Takabatake, Kazuya, Akaho, Shotaro

In this paper, we propose a simple, versatile model for learning the structure and parameters of multivariate distributions from a data set. Learning a Markov network from a given data set is not a simple problem, because Markov networks rigorously represent Markov properties, and this rigor imposes complex constraints on the design of the networks. Our proposed model removes these constraints, acquiring important aspects from the information geometry. The proposed parameter- and structure-learning algorithms are simple to execute as they are based solely on local computation at each node. Experiments demonstrate that our algorithms work appropriately.

Casgrain, Philippe, Jaimungal, Sebastian

Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's actions on quoted prices and the prices they receive from trading. Under fairly general assumptions, we demonstrate how the trader can learn the posterior distribution over the latent states, and explicitly solve the latent optimal trading problem. We provide a verification theorem, and a methodology for calibrating the model by deriving a variation of the expectation-maximization algorithm. To illustrate the efficacy of the optimal strategy, we demonstrate its performance through simulations and compare it to strategies which ignore learning in the latent factors. We also provide calibration results for a particular model using Intel Corporation stock as an example.

We consider Bayesian analysis of a class of multiple changepoint models. While there are a variety of efficient ways to analyse these models if the parameters associated with each segment are independent, there are few general approaches for models where the parameters are dependent. Under the assumption that the dependence is Markov, we propose an efficient online algorithm for sampling from an approximation to the posterior distribution of the number and position of the changepoints. In a simulation study, we show that the approximation introduced is negligible. We illustrate the power of our approach through fitting piecewise polynomial models to data, under a model which allows for either continuity or discontinuity of the underlying curve at each changepoint. This method is competitive with, or out-performs, other methods for inferring curves from noisy data; and uniquely it allows for inference of the locations of discontinuities in the underlying curve.

Cai, Chenghui, Liao, Xuejun, Carin, Lawrence

A fundamental objective in reinforcement learning is the maintenance of a proper balance between exploration and exploitation. This problem becomes more challenging when the agent can only partially observe the states of its environment. In this paper we propose a dual-policy method for jointly learning the agent behavior and the balance between exploration exploitation, in partially observable environments. The method subsumes traditional exploration, in which the agent takes actions to gather information about the environment, and active learning, in which the agent queries an oracle for optimal actions (with an associated cost for employing the oracle). The form of the employed exploration is dictated by the specific problem. Theoretical guarantees are provided concerning the optimality of the balancing of exploration and exploitation. The effectiveness of the method is demonstrated by experimental results on benchmark problems.

Bai, Aijun (University of Science and Technology of China) | Wu, Feng (University of Southampton) | Zhang, Zongzhang (National University of Singapore) | Chen, Xiaoping (University of Science and Technology of China)

Monte-Carlo tree search (MCTS) has been drawing great interest in recent years for planning under uncertainty. One of the key challenges is the trade-off between exploration and exploitation. To address this, we introduce a novel online planning algorithm for large POMDPs using Thompson sampling based MCTS that balances between cumulative and simple regrets. The proposed algorithm Dirichlet-Dirichlet-NormalGamma based Partially Observable Monte-Carlo Planning (D 2 NG-POMCP) treats the accumulated reward of performing an action from a belief state in the MCTS search tree as a random variable following an unknown distribution with hidden parameters. Bayesian method is used to model and infer the posterior distribution of these parameters by choosing the conjugate prior in the form of a combination of two Dirichlet and one NormalGamma distributions. Thompson sampling is exploited to guide the action selection in the search tree. Experimental results confirmed that our algorithm outperforms the state-of-the-art approaches on several common benchmark problems.