, especially in trendless or bear markets. Since this is a preliminary study and probably one of the first attempts using such an unconventional approach, there is always potential for improvement. Overall, the results are promising and the model might be integrated as part of an ensemble trading model combined with different strategies.
Rethinking System Health Management
Balaban, Edward, Johnson, Stephen B., Kochenderfer, Mykel J.
Health management of complex dynamic systems has traditionally evolved separately from automated control, planning, and scheduling (generally referred to in the paper as decision making). A goal of Integrated System Health Management has been to enable coordination between system health management and decision making, although successful practical implementations have remained limited. This paper proposes that, rather than being treated as connected, yet distinct entities, system health management and decision making should be unified in their formulations. Enabled by advances in modeling and computing, we argue that the unified approach will increase a system's operational effectiveness and may also lead to a lower overall system complexity. We overview the prevalent system health management methodology and illustrate its limitations through numerical examples. We then describe the proposed unification approach and show how it accommodates the typical system health management concepts.
The Promise of Hierarchical Reinforcement Learning
This top-down planning approach decides what a good subgoal is before planning to achieve it." "For complex, high-dimensional Markov Decision Processes (MDPs), it may be necessary to represent the policy with function approximation. A problem is mis- specified whenever, the representation cannot express any policy with acceptable performance.
Scene Memory Transformer for Embodied Agents in Long-Horizon Tasks
Fang, Kuan, Toshev, Alexander, Fei-Fei, Li, Savarese, Silvio
Many robotic applications require the agent to perform long-horizon tasks in partially observable environments. In such applications, decision making at any step can depend on observations received far in the past. Hence, being able to properly memorize and utilize the long-term history is crucial. In this work, we propose a novel memory-based policy, named Scene Memory Transformer (SMT). The proposed policy embeds and adds each observation to a memory and uses the attention mechanism to exploit spatio-temporal dependencies. This model is generic and can be efficiently trained with reinforcement learning over long episodes. On a range of visual navigation tasks, SMT demonstrates superior performance to existing reactive and memory-based policies by a margin.
Nonlinear Markov Random Fields Learned via Backpropagation
Brudfors, Mikael, Balbastre, Yaรซl, Ashburner, John
Although convolutional neural networks (CNNs) currently dominate competitions on image segmentation, for neuroimaging analysis tasks, more classical generative approaches based on mixture models are still used in practice to parcellate brains. To bridge the gap between the two, in this paper we propose a marriage between a probabilistic generative model, which has been shown to be robust to variability among magnetic resonance (MR) images acquired via different imaging protocols, and a CNN. The link is in the prior distribution over the unknown tissue classes, which are classically modelled using a Markov random field. In this work we model the interactions among neighbouring pixels by a type of recurrent CNN, which can encode more complex spatial interactions. We validate our proposed model on publicly available MR data, from different centres, and show that it generalises across imaging protocols. This result demonstrates a successful and principled inclusion of a CNN in a generative model, which in turn could be adapted by any probabilistic generative approach for image segmentation.
Learning Quantum Graphical Models using Constrained Gradient Descent on the Stiefel Manifold
Adhikary, Sandesh, Srinivasan, Siddarth, Boots, Byron
Quantum graphical models (QGMs) extend the classical framework for reasoning about uncertainty by incorporating the quantum mechanical view of probability. Prior work on QGMs has focused on hidden quantum Markov models (HQMMs), which can be formulated using quantum analogues of the sum rule and Bayes rule used in classical graphical models. Despite the focus on developing the QGM framework, there has been little progress in learning these models from data. The existing state-of-the-art approach randomly initializes parameters and iteratively finds unitary transformations that increase the likelihood of the data. While this algorithm demonstrated theoretical strengths of HQMMs over HMMs, it is slow and can only handle a small number of hidden states. In this paper, we tackle the learning problem by solving a constrained optimization problem on the Stiefel manifold using a well-known retraction-based algorithm. We demonstrate that this approach is not only faster and yields better solutions on several datasets, but also scales to larger models that were prohibitively slow to train via the earlier method.
Lifted Weight Learning of Markov Logic Networks Revisited
Kuzelka, Ondrej, Kungurtsev, Vyacheslav
In this paper, we complete the work of [14] by answering We study lifted weight learning of Markov whether maximum-likelihood learning of MLNs logic networks. We show that there is an algorithm can be done in time polynomial in the size of the domain for maximum-likelihood learning of for 2-variable MLNs. We give a positive answer 2-variable Markov logic networks which runs to this question (Theorem 11), under consideration of in time polynomial in the domain size. Our the dependence of the runtime bounds on how extreme results are based on existing lifted-inference the statistics of the training data are. To arrive at this algorithms and recent algorithmic results on positive result, we need to combine results from three computing maximum entropy distributions.
Explicit-risk-aware Path Planning with Reward Maximization
Xiao, Xuesu, Dufek, Jan, Murphy, Robin
This paper develops a path planner that minimizes risk (e.g. motion execution) while maximizing accumulated reward (e.g., quality of sensor viewpoint) motivated by visual assistance or tracking scenarios in unstructured or confined environments. In these scenarios, the robot should maintain the best viewpoint as it moves to the goal. However, in unstructured or confined environments, some paths may increase the risk of collision; therefore there is a tradeoff between risk and reward. Conventional state-dependent risk or probabilistic uncertainty modeling do not consider path-level risk or is difficult to acquire. This risk-reward planner explicitly represents risk as a function of motion plans, i.e., paths. Without manual assignment of the negative impact to the planner caused by risk, this planner takes in a pre-established viewpoint quality map and plans target location and path leading to it simultaneously, in order to maximize overall reward along the entire path while minimizing risk. Exact and approximate algorithms are presented, whose solution is further demonstrated on a physical tethered aerial vehicle. Other than the visual assistance problem, the proposed framework also provides a new planning paradigm to address minimum-risk planning under dynamical risk and absence of substructure optimality and to balance the trade-off between reward and risk.
Pixel-Attentive Policy Gradient for Multi-Fingered Grasping in Cluttered Scenes
Wu, Bohan, Akinola, Iretiayo, Allen, Peter K.
Recent advances in on-policy reinforcement learning (RL) methods enabled learning agents in virtual environments to master complex tasks with high-dimensional and continuous observation and action spaces. However, leveraging this family of algorithms in multi-fingered robotic grasping remains a challenge due to large sim-to-real fidelity gaps and the high sample complexity of on-policy RL algorithms. This work aims to bridge these gaps by first reinforcement-learning a multi-fingered robotic grasping policy in simulation that operates in the pixel space of the input: a single depth image. Using a mapping from pixel space to Cartesian space according to the depth map, this method transfers to the real world with high fidelity and introduces a novel attention mechanism that substantially improves grasp success rate in cluttered environments. Finally, the direct-generative nature of this method allows learning of multi-fingered grasps that have flexible end-effector positions, orientations and rotations, as well as all degrees of freedom of the hand.
On Convergence Rate of the Gaussian Belief Propagation Algorithm for Markov Networks
Gaussian Belief Propagation (BP) algorithm is one of the most important distributed algorithms in signal processing and statistical learning involving Markov networks. It is well known that the algorithm correctly computes marginal density functions from a high dimensional joint density function over a Markov network in a finite number of iterations when the underlying Gaussian graph is acyclic. It is also known more recently that the algorithm produces correct marginal means asymptotically for cyclic Gaussian graphs under the condition of walk summability. This paper extends this convergence result further by showing that the convergence is exponential under the walk summability condition, and provides a simple bound for the convergence rate.