We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time series. It combines the merits of a popular sequential neural network model, i.e., LSTM, with a novel parametric quantile function that we construct to represent the conditional distribution of asset returns. Our model also captures individually the serial dependences of higher moments, rather than just the volatility. Across a wide range of asset classes, the out-of-sample forecasts of conditional quantiles or VaR of our model outperform the GARCH family. Further, the proposed approach does not suffer from the issue of quantile crossing, nor does it expose to the ill-posedness comparing to the parametric probability density function approach.

For any autonomous driving vehicle, control module determines its road performance and safety, i.e. its precision and stability should stay within a carefully-designed range. Nonetheless, control algorithms require vehicle dynamics (such as longitudinal dynamics) as inputs, which, unfortunately, are obscure to calibrate in real time. As a result, to achieve reasonable performance, most, if not all, research-oriented autonomous vehicles do manual calibrations in a one-by-one fashion. Since manual calibration is not sustainable once entering into mass production stage for industrial purposes, we here introduce a machine-learning based auto-calibration system for autonomous driving vehicles. In this paper, we will show how we build a data-driven longitudinal calibration procedure using machine learning techniques. We first generated offline calibration tables from human driving data. The offline table serves as an initial guess for later uses and it only needs twenty-minutes data collection and process. We then used an online-learning algorithm to appropriately update the initial table (the offline table) based on real-time performance analysis. This longitudinal auto-calibration system has been deployed to more than one hundred Baidu Apollo self-driving vehicles (including hybrid family vehicles and electronic delivery-only vehicles) since April 2018. By August 27, 2018, it had been tested for more than two thousands hours, ten thousands kilometers (6,213 miles) and yet proven to be effective.

Submodular functions are discrete analogs of convex functions, which have applications in various fields, including machine learning and computer vision. However, in large-scale applications, solving Submodular Function Minimization (SFM) problems remains challenging. In this paper, we make the first attempt to extend the emerging technique named screening in large-scale sparse learning to SFM for accelerating its optimization process. We first conduct a careful studying of the relationships between SFM and the corresponding convex proximal problems, as well as the accurate primal optimum estimation of the proximal problems. Relying on this study, we subsequently propose a novel safe screening method to quickly identify the elements guaranteed to be included (we refer to them as active) or excluded (inactive) in the final optimal solution of SFM during the optimization process. By removing the inactive elements and fixing the active ones, the problem size can be dramatically reduced, leading to great savings in the computational cost without sacrificing any accuracy. To the best of our knowledge, the proposed method is the first screening method in the fields of SFM and even combinatorial optimization, thus pointing out a new direction for accelerating SFM algorithms. Experiment results on both synthetic and real datasets demonstrate the significant speedups gained by our approach.

Time series prediction has been studied in a variety of domains. However, it is still challenging to predict future series given historical observations and past exogenous data. Existing methods either fail to consider the interactions among different components of exogenous variables which may affect the prediction accuracy, or cannot model the correlations between exogenous data and target data. Besides, the inherent temporal dynamics of exogenous data are also related to the target series prediction, and thus should be considered as well. To address these issues, we propose an end-to-end deep learning model, i.e., Hierarchical attention-based Recurrent Highway Network (HRHN), which incorporates spatio-temporal feature extraction of exogenous variables and temporal dynamics modeling of target variables into a single framework. Moreover, by introducing the hierarchical attention mechanism, HRHN can adaptively select the relevant exogenous features in different semantic levels. We carry out comprehensive empirical evaluations with various methods over several datasets, and show that HRHN outperforms the state of the arts in time series prediction, especially in capturing sudden changes and sudden oscillations of time series.

Optimization algorithms for training deep models not only affects the convergence rate and stability of the training process, but are also highly related to the generalization performance of the models. While adaptive algorithms, such as Adam and RMSprop, have shown better optimization performance than stochastic gradient descent (SGD) in many scenarios, they often lead to worse generalization performance than SGD, when used for training deep neural networks (DNNs). In this work, we identify two problems of Adam that may degrade the generalization performance. As a solution, we propose the normalized direction-preserving Adam (ND-Adam) algorithm, which combines the best of both worlds, i.e., the good optimization performance of Adam, and the good generalization performance of SGD. In addition, we further improve the generalization performance in classification tasks, by using batch-normalized softmax. This study suggests the need for more precise control over the training process of DNNs.

Recently manifold learning algorithm for dimensionality reduction attracts more and more interests, and various linear and nonlinear, global and local algorithms are proposed. The key step of manifold learning algorithm is the neighboring region selection. However, so far for the references we know, few of which propose a generally accepted algorithm to well select the neighboring region. So in this paper, we propose an adaptive neighboring selection algorithm, which successfully applies the LLE and ISOMAP algorithms in the test. It is an algorithm that can find the optimal K nearest neighbors of the data points on the manifold. And the theoretical basis of the algorithm is the approximated curvature of the data point on the manifold. Based on Riemann Geometry, Jacob matrix is a proper mathematical concept to predict the approximated curvature. By verifying the proposed algorithm on embedding Swiss roll from R3 to R2 based on LLE and ISOMAP algorithm, the simulation results show that the proposed adaptive neighboring selection algorithm is feasible and able to find the optimal value of K, making the residual variance relatively small and better visualization of the results. By quantitative analysis, the embedding quality measured by residual variance is increased 45.45% after using the proposed algorithm in LLE.

With the recent development in mobile computing devices and as the ubiquitous deployment of access points(APs) of Wireless Local Area Networks(WLANs), WLAN based indoor localization systems(WILSs) are of mounting concentration and are becoming more and more prevalent for they do not require additional infrastructure. As to the localization methods in WILSs, for the approaches used to localization in satellite based global position systems are difficult to achieve in indoor environments, fingerprint based localization algorithms(FLAs) are predominant in the RSS based schemes. However, the performance of FLAs has close relationship with the number of APs and the number of reference points(RPs) in WILSs, especially as the redundant deployment of APs and RPs in the system. There are two fatal problems, curse of dimensionality (CoD) and asymmetric matching(AM), caused by increasing number of APs and breaking down APs during online stage. In this paper, a semi-supervised RSS dimensionality reduction algorithm is proposed to solve these two dilemmas at the same time and there are numerous analyses about the theoretical realization of the proposed method. Another significant innovation of this paper is jointing the fingerprint based algorithm with CM-SDE algorithm to improve the localization accuracy of indoor localization.

In this paper, we propose to employ the convolutional neural network (CNN) for the image question answering (QA) task. Our proposed CNN provides an end-to-end framework with convolutional architectures for learning not only the image and question representations, but also their inter-modal interactions to produce the answer. More specifically, our model consists of three CNNs: one image CNN to encode the image content, one sentence CNN to compose the words of the question, and one multimodal convolution layer to learn their joint representation for the classification in the space of candidate answer words. We demonstrate the efficacy of our proposed model on the DAQUAR and COCO-QA datasets, which are two benchmark datasets for image QA, with the performances significantly outperforming the state-of-the-art.