Regime-switching poses both problems and opportunities for portfolio managers. If a switch in the behaviour of the markets is not quickly detected it can be a source of loss, since previous trading positions may be inappropriate in the new regime. However, if a regime-switch can be detected quickly, and especially if it can be predicted ahead of time, these changes in market behaviour can instead be a source of substantial profit. The work of this paper builds on two previous works by the authors, the first of these dealing with regime detection and the second, which is an extension of the first, with regime prediction. Specifically, this work uses our previous regime-prediction model (KMRF) within a framework of multi-period portfolio optimisation, achieved by model predictive control, (MPC), with the KMRF-derived return estimates accuracy-boosted by means of a novel use of a Kalman filter. The resulting proposed model, which we term the KMRF+MPC model, to reflect its constituent methodologies, is demonstrated to outperform industry-standard benchmarks, even though it is restricted, in order to be acceptable to the widest range of investors, to long-only positions.
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ACM/IEEE第23屆模型驅動工程語言和系統國際會議，是模型驅動軟件和系統工程的首要會議系列，由ACM-SIGSOFT和IEEE-TCSE支持組織。自1998年以來，模型涵蓋了建模的各個方面，從語言和方法到工具和應用程序。模特的參加者來自不同的背景，包括研究人員、學者、工程師和工業專業人士。MODELS 2019是一個論壇，參與者可以圍繞建模和模型驅動的軟件和系統交流前沿研究成果和創新實踐經驗。今年的版本將為建模社區提供進一步推進建模基礎的機會，并在網絡物理系統、嵌入式系統、社會技術系統、云計算、大數據、機器學習、安全、開源等新興領域提出建模的創新應用以及可持續性。
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Compared to CNN-based methods, Transformer-based methods achieve impressive image restoration outcomes due to their abilities to model remote dependencies. However, how to apply Transformer-based methods to the field of blind super-resolution (SR) and further make an SR network adaptive to degradation information is still an open problem. In this paper, we propose a new degradation-aware self-attention-based Transformer model, where we incorporate contrastive learning into the Transformer network for learning the degradation representations of input images with unknown noise. In particular, we integrate both CNN and Transformer components into the SR network, where we first use the CNN modulated by the degradation information to extract local features, and then employ the degradation-aware Transformer to extract global semantic features. We apply our proposed model to several popular large-scale benchmark datasets for testing, and achieve the state-of-the-art performance compared to existing methods. In particular, our method yields a PSNR of 32.43 dB on the Urban100 dataset at $\times$2 scale, 0.94 dB higher than DASR, and 26.62 dB on the Urban100 dataset at $\times$4 scale, 0.26 dB improvement over KDSR, setting a new benchmark in this area. Source code is available at: //github.com/I2-Multimedia-Lab/DSAT/tree/main.
Standard Recurrent Neural Network Transducers (RNN-T) decoding algorithms for speech recognition are iterating over the time axis, such that one time step is decoded before moving on to the next time step. Those algorithms result in a large number of calls to the joint network, which were shown in previous work to be an important factor that reduces decoding speed. We present a decoding beam search algorithm that batches the joint network calls across a segment of time steps, which results in 20%-96% decoding speedups consistently across all models and settings experimented with. In addition, aggregating emission probabilities over a segment may be seen as a better approximation to finding the most likely model output, causing our algorithm to improve oracle word error rate by up to 11% relative as the segment size increases, and to slightly improve general word error rate.
Gait analysis leverages unique walking patterns for person identification and assessment across multiple domains. Among the methods used for gait analysis, skeleton-based approaches have shown promise due to their robust and interpretable features. However, these methods often rely on hand-crafted spatial-temporal graphs that are based on human anatomy disregarding the particularities of the dataset and task. This paper proposes a novel method to simplify the spatial-temporal graph representation for gait-based gender estimation, improving interpretability without losing performance. Our approach employs two models, an upstream and a downstream model, that can adjust the adjacency matrix for each walking instance, thereby removing the fixed nature of the graph. By employing the Straight-Through Gumbel-Softmax trick, our model is trainable end-to-end. We demonstrate the effectiveness of our approach on the CASIA-B dataset for gait-based gender estimation. The resulting graphs are interpretable and differ qualitatively from fixed graphs used in existing models. Our research contributes to enhancing the explainability and task-specific adaptability of gait recognition, promoting more efficient and reliable gait-based biometrics.
Basis splines enable a time-continuous feasibility check with a finite number of constraints. Constraints apply to the whole trajectory for motion planning applications that require a collision-free and dynamically feasible trajectory. Existing motion planners that rely on gradient-based optimization apply time scaling to implement a shrinking planning horizon. They neither guarantee a recursively feasible trajectory nor enable reaching two terminal manifold parts at different time scales. This paper proposes a nonlinear optimization problem that addresses the drawbacks of existing approaches. Therefore, the spline breakpoints are included in the optimization variables. Transformations between spline bases are implemented so a sparse problem formulation is achieved. A strategy for breakpoint removal enables the convergence into a terminal manifold. The evaluation in an overtaking scenario shows the influence of the breakpoint number on the solution quality and the time required for optimization.
Location-awareness is essential in various wireless applications. The capability of performing precise ranging is substantial in achieving high-accuracy localization. Due to the notorious ambiguity phenomenon, optimal ranging waveforms should be adaptive to the signal-to-noise ratio (SNR). In this letter, we propose to use the Ziv-Zakai bound (ZZB) as the ranging performance metric, as well as an associated waveform design algorithm having theoretical guarantee of achieving the optimal ZZB at a given SNR. Numerical results suggest that, in stark contrast to the well-known high-SNR design philosophy, the detection probability of the ranging signal becomes more important than the resolution in the low-SNR regime.
Model Predictive Control lacks the ability to escape local minima in nonconvex problems. Furthermore, in fast-changing, uncertain environments, the conventional warmstart, using the optimal trajectory from the last timestep, often falls short of providing an adequately close initial guess for the current optimal trajectory. This can potentially result in convergence failures and safety issues. Therefore, this paper proposes a framework for learning-aided warmstarts of Model Predictive Control algorithms. Our method leverages a neural network based multimodal predictor to generate multiple trajectory proposals for the autonomous vehicle, which are further refined by a sampling-based technique. This combined approach enables us to identify multiple distinct local minima and provide an improved initial guess. We validate our approach with Monte Carlo simulations of traffic scenarios.
Many pre-trained large-scale models provided online have become highly effective in transferring to downstream tasks. At the same time, various task-specific models fine-tuned on these pre-trained models are available online for public use. In practice, as collecting task-specific data is labor-intensive and fine-tuning the large pre-trained models is computationally expensive, one can reuse task-specific finetuned models to deal with downstream tasks. However, using a model per task causes a heavy burden on storage and serving. Recently, many training-free and parameter-efficient methods have been proposed for reusing multiple fine-tuned task-specific models into a single multi-task model. However, these methods exhibit a large accuracy gap compared with using a fine-tuned model per task. In this paper, we propose Parameter-Efficient methods for ReUsing (PERU) fine-tuned models. For reusing Fully Fine-Tuned (FFT) models, we propose PERU-FFT by injecting a sparse task vector into a merged model by magnitude pruning. For reusing LoRA fine-tuned models, we propose PERU-LoRA use a lower-rank matrix to approximate the LoRA matrix by singular value decomposition. Both PERUFFT and PERU-LoRA are training-free. Extensive experiments conducted on computer vision and natural language process tasks demonstrate the effectiveness and parameter-efficiency of the proposed methods. The proposed PERU-FFT and PERU-LoRA outperform existing reusing model methods by a large margin and achieve comparable performance to using a fine-tuned model per task.
Vast amount of data generated from networks of sensors, wearables, and the Internet of Things (IoT) devices underscores the need for advanced modeling techniques that leverage the spatio-temporal structure of decentralized data due to the need for edge computation and licensing (data access) issues. While federated learning (FL) has emerged as a framework for model training without requiring direct data sharing and exchange, effectively modeling the complex spatio-temporal dependencies to improve forecasting capabilities still remains an open problem. On the other hand, state-of-the-art spatio-temporal forecasting models assume unfettered access to the data, neglecting constraints on data sharing. To bridge this gap, we propose a federated spatio-temporal model -- Cross-Node Federated Graph Neural Network (CNFGNN) -- which explicitly encodes the underlying graph structure using graph neural network (GNN)-based architecture under the constraint of cross-node federated learning, which requires that data in a network of nodes is generated locally on each node and remains decentralized. CNFGNN operates by disentangling the temporal dynamics modeling on devices and spatial dynamics on the server, utilizing alternating optimization to reduce the communication cost, facilitating computations on the edge devices. Experiments on the traffic flow forecasting task show that CNFGNN achieves the best forecasting performance in both transductive and inductive learning settings with no extra computation cost on edge devices, while incurring modest communication cost.
In semi-supervised domain adaptation, a few labeled samples per class in the target domain guide features of the remaining target samples to aggregate around them. However, the trained model cannot produce a highly discriminative feature representation for the target domain because the training data is dominated by labeled samples from the source domain. This could lead to disconnection between the labeled and unlabeled target samples as well as misalignment between unlabeled target samples and the source domain. In this paper, we propose a novel approach called Cross-domain Adaptive Clustering to address this problem. To achieve both inter-domain and intra-domain adaptation, we first introduce an adversarial adaptive clustering loss to group features of unlabeled target data into clusters and perform cluster-wise feature alignment across the source and target domains. We further apply pseudo labeling to unlabeled samples in the target domain and retain pseudo-labels with high confidence. Pseudo labeling expands the number of ``labeled" samples in each class in the target domain, and thus produces a more robust and powerful cluster core for each class to facilitate adversarial learning. Extensive experiments on benchmark datasets, including DomainNet, Office-Home and Office, demonstrate that our proposed approach achieves the state-of-the-art performance in semi-supervised domain adaptation.
Multi-relation Question Answering is a challenging task, due to the requirement of elaborated analysis on questions and reasoning over multiple fact triples in knowledge base. In this paper, we present a novel model called Interpretable Reasoning Network that employs an interpretable, hop-by-hop reasoning process for question answering. The model dynamically decides which part of an input question should be analyzed at each hop; predicts a relation that corresponds to the current parsed results; utilizes the predicted relation to update the question representation and the state of the reasoning process; and then drives the next-hop reasoning. Experiments show that our model yields state-of-the-art results on two datasets. More interestingly, the model can offer traceable and observable intermediate predictions for reasoning analysis and failure diagnosis.
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