Finance is a particularly challenging application area for deep learning models due to low noise-to-signal ratio, non-stationarity, and partial observability. Non-deliverable-forwards (NDF), a derivatives contract used in foreign exchange (FX) trading, presents additional difficulty in the form of long-term planning required for an effective selection of start and end date of the contract. In this work, we focus on tackling the problem of NDF tenor selection by leveraging high-dimensional sequential data consisting of spot rates, technical indicators and expert tenor patterns. To this end, we construct a dataset from the Depository Trust & Clearing Corporation (DTCC) NDF data that includes a comprehensive list of NDF volumes and daily spot rates for 64 FX pairs. We introduce WaveATTentionNet (WATTNet), a novel temporal convolution (TCN) model for spatio-temporal modeling of highly multivariate time series, and validate it across NDF markets with varying degrees of dissimilarity between the training and test periods in terms of volatility and general market regimes. The proposed method achieves a significant positive return on investment (ROI) in all NDF markets under analysis, outperforming recurrent and classical baselines by a wide margin. Finally, we propose two orthogonal interpretability approaches to verify noise stability and detect the driving factors of the learned tenor selection strategy.

-- Neural networks are discrete entities: subdivided into discrete layers and parametrized by weights which are iteratively optimized via difference equations. Recent work proposes networks with layer outputs which are no longer quantized but are solutions of an ordinary differential equation (ODE); however, these networks are still optimized via discrete methods (e.g. In this paper, we explore a different direction: namely, we propose a novel framework for learning in which the parameters themselves are solutions of ODEs. By viewing the optimization process as the evolution of a port-Hamiltonian system, we can ensure convergence to a minimum of the objective function. Numerical experiments have been performed to show the validity and effectiveness of the proposed methods. Neural networks are universal function approximators [1]. Given enough capacity, which can arbitrarily be increased by adding more parameters to the model, they can approximate any Borel-measurable function mapping finite-dimensional spaces. Each layer of a neural network performs an affine transformation to its input and generates an output which is then fed into the next layer. Backpropagation [2] is at the core of modern deep learning, and most state-of-the-art architectures for tasks such as image segmentation [3], generative tasks [4], image classification [5] and machine translation [6] rely on the effective combination of universal approximators and line search optimization methods: most notably stochastic gradient descent (SGD), Adam [7] RM-SProp [8] and recently RAdam [9].

Can the success of reinforcement learning methods for combinatorial optimization problems be extended to multi-robot scheduling problems in stochastic contexts? Three issues are particularly important in this context: quality of the resulting decisions, scalability, and transferability. To achieve these ends we generalize the concept of clique potential to stochastic clique potential. We extend a mean field inference fixed point iteration with this new concept and use it to modify thestructure2vec method. We next propose a new reinforcement learning framework combining a graph representation of the problem and a consensus auction inspired by heuristics in the problem domain. This representation enables transferability in terms of the number of robots. Sequential encoding of information through multiple layers of our extended structure2vec results in 96% optimal performance of the learned heuristics. While training tractability is inherited from single robot methods in the literature, use of a multi-robot consensus auction-based relaxation of the maximum operation in the Bellman optimality equation allows for scalable selection of actions in the fitted Q-iteration. We apply our framework to multi-robot reward collection (MRRC) problems in stochastic environments with linear or non-linear rewards. In stochastic environments with non-linear rewards, the new method achieves 20% superior performance relative to the popular sequential greedy assignment (SGA) algorithm. Linear scalability in terms of training is achieved and demonstrated. Transferability is demonstrated by the use of a heuristic trained with three robots that continues to achieve 95% optimal performance when applied to problems with various numbers of robots. We further mention the results obtained when extending the approach to identical parallel machine scheduling(IPMS) problems.

We propose an efficient multi-agent reinforcement learning approach to derive equilibrium strategies for multi-agents who are participating in a Markov game. Mainly, we are focused on obtaining decentralized policies for agents to maximize the performance of a collaborative task by all the agents, which is similar to solving a decentralized Markov decision process. We propose to use two different policy networks: (1) decentralized greedy policy network used to generate greedy action during training and execution period and (2) generative cooperative policy network (GCPN) used to generate action samples to make other agents improve their objectives during training period. We show that the samples generated by GCPN enable other agents to explore the policy space more effectively and favorably to reach a better policy in terms of achieving the collaborative tasks.