Support vector machines (SVMs) are among the most used methods for pattern recognition. Acceptable results have been obtained with such methods in many domains and applications. However, as most learning algorithms, SVMs have hyperparameters that influence the effectiveness of the generated model. Thus, choosing adequate values for such hyperparameters is critical in order to obtain satisfactory results for a given classification task, a problem known as model selection. This paper introduces a novel model selection approach for SVMs based on multi-objective optimization and on the bias and variance definition. We propose an evolutionary algorithm that aims to select the configuration of hyperparameters that optimizes a trade-off between estimates of bias and variance; two factors that are closely related to the model accuracy and complexity. The proposed technique is evaluated using a suite of benchmark data sets for classification. Experimental results show the validity of our approach. We found that the model selection criteria resulted very helpful for selecting highly effective classification models.

Author identification is a subfield of Natural Language Processing (NLP) that uses machine learning techniques to identify the author of a text. Most previous research focused on long texts with the assumption that a minimum text length threshold exists under which author identification would no longer be effective. This paper examines author identification in short texts far below this threshold, focusing on messages retrieved from Twitter (maximum length: 140 characters) to determine the most effective feature set for author identification. Both Bag-of-Words (BOW) and Style Marker feature sets were extracted and evaluated through a series of 15 experiments involving up to 12 authors with large and small dataset sizes. Support Vector Machines (SVM) were used for all experiments. Our results achieve classification accuracies approaching that of longer texts, even for small dataset sizes of 60 training instances per author. Style Marker feature sets were found to be significantly more useful than BOW feature sets as well as orders of magnitude faster, and are therefore suggested for potential applications in future research.

In this article, we study the notion of similarity within the context of cluster analysis. We begin by studying different distances commonly used for this task and highlight certain important properties that they might have, such as the use of data distribution or reduced sensitivity to the curse of dimensionality. Then we study inter- and intra-cluster similarities. We identify how the choices made can influence the nature of the clusters.

Clustering, the unsupervised classification of objects into groups, is a widely used technique in exploratory data analysis. The clustering problem is a very complex one, and a popular heuristic for solving it is the Simulated Annealing (SA) algorithm. SA is an approximation algorithm that involves generating a neighborhood solution by perturbing the current solution in a small, yet meaningful way. This new solution is accepted with a probability of 1 if it is quantitatively better than the current solution, and accepted according to the Metropolis criterion otherwise. Cluster quality is measured using the Sum of Squared Error (SSE) criterion. This paper presents an SA algorithm that uses a new type of perturbation to generate solutions. Whereas most SA clustering algorithms perturb data point memberships directly, our algorithm perturbs a randomly chosen center using Gaussian mutation, and then reassigns data points in a nearest neighbor fashion. Experimental results on a diverse collection of data sets demonstrate that our algorithm has comparable effectiveness to other SA algorithms, while being much faster due to its simplicity.

We developed a new quantum annealing (QA) algorithm for Dirichlet process mixture (DPM) models based on the Chinese restaurant process (CRP). QA is a parallelized extension of simulated annealing (SA), i.e., it is a parallel stochastic optimization technique. Existing approaches [Kurihara et al. UAI2009, Sato et al. UAI2009] and cannot be applied to the CRP because their QA framework is formulated using a fixed number of mixture components. The proposed QA algorithm can handle an unfixed number of classes in mixture models. We applied QA to a DPM model for clustering vertices in a network where a CRP seating arrangement indicates a network partition. A multi core processor was used for running QA in experiments, the results of which show that QA is better than SA, Markov chain Monte Carlo inference, and beam search at finding a maximum a posteriori estimation of a seating arrangement in the CRP. Since our QA algorithm is as easy as to implement the SA algorithm, it is suitable for a wide range of applications.

Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining, etc. This article aims to provide a comprehensive survey and a structural understanding of published online portfolio selection techniques. From an online machine learning perspective, we first formulate online portfolio selection as a sequential decision problem, and then survey a variety of state-of-the-art approaches, which are grouped into several major categories, including benchmarks, "Follow-the-Winner" approaches, "Follow-the-Loser" approaches, "Pattern-Matching" based approaches, and "Meta-Learning Algorithms". In addition to the problem formulation and related algorithms, we also discuss the relationship of these algorithms with the Capital Growth theory in order to better understand the similarities and differences of their underlying trading ideas. This article aims to provide a timely and comprehensive survey for both machine learning and data mining researchers in academia and quantitative portfolio managers in the financial industry to help them understand the state-of-the-art and facilitate their research and practical applications. We also discuss some open issues and evaluate some emerging new trends for future research directions.

Many feature subset selection (FSS) algorithms have been proposed, but not all of them are appropriate for a given feature selection problem. At the same time, so far there is rarely a good way to choose appropriate FSS algorithms for the problem at hand. Thus, FSS algorithm automatic recommendation is very important and practically useful. In this paper, a meta learning based FSS algorithm automatic recommendation method is presented. The proposed method first identifies the data sets that are most similar to the one at hand by the k-nearest neighbor classification algorithm, and the distances among these data sets are calculated based on the commonly-used data set characteristics. Then, it ranks all the candidate FSS algorithms according to their performance on these similar data sets, and chooses the algorithms with best performance as the appropriate ones. The performance of the candidate FSS algorithms is evaluated by a multi-criteria metric that takes into account not only the classification accuracy over the selected features, but also the runtime of feature selection and the number of selected features. The proposed recommendation method is extensively tested on 115 real world data sets with 22 well-known and frequently-used different FSS algorithms for five representative classifiers. The results show the effectiveness of our proposed FSS algorithm recommendation method.

When dealing with subjective, noisy, or otherwise nebulous features, the "wisdom of crowds" suggests that one may benefit from multiple judgments of the same feature on the same object. We give theoretically-motivated `feature multi-selection' algorithms that choose, among a large set of candidate features, not only which features to judge but how many times to judge each one. We demonstrate the effectiveness of this approach for linear regression on a crowdsourced learning task of predicting people's height and weight from photos, using features such as 'gender' and 'estimated weight' as well as culturally fraught ones such as 'attractive'.

Despite its importance, choosing the structural form of the kernel in nonparametric regression remains a black art. We define a space of kernel structures which are built compositionally by adding and multiplying a small number of base kernels. We present a method for searching over this space of structures which mirrors the scientific discovery process. The learned structures can often decompose functions into interpretable components and enable long-range extrapolation on time-series datasets. Our structure search method outperforms many widely used kernels and kernel combination methods on a variety of prediction tasks.

Stochastic dual coordinate ascent (SDCA) is an effective technique for solving regularized loss minimization problems in machine learning. This paper considers an extension of SDCA under the mini-batch setting that is often used in practice. Our main contribution is to introduce an accelerated mini-batch version of SDCA and prove a fast convergence rate for this method. We discuss an implementation of our method over a parallel computing system, and compare the results to both the vanilla stochastic dual coordinate ascent and to the accelerated deterministic gradient descent method of \cite{nesterov2007gradient}.