This paper introduces a dynamic minimum variance portfolio (MVP) model using nonlinear volatility dynamic models, based on high-frequency financial data. Specifically, we impose an autoregressive dynamic structure on MVP processes, which helps capture the MVP dynamics directly. To evaluate the dynamic MVP model, we estimate the inverse volatility matrix using the constrained $\ell_1$-minimization for inverse matrix estimation (CLIME) and calculate daily realized non-normalized MVP weights. Based on the realized non-normalized MVP weight estimator, we propose the dynamic MVP model, which we call the dynamic realized minimum variance portfolio (DR-MVP) model. To estimate a large number of parameters, we employ the least absolute shrinkage and selection operator (LASSO) and predict the future MVP and establish its asymptotic properties. Using high-frequency trading data, we apply the proposed method to MVP prediction.
This paper studies using foundational large language models (LLMs) to make decisions during hyperparameter optimization (HPO). Empirical evaluations demonstrate that in settings with constrained search budgets, LLMs can perform comparably or better than traditional HPO methods like random search and Bayesian optimization on standard benchmarks. Furthermore, we propose to treat the code specifying our model as a hyperparameter, which the LLM outputs, going beyond the capabilities of existing HPO approaches. Our findings suggest that LLMs are a promising tool for improving efficiency in the traditional decision-making problem of hyperparameter optimization.
Text-to-image generation using diffusion models has seen explosive popularity owing to their ability in producing high quality images adhering to text prompts. However, production-grade diffusion model serving is a resource intensive task that not only require high-end GPUs which are expensive but also incurs considerable latency. In this paper, we introduce a technique called approximate-caching that can reduce such iterative denoising steps for an image generation based on a prompt by reusing intermediate noise states created during a prior image generation for similar prompts. Based on this idea, we present an end to end text-to-image system, Nirvana, that uses the approximate-caching with a novel cache management-policy Least Computationally Beneficial and Frequently Used (LCBFU) to provide % GPU compute savings, 19.8% end-to-end latency reduction and 19% dollar savings, on average, on two real production workloads. We further present an extensive characterization of real production text-to-image prompts from the perspective of caching, popularity and reuse of intermediate states in a large production environment.
We present a first step towards 4D (3D and time) human video stylization, which addresses style transfer, novel view synthesis and human animation within a unified framework. While numerous video stylization methods have been developed, they are often restricted to rendering images in specific viewpoints of the input video, lacking the capability to generalize to novel views and novel poses in dynamic scenes. To overcome these limitations, we leverage Neural Radiance Fields (NeRFs) to represent videos, conducting stylization in the rendered feature space. Our innovative approach involves the simultaneous representation of both the human subject and the surrounding scene using two NeRFs. This dual representation facilitates the animation of human subjects across various poses and novel viewpoints. Specifically, we introduce a novel geometry-guided tri-plane representation, significantly enhancing feature representation robustness compared to direct tri-plane optimization. Following the video reconstruction, stylization is performed within the NeRFs' rendered feature space. Extensive experiments demonstrate that the proposed method strikes a superior balance between stylized textures and temporal coherence, surpassing existing approaches. Furthermore, our framework uniquely extends its capabilities to accommodate novel poses and viewpoints, making it a versatile tool for creative human video stylization.
A bipartite graph extensively models relationships between real-world entities of two different types, such as user-product data in e-commerce. Such graph data are inherently becoming more and more streaming, entailing continuous insertions and deletions of edges. A butterfly (i.e., 2x2 bi-clique) is the smallest non-trivial cohesive structure that plays a crucial role. Counting such butterfly patterns in streaming bipartite graphs is a core problem in applications such as dense subgraph discovery and anomaly detection. Yet, existing approximate solutions consider insert-only streams and, thus, achieve very low accuracy in fully dynamic bipartite graph streams that involve both insertions and deletions of edges. Adapting them to consider deletions is not trivial either, because different sampling schemes and new accuracy analyses are required. In this paper, we propose Abacus, a novel approximate algorithm that counts butterflies in the presence of both insertions and deletions by utilizing sampling. We prove that Abacus always delivers unbiased estimates of low variance. Furthermore, we extend Abacus and devise a parallel mini-batch variant, namely, Parabacus, which counts butterflies in parallel. Parabacus counts butterflies in a load-balanced manner using versioned samples, which results in significant speedup and is thus ideal for critical applications in the streaming environment. We evaluate Abacus/Parabacus using a diverse set of real bipartite graphs and assess its performance in terms of accuracy, throughput, and speedup. The results indicate that our proposal is the first capable of efficiently providing accurate butterfly counts in the most generic setting, i.e., a fully dynamic graph streaming environment that entails both insertions and deletions. It does so without sacrificing throughput and even improving it with the parallel version.
We present a new approach for estimating parameters in rational ODE models from given (measured) time series data. In a typical existing approach, one first tries to make a good initial guess for the parameter values. Then, in a loop, the corresponding outputs are computed by solving the ODE numerically, followed by computing the error from the given time series data. If the error is small, the loop terminates and the parameter values are returned. Otherwise, heuristics/theories are used to possibly improve the guess and continue the loop. A downside of this approach is non-robustness, as there are no guarantees for the result of the loop iterations to be predictably close to the true parameter values. In this paper, we propose a new approach, which does not suffer from the above non-robustness. In particular, it does not require making good initial guesses for the parameter values. Instead, it uses differential algebra, interpolation of the data using rational functions, and multivariate polynomial system solving, and has a potential for a complete user control over the error of the estimation (the actual error analysis is left for the future research). We also compare the performance of the resulting software with several other estimation software packages.
This paper presents a new approach for assembling graph neural networks based on framelet transforms. The latter provides a multi-scale representation for graph-structured data. With the framelet system, we can decompose the graph feature into low-pass and high-pass frequencies as extracted features for network training, which then defines a framelet-based graph convolution. The framelet decomposition naturally induces a graph pooling strategy by aggregating the graph feature into low-pass and high-pass spectra, which considers both the feature values and geometry of the graph data and conserves the total information. The graph neural networks with the proposed framelet convolution and pooling achieve state-of-the-art performance in many types of node and graph prediction tasks. Moreover, we propose shrinkage as a new activation for the framelet convolution, which thresholds the high-frequency information at different scales. Compared to ReLU, shrinkage in framelet convolution improves the graph neural network model in terms of denoising and signal compression: noises in both node and structure can be significantly reduced by accurately cutting off the high-pass coefficients from framelet decomposition, and the signal can be compressed to less than half its original size with the prediction performance well preserved.
Knowledge graph (KG) embedding encodes the entities and relations from a KG into low-dimensional vector spaces to support various applications such as KG completion, question answering, and recommender systems. In real world, knowledge graphs (KGs) are dynamic and evolve over time with addition or deletion of triples. However, most existing models focus on embedding static KGs while neglecting dynamics. To adapt to the changes in a KG, these models need to be re-trained on the whole KG with a high time cost. In this paper, to tackle the aforementioned problem, we propose a new context-aware Dynamic Knowledge Graph Embedding (DKGE) method which supports the embedding learning in an online fashion. DKGE introduces two different representations (i.e., knowledge embedding and contextual element embedding) for each entity and each relation, in the joint modeling of entities and relations as well as their contexts, by employing two attentive graph convolutional networks, a gate strategy, and translation operations. This effectively helps limit the impacts of a KG update in certain regions, not in the entire graph, so that DKGE can rapidly acquire the updated KG embedding by a proposed online learning algorithm. Furthermore, DKGE can also learn KG embedding from scratch. Experiments on the tasks of link prediction and question answering in a dynamic environment demonstrate the effectiveness and efficiency of DKGE.
We investigate a lattice-structured LSTM model for Chinese NER, which encodes a sequence of input characters as well as all potential words that match a lexicon. Compared with character-based methods, our model explicitly leverages word and word sequence information. Compared with word-based methods, lattice LSTM does not suffer from segmentation errors. Gated recurrent cells allow our model to choose the most relevant characters and words from a sentence for better NER results. Experiments on various datasets show that lattice LSTM outperforms both word-based and character-based LSTM baselines, achieving the best results.
This paper proposes a method to modify traditional convolutional neural networks (CNNs) into interpretable CNNs, in order to clarify knowledge representations in high conv-layers of CNNs. In an interpretable CNN, each filter in a high conv-layer represents a certain object part. We do not need any annotations of object parts or textures to supervise the learning process. Instead, the interpretable CNN automatically assigns each filter in a high conv-layer with an object part during the learning process. Our method can be applied to different types of CNNs with different structures. The clear knowledge representation in an interpretable CNN can help people understand the logics inside a CNN, i.e., based on which patterns the CNN makes the decision. Experiments showed that filters in an interpretable CNN were more semantically meaningful than those in traditional CNNs.
The dominant sequence transduction models are based on complex recurrent or convolutional neural networks in an encoder-decoder configuration. The best performing models also connect the encoder and decoder through an attention mechanism. We propose a new simple network architecture, the Transformer, based solely on attention mechanisms, dispensing with recurrence and convolutions entirely. Experiments on two machine translation tasks show these models to be superior in quality while being more parallelizable and requiring significantly less time to train. Our model achieves 28.4 BLEU on the WMT 2014 English-to-German translation task, improving over the existing best results, including ensembles by over 2 BLEU. On the WMT 2014 English-to-French translation task, our model establishes a new single-model state-of-the-art BLEU score of 41.8 after training for 3.5 days on eight GPUs, a small fraction of the training costs of the best models from the literature. We show that the Transformer generalizes well to other tasks by applying it successfully to English constituency parsing both with large and limited training data.