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We present a numerically efficient approach for learning minimal equivalent martingale measures for market simulators of tradable instruments, e.g. for a spot price and options written on the same underlying. In the presence of transaction cost and trading restrictions, we relax the results to learning minimal equivalent "near-martingale measures" under which expected returns remain within prevailing bid/ask spreads. Our approach to thus "removing the drift" in a high dimensional complex space is entirely model-free and can be applied to any market simulator which does not exhibit classic arbitrage. The resulting model can be used for risk neutral pricing, or, in the case of transaction costs or trading constraints, for "Deep Hedging". We demonstrate our approach by applying it to two market simulators, an auto-regressive discrete-time stochastic implied volatility model, and a Generative Adversarial Network (GAN) based simulator, both of which trained on historical data of option prices under the statistical measure to produce realistic samples of spot and option prices. We comment on robustness with respect to estimation error of the original market simulator.

We consider off-policy evaluation (OPE) in Partially Observable Markov Decision Processes (POMDPs), where the evaluation policy depends only on observable variables and the behavior policy depends on unobservable latent variables. Existing works either assume no unmeasured confounders, or focus on settings where both the observation and the state spaces are tabular. As such, these methods suffer from either a large bias in the presence of unmeasured confounders, or a large variance in settings with continuous or large observation/state spaces. In this work, we first propose novel identification methods for OPE in POMDPs with latent confounders, by introducing bridge functions that link the target policy's value and the observed data distribution. In fully-observable MDPs, these bridge functions reduce to the familiar value functions and marginal density ratios between the evaluation and the behavior policies. We next propose minimax estimation methods for learning these bridge functions. Our proposal permits general function approximation and is thus applicable to settings with continuous or large observation/state spaces. Finally, we construct three estimators based on these estimated bridge functions, corresponding to a value function-based estimator, a marginalized importance sampling estimator, and a doubly-robust estimator. Their nonasymptotic and asymptotic properties are investigated in detail.

We address the issue of tuning hyperparameters (HPs) for imitation learning algorithms in the context of continuous-control, when the underlying reward function of the demonstrating expert cannot be observed at any time. The vast literature in imitation learning mostly considers this reward function to be available for HP selection, but this is not a realistic setting. Indeed, would this reward function be available, it could then directly be used for policy training and imitation would not be necessary. To tackle this mostly ignored problem, we propose a number of possible proxies to the external reward. We evaluate them in an extensive empirical study (more than 10'000 agents across 9 environments) and make practical recommendations for selecting HPs. Our results show that while imitation learning algorithms are sensitive to HP choices, it is often possible to select good enough HPs through a proxy to the reward function.

Rankings, especially those in search and recommendation systems, often determine how people access information and how information is exposed to people. Therefore, how to balance the relevance and fairness of information exposure is considered as one of the key problems for modern IR systems. As conventional ranking frameworks that myopically sorts documents with their relevance will inevitably introduce unfair result exposure, recent studies on ranking fairness mostly focus on dynamic ranking paradigms where result rankings can be adapted in real-time to support fairness in groups (i.e., races, genders, etc.). Existing studies on fairness in dynamic learning to rank, however, often achieve the overall fairness of document exposure in ranked lists by significantly sacrificing the performance of result relevance and fairness on the top results. To address this problem, we propose a fair and unbiased ranking method named Maximal Marginal Fairness (MMF). The algorithm integrates unbiased estimators for both relevance and merit-based fairness while providing an explicit controller that balances the selection of documents to maximize the marginal relevance and fairness in top-k results. Theoretical and empirical analysis shows that, with small compromises on long list fairness, our method achieves superior efficiency and effectiveness comparing to the state-of-the-art algorithms in both relevance and fairness for top-k rankings.

Human pose estimation aims to locate the human body parts and build human body representation (e.g., body skeleton) from input data such as images and videos. It has drawn increasing attention during the past decade and has been utilized in a wide range of applications including human-computer interaction, motion analysis, augmented reality, and virtual reality. Although the recently developed deep learning-based solutions have achieved high performance in human pose estimation, there still remain challenges due to insufficient training data, depth ambiguities, and occlusions. The goal of this survey paper is to provide a comprehensive review of recent deep learning-based solutions for both 2D and 3D pose estimation via a systematic analysis and comparison of these solutions based on their input data and inference procedures. More than 240 research papers since 2014 are covered in this survey. Furthermore, 2D and 3D human pose estimation datasets and evaluation metrics are included. Quantitative performance comparisons of the reviewed methods on popular datasets are summarized and discussed. Finally, the challenges involved, applications, and future research directions are concluded. We also provide a regularly updated project page on: \url{//github.com/zczcwh/DL-HPE}

The problem of Approximate Nearest Neighbor (ANN) search is fundamental in computer science and has benefited from significant progress in the past couple of decades. However, most work has been devoted to pointsets whereas complex shapes have not been sufficiently treated. Here, we focus on distance functions between discretized curves in Euclidean space: they appear in a wide range of applications, from road segments to time-series in general dimension. For $\ell_p$-products of Euclidean metrics, for any $p$, we design simple and efficient data structures for ANN, based on randomized projections, which are of independent interest. They serve to solve proximity problems under a notion of distance between discretized curves, which generalizes both discrete Fr\'echet and Dynamic Time Warping distances. These are the most popular and practical approaches to comparing such curves. We offer the first data structures and query algorithms for ANN with arbitrarily good approximation factor, at the expense of increasing space usage and preprocessing time over existing methods. Query time complexity is comparable or significantly improved by our algorithms, our algorithm is especially efficient when the length of the curves is bounded.

In this paper, we propose a deep reinforcement learning framework called GCOMB to learn algorithms that can solve combinatorial problems over large graphs. GCOMB mimics the greedy algorithm in the original problem and incrementally constructs a solution. The proposed framework utilizes Graph Convolutional Network (GCN) to generate node embeddings that predicts the potential nodes in the solution set from the entire node set. These embeddings enable an efficient training process to learn the greedy policy via Q-learning. Through extensive evaluation on several real and synthetic datasets containing up to a million nodes, we establish that GCOMB is up to 41% better than the state of the art, up to seven times faster than the greedy algorithm, robust and scalable to large dynamic networks.

We propose an algorithm for real-time 6DOF pose tracking of rigid 3D objects using a monocular RGB camera. The key idea is to derive a region-based cost function using temporally consistent local color histograms. While such region-based cost functions are commonly optimized using first-order gradient descent techniques, we systematically derive a Gauss-Newton optimization scheme which gives rise to drastically faster convergence and highly accurate and robust tracking performance. We furthermore propose a novel complex dataset dedicated for the task of monocular object pose tracking and make it publicly available to the community. To our knowledge, It is the first to address the common and important scenario in which both the camera as well as the objects are moving simultaneously in cluttered scenes. In numerous experiments - including our own proposed data set - we demonstrate that the proposed Gauss-Newton approach outperforms existing approaches, in particular in the presence of cluttered backgrounds, heterogeneous objects and partial occlusions.

A major goal of unsupervised learning is to discover data representations that are useful for subsequent tasks, without access to supervised labels during training. Typically, this goal is approached by minimizing a surrogate objective, such as the negative log likelihood of a generative model, with the hope that representations useful for subsequent tasks will arise incidentally. In this work, we propose instead to directly target a later desired task by meta-learning an unsupervised learning rule, which leads to representations useful for that task. Here, our desired task (meta-objective) is the performance of the representation on semi-supervised classification, and we meta-learn an algorithm -- an unsupervised weight update rule -- that produces representations that perform well under this meta-objective. Additionally, we constrain our unsupervised update rule to a be a biologically-motivated, neuron-local function, which enables it to generalize to novel neural network architectures. We show that the meta-learned update rule produces useful features and sometimes outperforms existing unsupervised learning techniques. We further show that the meta-learned unsupervised update rule generalizes to train networks with different widths, depths, and nonlinearities. It also generalizes to train on data with randomly permuted input dimensions and even generalizes from image datasets to a text task.

Caching and rate allocation are two promising approaches to support video streaming over wireless network. However, existing rate allocation designs do not fully exploit the advantages of the two approaches. This paper investigates the problem of cache-enabled QoE-driven video rate allocation problem. We establish a mathematical model for this problem, and point out that it is difficult to solve the problem with traditional dynamic programming. Then we propose a deep reinforcement learning approaches to solve it. First, we model the problem as a Markov decision problem. Then we present a deep Q-learning algorithm with a special knowledge transfer process to find out effective allocation policy. Finally, numerical results are given to demonstrate that the proposed solution can effectively maintain high-quality user experience of mobile user moving among small cells. We also investigate the impact of configuration of critical parameters on the performance of our algorithm.