arXiv research

We introduce the C++ application and R package ranger. The software is a fast implementation of random forests for high dimensional data. Ensembles of classification, regression and survival trees are supported. We describe the implementation, provide examples, validate the package with a reference implementation, and …

Due to their prevalence, time series forecasting is crucial in multiple domains. We seek to make state-of-the-art forecasting fast, accessible, and generalizable. ES-RNN is a hybrid between classical state space forecasting models and modern RNNs that achieved a 9.4% sMAPE improvement in the M4 competition. Crucially, …

New algorithms for approximating stochastic processes efficiently.

New method speeds up Gaussian process inference for large datasets.

We introduce a novel incremental decision tree learning algorithm, Hoeffding Anytime Tree, that is statistically more efficient than the current state-of-the-art, Hoeffding Tree. We demonstrate that an implementation of Hoeffding Anytime Tree---"Extremely Fast Decision Tree", a minor modification to the MOA implementat…

We consider efficient implementations of the generalized lasso dual path algorithm of Tibshirani and Taylor (2011). We first describe a generic approach that covers any penalty matrix D and any (full column rank) matrix X of predictor variables. We then describe fast implementations for the special cases of trend filte…

Convolutional autoregressive models have recently demonstrated state-of-the-art performance on a number of generation tasks. While fast, parallel training methods have been crucial for their success, generation is typically implemented in a naïve fashion where redundant computations are unnecessarily repeated. This res…

Fast-vollib offers high-performance option pricing and IV computation.

We revisit a pioneer unsupervised learning technique called archetypal analysis, which is related to successful data analysis methods such as sparse coding and non-negative matrix factorization. Since it was proposed, archetypal analysis did not gain a lot of popularity even though it produces more interpretable models…

abess efficiently solves various machine learning problems quickly.

Rgtsvm provides a fast and flexible support vector machine (SVM) implementation for the R language. The distinguishing feature of Rgtsvm is that support vector classification and support vector regression tasks are implemented on a graphical processing unit (GPU), allowing the libraries to scale to millions of examples…

Develops a fast algorithm for fitting multilevel factor models.

GPU-accelerated BART speeds up Bayesian regression.

We unify recent neural approaches to one-shot learning with older ideas of associative memory in a model for metalearning. Our model learns jointly to represent data and to bind class labels to representations in a single shot. It builds representations via slow weights, learned across tasks through SGD, while fast wei…

This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to estimate option prices. Then we consider the implementation of the Heston model, showing that relatively simple solutions can lead to fast and accurate vanilla o…

Fast algorithm for braid group Hecke representation, applied to knot invariants.

By reducing optimization to a sequence of smaller subproblems, working set algorithms achieve fast convergence times for many machine learning problems. Despite such performance, working set implementations often resort to heuristics to determine subproblem size, makeup, and stopping criteria. We propose BlitzWS, a wor…

Enhances Fourier estimator performance for asynchronous event-data.

We describe the multi-GPU gradient boosting algorithm implemented in the XGBoost library (https://github.com/dmlc/xgboost). Our algorithm allows fast, scalable training on multi-GPU systems with all of the features of the XGBoost library. We employ data compression techniques to minimise the usage of scarce GPU memory …

We speed up Gaussian process cross-validation calculations and improve model diagnostics.

The implementation of conventional sparse principal component analysis (SPCA) on high-dimensional data sets has become a time consuming work. In this paper, a series of subspace projections are constructed efficiently by using Household QR factorization. With the aid of these subspace projections, a fast deflation meth…

Given a collection of categorical data, we want to find the parameters of a Dirichlet distribution which maximizes the likelihood of that data. Newton's method is typically used for this purpose but current implementations require reading through the entire dataset on each iteration. In this paper, we propose a modific…

The article describes the algorithm used to define the electricity price in day-ahead and itraday energy markets in Italy. Details of Matlab implementation of one of its simplified versions, capable of producing good results in a extremely short time, are then provided and numerical results are discussed.

This report provides an introduction to some Machine Learning tools within the most common development environments. It mainly focuses on practical problems, skipping any theoretical introduction. It is oriented to both students trying to approach Machine Learning and experts looking for new frameworks.

Fast variational Bayes methods improve geospatial data analysis speed and accuracy.

VSML unifies meta learning concepts and enables simple backpropagation.

We propose a fast algorithm for computing the economic capital, Value at Risk and Greeks in the Gaussian factor model. The algorithm proposed here is much faster than brute force Monte Carlo simulations or Fourier transform based methods \cite{MD}. While the algorithm of Hull-White \cite{HW} is comparably fast, it assu…

We implement a master-slave parallel genetic algorithm (PGA) with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions. We use graphics processing units (GPUs) to implement a PGA and visualise the results using disjoint minimal spanning trees (MSTs). We demonstrate that our GP…

Manifold Learning is a class of algorithms seeking a low-dimensional non-linear representation of high-dimensional data. Thus manifold learning algorithms are, at least in theory, most applicable to high-dimensional data and sample sizes to enable accurate estimation of the manifold. Despite this, most existing manifol…

Until recently, research on artificial neural networks was largely restricted to systems with only two types of variable: Neural activities that represent the current or recent input and weights that learn to capture regularities among inputs, outputs and payoffs. There is no good reason for this restriction. Synapses …

Canonical Correlation Analysis (CCA) is a widely used statistical tool with both well established theory and favorable performance for a wide range of machine learning problems. However, computing CCA for huge datasets can be very slow since it involves implementing QR decomposition or singular value decomposition of h…

In this paper we propose WaveGlow: a flow-based network capable of generating high quality speech from mel-spectrograms. WaveGlow combines insights from Glow and WaveNet in order to provide fast, efficient and high-quality audio synthesis, without the need for auto-regression. WaveGlow is implemented using only a singl…

In this paper, we present iPrescribe, a scalable low-latency architecture for recommending 'next-best-offers' in an online setting. The paper presents the design of iPrescribe and compares its performance for implementations using different real-time streaming technology stacks. iPrescribe uses an ensemble of deep lear…

Exchanges implement intentional trade delays to limit the harmful impact of low-latency trading. Do such "speed bumps" curb investment in fast trading technology? Data is scarce since trading technologies are proprietary. We build an experimental trading platform where participants face speed bumps and can invest in fa…

In this letter, we propose an algorithm for recovery of sparse and low rank components of matrices using an iterative method with adaptive thresholding. In each iteration, the low rank and sparse components are obtained using a thresholding operator. This algorithm is fast and can be implemented easily. We compare it w…

A fast, robust AMP algorithm for quadratic optimization problems.

A fast algorithm selects best subsets in high-dimensional models.

Two new algorithms speed up TreeSHAP computation for tree-based models.

Simple method solves Quanto Skew problem.

BlackJAX simplifies Bayesian inference with modular, fast implementations.

TorchBeast is a platform for reinforcement learning (RL) research in PyTorch. It implements a version of the popular IMPALA algorithm for fast, asynchronous, parallel training of RL agents. Additionally, TorchBeast has simplicity as an explicit design goal: We provide both a pure-Python implementation ("MonoBeast") as …

There is a recent interest in neural network (NN)-based communication algorithms which have shown to achieve (beyond) state-of-the-art performance for a variety of problems or lead to reduced implementation complexity. However, most work on this topic is simulation based and implementation on specialized hardware for f…

State-of-the-art implementations of boosting, such as XGBoost and LightGBM, can process large training sets extremely fast. However, this performance requires that the memory size is sufficient to hold a 2-3 multiple of the training set size. This paper presents an alternative approach to implementing the boosted trees…

Efficiently checks local robustness in neural networks using geometric projections.

Efficient trainable front-end for neural speech enhancement.

The performance of sparse signal recovery from noise corrupted, underdetermined measurements can be improved if both sparsity and correlation structure of signals are exploited. One typical correlation structure is the intra-block correlation in block sparse signals. To exploit this structure, a framework, called block…

We propose a novel accelerated exact k-means algorithm, which performs better than the current state-of-the-art low-dimensional algorithm in 18 of 22 experiments, running up to 3 times faster. We also propose a general improvement of existing state-of-the-art accelerated exact k-means algorithms through better estimate…

Develops a novel fast bootstrap for dependent data with higher-order accuracy.