In this paper, we aim to tackle flexible cost requirements for long-tail datasets, where we need to construct a (a) cost-sensitive and (b) class-distribution robust learning framework. The misclassification cost and the area under the ROC curve (AUC) are popular metrics for (a) and (b), respectively. However, limited by their formulations, models trained with AUC cannot be applied to cost-sensitive decision problems, and models trained with fixed costs are sensitive to the class distribution shift. To address this issue, we present a new setting where costs are treated like a dataset to deal with arbitrarily unknown cost distributions. Moreover, we propose a novel weighted version of AUC where the cost distribution can be integrated into its calculation through decision thresholds. To formulate this setting, we propose a novel bilevel paradigm to bridge weighted AUC (WAUC) and cost. The inner-level problem approximates the optimal threshold from sampling costs, and the outer-level problem minimizes the WAUC loss over the optimal threshold distribution. To optimize this bilevel paradigm, we employ a stochastic optimization algorithm (SACCL) to optimize it. Finally, experiment results show that our algorithm performs better than existing cost-sensitive learning methods and two-stage AUC decisions approach.

When these weighting functions output constant, we can infer that the cost function is a linear transformation of AUC. W AUC. The idea of weighting thresholds in AUC is first described by [ Bilevel optimization is a classical algorithm for operations research. B.1 Main Idea of Experiments Our experiments mainly explore the following three problems: Traditional AUC is inconsistent with the cost-related metrics and cannot be used in cost-sensitive learning scenarios. From the experimental results in our paper, we can see that most AUC optimization methods do not minimize the misclassification cost. Ultimately, the misclassification cost of the decision is not acceptable.

Receiver Operating Characteristics (ROC) is a popular tool to describe the trade-off between the True Positive Rate (TPR) and False Positive Rate (FPR) of a scoring function.

We thank all reviewers for the constructive comments! We will carefully resolve all writing, format, and notation issues. These results will be included in the camera-ready version. Our main goal is to design an efficient, concise, and practical IL framework. It is nearly impossible to make instance-level decisions by using a complex meta-sampler (e.g., set a large output layer R: For clarity, Eq. 3 shows the unnormalized sampling weights (noted in the paper).

In financial trading, return prediction is one of the foundation for a successful trading system. By the fast development of the deep learning in various areas such as graphical processing, natural language, it has also demonstrate significant edge in handling with financial data. While the success of the deep learning relies on huge amount of labeled sample, labeling each time/event as profitable or unprofitable, under the transaction cost, especially in the high-frequency trading world, suffers from serious label imbalance issue.In this paper, we adopts rigurious end-to-end deep learning framework with comprehensive label imbalance adjustment methods and succeed in predicting in high-frequency return in the Chinese future market. The code for our method is publicly available at https://github.com/RS2002/Label-Unbalance-in-High-Frequency-Trading .

In this paper, we aim to tackle flexible cost requirements for long-tail datasets, where we need to construct a (a) cost-sensitive and (b) class-distribution robust learning framework. The misclassification cost and the area under the ROC curve (AUC) are popular metrics for (a) and (b), respectively. However, limited by their formulations, models trained with AUC cannot be applied to cost-sensitive decision problems, and models trained with fixed costs are sensitive to the class distribution shift. To address this issue, we present a new setting where costs are treated like a dataset to deal with arbitrarily unknown cost distributions. Moreover, we propose a novel weighted version of AUC where the cost distribution can be integrated into its calculation through decision thresholds. To formulate this setting, we propose a novel bilevel paradigm to bridge weighted AUC (WAUC) and cost.

Overheating anomaly detection is essential for the quality and reliability of parts produced by laser powder bed fusion (LPBF) additive manufacturing (AM). In this research, we focus on the detection of overheating anomalies using photodiode sensor data. Photodiode sensors can collect high-frequency data from the melt pool, reflecting the process dynamics and thermal history. Hence, the proposed method offers a machine learning (ML) framework to utilize photodiode sensor data for layer-wise detection of overheating anomalies. In doing so, three sets of features are extracted from the raw photodiode data: MSMM (mean, standard deviation, median, maximum), MSQ (mean, standard deviation, quartiles), and MSD (mean, standard deviation, deciles). These three datasets are used to train several ML classifiers. Cost-sensitive learning is used to handle the class imbalance between the "anomalous" layers (affected by overheating) and "nominal" layers in the benchmark dataset. To boost detection accuracy, our proposed ML framework involves utilizing the majority voting ensemble (MVE) approach. The proposed method is demonstrated using a case study including an open benchmark dataset of photodiode measurements from an LPBF specimen with deliberate overheating anomalies at some layers. The results from the case study demonstrate that the MSD features yield the best performance for all classifiers, and the MVE classifier (with a mean F1-score of 0.8654) surpasses the individual ML classifiers. Moreover, our machine learning methodology achieves superior results (9.66% improvement in mean F1-score) in detecting layer-wise overheating anomalies, surpassing the existing methods in the literature that use the same benchmark dataset.