Fundamentals of Machine Learning in Finance Fundamentals of Machine Learning in Finance will provide more at-depth view of supervised, unsupervised, and reinforcement learning, and end up in a project on using unsupervised learning for implementing a simple portfolio trading strategy. About this Course 10,198 recent views The course aims at helping students to be able to solve practical ML-amenable problems that they may encounter in real life that include: (1) understanding where the problem one faces lands on a general landscape of available ML methods, (2) understanding which particular ML approach(es) would be most appropriate for resolving the problem, and (3) ability to successfully implement a solution, and assess its performance. A learner with some or no previous knowledge of Machine Learning (ML) will get to know main algorithms of Supervised and Unsupervised Learning, and Reinforcement Learning, and will be able to use ML open source Python packages to design, test, and implement ML algorithms in Finance. Fundamentals of Machine Learning in Finance will provide more at-depth view of supervised, unsupervised, and reinforcement learning, and end up in a project on using unsupervised learning for implementing a simple portfolio trading strategy. The course is designed for three categories of students: Practitioners working at financial institutions such as banks, asset management firms or hedge funds Individuals interested in applications of ML for personal day trading Current full-time students pursuing a degree in Finance, Statistics, Computer Science, Mathematics, Physics, Engineering or other related disciplines who want to learn about practical applications of ML in Finance Experience with Python (including numpy, pandas, and IPython/Jupyter notebooks), linear algebra, basic probability theory and basic calculus is necessary to complete assignments in this course.

As you can see from the plots above, the relative sample efficiencies of the described algorithms follow their theoretical estimations. This project is also available on my GitHub.

Inverse reinforcement learning is a paradigm motivated by the goal of learning general reward functions from demonstrated behaviours. Yet the notion of generality for learnt costs is often evaluated in terms of robustness to various spatial perturbations only, assuming deployment at fixed speeds of execution. However, this is impractical in the context of robotics and building time-invariant solutions is of crucial importance. In this work, we propose a formulation that allows us to 1) vary the length of execution by learning time-invariant costs, and 2) relax the temporal alignment requirements for learning from demonstration. We apply our method to two different types of cost formulations and evaluate their performance in the context of learning reward functions for simulated placement and peg in hole tasks. Our results show that our approach enables learning temporally invariant rewards from misaligned demonstration that can also generalise spatially to out of distribution tasks.

We demonstrate the use of Adaptive Stress Testing to detect and address potential vulnerabilities in a financial environment. We develop a simplified model for credit card fraud detection that utilizes a linear regression classifier based on historical payment transaction data coupled with business rules. We then apply the reinforcement learning model known as Adaptive Stress Testing to train an agent, that can be thought of as a potential fraudster, to find the most likely path to system failure -- successfully defrauding the system. We show the connection between this most likely failure path and the limits of the classifier and discuss how the fraud detection system's business rules can be further augmented to mitigate these failure modes.

Deep Reinforcement Learning (DRL) is considered a potential framework to improve many real-world autonomous systems; it has attracted the attention of multiple and diverse fields. Nevertheless, the successful deployment in the real world is a test most of DRL models still need to pass. In this work we focus on this issue by reviewing and evaluating the research efforts from both domain-agnostic and domain-specific communities. On one hand, we offer a comprehensive summary of DRL challenges and summarize the different proposals to mitigate them; this helps identifying five gaps of domain-agnostic research. On the other hand, from the domain-specific perspective, we discuss different success stories and argue why other models might fail to be deployed. Finally, we take up on ways to move forward accounting for both perspectives.

Most approaches in reinforcement learning (RL) are data-hungry and specific to fixed environments. In this paper, we propose a principled framework for adaptive RL, called AdaRL, that adapts reliably to changes across domains. Specifically, we construct a generative environment model for the structural relationships among variables in the system and embed the changes in a compact way, which provides a clear and interpretable picture for locating what and where the changes are and how to adapt. Based on the environment model, we characterize a minimal set of representations, including both domain-specific factors and domain-shared state representations, that suffice for reliable and low-cost transfer. Moreover, we show that by explicitly leveraging a compact representation to encode changes, we can adapt the policy with only a few samples without further policy optimization in the target domain. We illustrate the efficacy of AdaRL through a series of experiments that allow for changes in different components of Cartpole and Atari games.

Building embodied autonomous agents capable of participating in social interactions with humans is one of the main challenges in AI. Within the Deep Reinforcement Learning (DRL) field, this objective motivated multiple works on embodied language use. However, current approaches focus on language as a communication tool in very simplified and non-diverse social situations: the "naturalness" of language is reduced to the concept of high vocabulary size and variability. In this paper, we argue that aiming towards human-level AI requires a broader set of key social skills: 1) language use in complex and variable social contexts; 2) beyond language, complex embodied communication in multimodal settings within constantly evolving social worlds. We explain how concepts from cognitive sciences could help AI to draw a roadmap towards human-like intelligence, with a focus on its social dimensions. As a first step, we propose to expand current research to a broader set of core social skills. To do this, we present SocialAI, a benchmark to assess the acquisition of social skills of DRL agents using multiple grid-world environments featuring other (scripted) social agents. We then study the limits of a recent SOTA DRL approach when tested on SocialAI and discuss important next steps towards proficient social agents. Videos and code are available at https://sites.google.com/view/socialai.

Legged robots need to be capable of walking on diverse terrain conditions. In this paper, we present a novel reinforcement learning framework for learning locomotion on non-rigid dynamic terrains. Specifically, our framework can generate quadruped locomotion on flat elastic terrain that consists of a matrix of tiles moving up and down passively when pushed by the robot's feet. A trained robot with 55cm base length can walk on terrain that can sink up to 5cm. We propose a set of observation and reward terms that enable this locomotion; in which we found that it is crucial to include the end-effector history and end-effector velocity terms into observation. We show the effectiveness of our method by training the robot with various terrain conditions.

General Value Function (GVF) is a powerful tool to represent both the {\em predictive} and {\em retrospective} knowledge in reinforcement learning (RL). In practice, often multiple interrelated GVFs need to be evaluated jointly with pre-collected off-policy samples. In the literature, the gradient temporal difference (GTD) learning method has been adopted to evaluate GVFs in the off-policy setting, but such an approach may suffer from a large estimation error even if the function approximation class is sufficiently expressive. Moreover, none of the previous work have formally established the convergence guarantee to the ground truth GVFs under the function approximation settings. In this paper, we address both issues through the lens of a class of GVFs with causal filtering, which cover a wide range of RL applications such as reward variance, value gradient, cost in anomaly detection, stationary distribution gradient, etc. We propose a new algorithm called GenTD for off-policy GVFs evaluation and show that GenTD learns multiple interrelated multi-dimensional GVFs as efficiently as a single canonical scalar value function. We further show that unlike GTD, the learned GVFs by GenTD are guaranteed to converge to the ground truth GVFs as long as the function approximation power is sufficiently large. To our best knowledge, GenTD is the first off-policy GVF evaluation algorithm that has global optimality guarantee.

In Meta-Reinforcement Learning (meta-RL) an agent is trained on a set of tasks to prepare for and learn faster in new, unseen, but related tasks. The training tasks are usually hand-crafted to be representative of the expected distribution of test tasks and hence all used in training. We show that given a set of training tasks, learning can be both faster and more effective (leading to better performance in the test tasks), if the training tasks are appropriately selected. We propose a task selection algorithm, Information-Theoretic Task Selection (ITTS), based on information theory, which optimizes the set of tasks used for training in meta-RL, irrespectively of how they are generated. The algorithm establishes which training tasks are both sufficiently relevant for the test tasks, and different enough from one another. We reproduce different meta-RL experiments from the literature and show that ITTS improves the final performance in all of them.