Machine learning factors outperform traditional portfolio optimization methods.
problem Comparing machine learning and traditional portfolio optimization methods.
method Examined machine learning and factor-based portfolio optimization using autoencoder neural networks and dimensionality reduction techniques.
result Minimum-variance portfolios using latent factors derived from autoencoders and sparse methods outperform simpler benchmarks in risk minimization.
Nonnegative Boltzmann machines (NNBMs) are recurrent probabilistic neural network models that can describe multi-modal nonnegative data. NNBMs form rectified Gaussian distributions that appear in biological neural network models, positive matrix factorization, nonnegative matrix factorization, and so on. In this paper,…
Recommendation systems and computing advertisements have gradually entered the field of academic research from the field of commercial applications. Click-through rate prediction is one of the core research issues because the prediction accuracy affects the user experience and the revenue of merchants and platforms. Fe…
Paper explores subdifferential chain rules for matrix factorization and related machine learning models.
problem Clarke subdifferential chain rules for matrix factorization and factorization machines.
method Analyzes conditions for subdifferential chain rules to hold, especially for overparameterized models.
result Subdifferential chain rules hold for matrix factorization and factorization machines under certain conditions.
Tackling pattern recognition problems in areas such as computer vision, bioinformatics, speech or text recognition is often done best by taking into account task-specific statistical relations between output variables. In structured prediction, this internal structure is used to predict multiple outputs simultaneously,…
The study compares different models for predicting factor premiums and finds neural networks perform better but have unstable weights.
problem Predicting and timing the CMA factor premium using machine learning models.
method Compared regression models (OLS, Ridge, Random Forest, Neural Network) and tested factor timing strategies.
result Neural networks outperform linear models in explaining factor premium variance, but weights are unstable.
Deep weight factorization improves neural network training through smooth optimization of sparse penalties.
problem Challenges in applying sparse regularization in neural networks due to non-differentiability of penalties.
method Introduces deep weight factorization, decomposing weights into multiple factors for smooth optimization of L1-penalized networks. result Deep weight factorization outperforms shallow factorization and pruning methods consistently across various architectures and datasets.
Paper examines power consumption in neural networks using various activation functions.
problem Power consumption in machine learning models.
method Examines power consumption for different activation functions.
result Substantial differences in power consumption exist between activation functions.
New method for individual claims reserving using machine learning.
problem Traditional claims reserving methods are limited in individual claim prediction.
method Restructured data utilization for CL prediction, using multi-period factors.
result Neural networks applied for individual claims reserving.
Study proposes a new method for deep portfolio optimization using residual factors.
problem Non-stationary financial market makes traditional machine learning methods ineffective.
method Predict distribution of residual factors using a novel neural network architecture with financial inductive biases.
result Demonstrated improved performance on U.S. and Japanese stock market data.
The paper studies how neural policies can be interpreted using decision trees.
problem Understanding how machine learning controllers make decisions in complex environments.
method The approach involves disentangled representation using decision trees to interpret neural policies.
result The paper shows that disentanglement of learned neural dynamics improves interpretability.
NeuralFactors uses deep learning to improve factor analysis in equity modeling.
problem Enhancing classical factor models for better risk forecasting and portfolio construction.
method Introduces a novel machine-learning approach (NeuralFactors) that outputs factor exposures and returns, trained using variational autoencoders.
result NeuralFactors outperforms prior approaches in log-likelihood performance and computational efficiency.
Paper uses LSTM to predict inflation, finds it performs well over long periods.
problem Predicting inflation using machine learning models.
method Applies LSTM, a recurrent neural network, to forecast inflation over time.
result LSTM model performs well at long horizons and during uncertain economic times.
Neural networks outperform single-hour models in day-ahead electricity price forecasting.
problem Improving accuracy in day-ahead electricity price forecasting.
method Compared two neural network structures: one-hour models and daily auction models.
result Daily auction models outperform one-hour models in forecasting accuracy.
Proposes FEFM and DeepFEFM for CTR prediction, outperforming state-of-the-art models.
problem Click-through rate prediction in online applications.
method Field-Embedded Factorization Machine (FEFM) and its deep counterpart DeepFEFM, combining feature embeddings and deep neural networks.
result FEFM and DeepFEFM outperform existing models in CTR prediction tasks.
ELM speeds up financial machine learning tasks.
problem Efficiently solving time-sensitive financial tasks with machine learning.
method Single-layer neural networks with random initialization and convex optimization.
result ELM achieves significant computational efficiency in financial applications.
Neural network implementation of Brenier's polar factorization for vector fields.
problem Implementing Brenier's polar factorization theorem for vector fields using neural networks.
method Parameterizing the convex function u as an input convex neural network and estimating the measure-preserving map M. result Practical neural implementation of Brenier's polar factorization theorem.
This paper investigates the impact of normalization on deep neural networks for click-through rate prediction.
problem The effect of normalization on deep neural network models for CTR estimation.
method Systematic study of various normalization approaches applied to feature embedding and MLP part of DNN models.
result Correct normalization significantly enhances model performance, as demonstrated by extensive experiments on real-world datasets.
The proliferation of healthcare data has brought the opportunities of applying data-driven approaches, such as machine learning methods, to assist diagnosis. Recently, many deep learning methods have been shown with impressive successes in predicting disease status with raw input data. However, the "black-box" nature o…
Hardware-accelerated RBM solves large combinatorial problems and integer factorization.
problem Solving large combinatorial optimization and integer factorization problems.
method Logically synthesized RBM architecture, hardware acceleration, and efficient training methods.
result Hardware-accelerated RBM factorizes 16-bit numbers with 10000x speed and 32x power improvements.
FedSplit improves federated learning for heterogeneous data.
problem Data heterogeneity in federated learning degrades convergence and performance.
method FedSplit splits data into shared and personalized groups, optimizing a novel objective function.
result FedSplit converges faster and performs better than standard federated learning.
Learned factor graphs improve inference from time sequences using neural networks.
problem Inference from time sequences with limited labeled data.
method Combines model-based algorithms and data-driven ML tools for stationary time sequences.
result Learned factor graphs can accurately infer from small training sets.
General fuzzy min-max (GFMM) neural network is a generalization of fuzzy neural networks formed by hyperbox fuzzy sets for classification and clustering problems. Two principle algorithms are deployed to train this type of neural network, i.e., incremental learning and agglomerative learning. This paper presents a comp…
Item response theory (IRT) is a non-linear generative probabilistic paradigm for using exams to identify, quantify, and compare latent traits of individuals, relative to their peers, within a population of interest. In pre-existing multidimensional IRT methods, one requires a factorization of the test items. For this t…
Advertising and feed ranking are essential to many Internet companies such as Facebook and Sina Weibo. Among many real-world advertising and feed ranking systems, click through rate (CTR) prediction plays a central role. There are many proposed models in this field such as logistic regression, tree based models, factor…
p3VAE combines physics and machine learning for robust data representations.
problem Improving machine learning models' robustness to environmental factors of variation.
method Physics-informed variational autoencoder integrating physical knowledge with neural networks.
result p3VAE outperforms competing models in extrapolation and interpretability. New method makes machine learning approximations unbiased and efficient.
problem Efficient sampling of complex probability distributions.
method Uses autoregressive neural networks with cluster updates and physical symmetries.
result Shows unbiased and low-variance approximations for phase transitions.
Study evaluates machine learning methods for uncertainty quantification in complex systems.
problem Accurately quantify epistemic and aleatoric uncertainties in complex dynamical systems.
method Examined Gaussian processes, UQ-augmented neural networks (ENN, BNN, D-NN, G-NN) on two model data sets.
result Concluded on model architecture and hyperparameter tuning for improved UQ accuracy.
Supervised machine learning models often associate irrelevant nuisance factors with the prediction target, which hurts generalization. We propose a framework for training robust neural networks that induces invariance to nuisances through learning to discover and separate predictive and nuisance factors of data. We pre…
A neural network method determines the latent dimensionality of NMF.
problem Determining the correct number of hidden features (latent dimensionality) in NMF.
method Combining NMFk with an MLP classifier trained on a dataset of matrices with known latent features.
result The MLP classifier in conjunction with NMFk achieves a greater than 95% success rate in determining the correct number of latent features.
GEM improves recommendation by capturing complex feature interactions.
problem Capturing complex high-order interaction signals in feature-based recommendation models.
method Integrates graph convolution networks to generate high-order embeddings and combines with FM-based models.
result Significant improvement in recommendation performance over baselines.
New neural network solves Nirenberg problem for curvature on sphere.
problem Prescribing Gaussian curvature on S2 for metrics conformal to the round metric. method Mesh-free physics-informed neural network (PINN) that directly parametrises the conformal factor.
result Neural network achieves very low losses for realisable curvatures, distinguishing them from non-realisable ones.
New RBM model outperforms copula models in credit risk management.
problem Approximating credit portfolio losses accurately and efficiently.
method Restricted Boltzmann Machines for universal approximation of loss distributions.
result RBM model outperforms parametric copula models in various credit risk tasks.
Paper proposes NNAFC for automatic financial factor construction.
problem Manual factor construction is time-consuming and prone to bias.
method NNAFC uses neural networks to automatically construct diversified financial factors.
result NNAFC outperforms GP in constructing more informative and diversified factors.
Proposes a new method for uncertainty estimation in neural networks.
problem Uncertainty quantification in neural networks for high-risk applications.
method Intuitive framework based on signal-to-noise ratio and variance-gated measure.
result Demonstrates a collapse in diversity of committee machines.
Interpretability has become an important issue in the machine learning field, along with the success of layered neural networks in various practical tasks. Since a trained layered neural network consists of a complex nonlinear relationship between large number of parameters, we failed to understand how they could achie…
Factor analysis or sometimes referred to as variable analysis has been extensively used in classification problems for identifying specific factors that are significant to particular classes. This type of analysis has been widely used in application such as customer segmentation, medical research, network traffic, imag…
Dropout controls model capacity in deep learning and matrix completion.
problem Controlling model capacity in deep learning and matrix completion problems.
method Investigates dropout's effect on model capacity and Rademacher complexity.
result Dropout induces a regularizer that controls model capacity in expectation.
Matrix factorization is at the heart of many machine learning algorithms, for example, dimensionality reduction (e.g. kernel PCA) or recommender systems relying on collaborative filtering. Understanding a singular value decomposition (SVD) of a matrix as a neural network optimization problem enables us to decompose lar…
Boltzmann machines are undirected graphical models with two-state stochastic variables, in which the logarithms of the clique potentials are quadratic functions of the node states. They have been widely studied in the neural computing literature, although their practical applicability has been limited by the difficulty…
New method improves sales forecasting accuracy using tensor factorization.
problem Improving sales forecasting accuracy in retail businesses.
method Advanced Temporal Latent-factor Approach to Sales forecasting (ATLAS) using tensor factorization.
result Accurate and individualized prediction for sales across multiple stores and products.
Graph neural networks speed up nonnegative matrix factorization.
problem Efficiently factorize nonnegative matrices for various applications.
method Developed a graph neural network that combines bipartite self-attention with ADMM updates.
result Significant acceleration achieved in nonnegative matrix factorization.
The paper explores indeterminacy in latent factor projections and its implications for data representation.
problem Indeterminacy in latent factor projections and its implications for data representation.
method Analyzes the fundamental problem of indeterminacy in latent factor projections and discusses its implications for data representation.
result Latent factor determinacy across all facets is achieved when the feature-dimension grows to infinity.
Study examines how digital image alterations affect AI classification models.
problem Impact of digital alterations on image classification models.
method Evaluation of state-of-the-art machine learning models under various digital image alterations.
result Discoveries in training techniques to enhance model robustness.
Extracts factors from Treasury yields using ML techniques.
problem Understanding factors underlying Treasury yields.
method Nonnegative Matrix Factorization (NMF) and clustering.
result Factors identified through NMF and clustering.
Machine learning models outperform traditional econometric methods for forecasting term structure of government bonds
problem Forecasting the term structure of government bonds
method Combining traditional econometric models with neural network architectures
result Neural network models consistently outperform traditional models in both forecasting accuracy and portfolio performance
DS-FACTO optimizes factorization machines for large-scale datasets.
problem High memory overheads of factorization machines on large datasets.
method Hybrid-parallel stochastic optimization algorithm DS-FACTO.
result DS-FACTO reduces memory requirements and scales to large datasets.
Paper uses machine learning to uncover nonlinear dynamics in CAT bond pricing.
problem Traditional linear models miss nonlinear relationships in CAT bond pricing.
method Advanced machine learning techniques applied to CAT bond transaction records.
result Machine learning enhances CAT bond pricing accuracy and reveals complex risk interactions.