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This paper presents new machine learning approaches to approximate the solutions of optimal stopping problems. The key idea of these methods is to use neural networks, where the parameters of the hidden layers are generated randomly and only the last layer is trained, in order to approximate the continuation value. Our approaches are applicable to high dimensional problems where the existing approaches become increasingly impractical. In addition, since our approaches can be optimized using simple linear regression, they are easy to implement and theoretical guarantees are provided. Our randomized reinforcement learning approach and randomized recurrent neural network approach outperform the state-of-the-art and other relevant machine learning approaches in Markovian and non-Markovian examples, respectively. In particular, we test our approaches on Black-Scholes, Heston, rough Heston and fractional Brownian motion. Moreover, we show that they can also be used to efficiently compute Greeks of American options.

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神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)(Neural Networks)是世界上三(san)個最古(gu)老的(de)(de)(de)(de)神(shen)經(jing)(jing)(jing)建(jian)(jian)模(mo)學(xue)(xue)(xue)(xue)會的(de)(de)(de)(de)檔(dang)案期刊:國際神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)學(xue)(xue)(xue)(xue)會(INNS)、歐洲神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)學(xue)(xue)(xue)(xue)會(ENNS)和(he)(he)(he)日本神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)學(xue)(xue)(xue)(xue)會(JNNS)。神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)提供了一個論壇,以發(fa)展和(he)(he)(he)培育一個國際社會的(de)(de)(de)(de)學(xue)(xue)(xue)(xue)者(zhe)和(he)(he)(he)實踐者(zhe)感興趣(qu)的(de)(de)(de)(de)所(suo)有(you)(you)方面(mian)的(de)(de)(de)(de)神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)和(he)(he)(he)相(xiang)關方法的(de)(de)(de)(de)計(ji)算(suan)智能(neng)。神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)歡迎高質量論文的(de)(de)(de)(de)提交(jiao),有(you)(you)助(zhu)于(yu)全面(mian)的(de)(de)(de)(de)神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)研究,從行為(wei)和(he)(he)(he)大腦(nao)建(jian)(jian)模(mo),學(xue)(xue)(xue)(xue)習算(suan)法,通過數學(xue)(xue)(xue)(xue)和(he)(he)(he)計(ji)算(suan)分(fen)(fen)析,系統的(de)(de)(de)(de)工(gong)程(cheng)和(he)(he)(he)技術應(ying)用,大量使用神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)的(de)(de)(de)(de)概念和(he)(he)(he)技術。這一獨(du)特而廣泛的(de)(de)(de)(de)范圍促進了生(sheng)物和(he)(he)(he)技術研究之(zhi)間的(de)(de)(de)(de)思想(xiang)交(jiao)流,并(bing)有(you)(you)助(zhu)于(yu)促進對生(sheng)物啟發(fa)的(de)(de)(de)(de)計(ji)算(suan)智能(neng)感興趣(qu)的(de)(de)(de)(de)跨學(xue)(xue)(xue)(xue)科社區的(de)(de)(de)(de)發(fa)展。因(yin)此,神(shen)經(jing)(jing)(jing)網(wang)(wang)絡(luo)(luo)(luo)編委會代表的(de)(de)(de)(de)專家領域包括心(xin)理學(xue)(xue)(xue)(xue),神(shen)經(jing)(jing)(jing)生(sheng)物學(xue)(xue)(xue)(xue),計(ji)算(suan)機科學(xue)(xue)(xue)(xue),工(gong)程(cheng),數學(xue)(xue)(xue)(xue),物理。該(gai)雜志發(fa)表文章、信(xin)(xin)件(jian)和(he)(he)(he)評(ping)論以及給編輯的(de)(de)(de)(de)信(xin)(xin)件(jian)、社論、時事、軟件(jian)調查(cha)和(he)(he)(he)專利(li)信(xin)(xin)息。文章發(fa)表在五個部分(fen)(fen)之(zhi)一:認知科學(xue)(xue)(xue)(xue),神(shen)經(jing)(jing)(jing)科學(xue)(xue)(xue)(xue),學(xue)(xue)(xue)(xue)習系統,數學(xue)(xue)(xue)(xue)和(he)(he)(he)計(ji)算(suan)分(fen)(fen)析、工(gong)程(cheng)和(he)(he)(he)應(ying)用。 官網(wang)(wang)地址(zhi):

Test-Time-Training (TTT) is an approach to cope with out-of-distribution (OOD) data by adapting a trained model to distribution shifts occurring at test-time. We propose to perform this adaptation via Activation Matching (ActMAD): We analyze activations of the model and align activation statistics of the OOD test data to those of the training data. In contrast to existing methods, which model the distribution of entire channels in the ultimate layer of the feature extractor, we model the distribution of each feature in multiple layers across the network. This results in a more fine-grained supervision and makes ActMAD attain state of the art performance on CIFAR-100C and Imagenet-C. ActMAD is also architecture- and task-agnostic, which lets us go beyond image classification, and score 15.4% improvement over previous approaches when evaluating a KITTI-trained object detector on KITTI-Fog. Our experiments highlight that ActMAD can be applied to online adaptation in realistic scenarios, requiring little data to attain its full performance.

The imsets of \citet{studeny2006probabilistic} are an algebraic method for representing conditional independence models. They have many attractive properties when applied to such models, and they are particularly nice for working with directed acyclic graph (DAG) models. In particular, the `standard' imset for a DAG is in one-to-one correspondence with the independences it induces, and hence is a label for its Markov equivalence class. We first present a proposed extension to standard imsets for maximal ancestral graph (MAG) models, using the parameterizing set representation of \citet{hu2020faster}. We show that for many such graphs our proposed imset is \emph{perfectly Markovian} with respect to the graph, including \emph{simple} MAGs, as well as for a large class of purely bidirected models. Thus providing a scoring criteria by measuring the discrepancy for a list of independences that define the model; this gives an alternative to the usual BIC score that is much easier to compute. We also show that, of independence models that do represent the MAG, the one we give is the simplest possible, in a manner we make precise. Unfortunately, for some graphs the representation does not represent all the independences in the model, and in certain cases does not represent any at all. For these general MAGs, we refine the reduced ordered local Markov property \citep{richardlocalmarkov} by a novel graphical tool called \emph{power DAGs}, and this results in an imset that induces the correct model and which, under a mild condition, can be constructed in polynomial time.

Several fundamental problems in science and engineering consist of global optimization tasks involving unknown high-dimensional (black-box) functions that map a set of controllable variables to the outcomes of an expensive experiment. Bayesian Optimization (BO) techniques are known to be effective in tackling global optimization problems using a relatively small number objective function evaluations, but their performance suffers when dealing with high-dimensional outputs. To overcome the major challenge of dimensionality, here we propose a deep learning framework for BO and sequential decision making based on bootstrapped ensembles of neural architectures with randomized priors. Using appropriate architecture choices, we show that the proposed framework can approximate functional relationships between design variables and quantities of interest, even in cases where the latter take values in high-dimensional vector spaces or even infinite-dimensional function spaces. In the context of BO, we augmented the proposed probabilistic surrogates with re-parameterized Monte Carlo approximations of multiple-point (parallel) acquisition functions, as well as methodological extensions for accommodating black-box constraints and multi-fidelity information sources. We test the proposed framework against state-of-the-art methods for BO and demonstrate superior performance across several challenging tasks with high-dimensional outputs, including a constrained optimization task involving shape optimization of rotor blades in turbo-machinery.

The adaptive processing of structured data is a long-standing research topic in machine learning that investigates how to automatically learn a mapping from a structured input to outputs of various nature. Recently, there has been an increasing interest in the adaptive processing of graphs, which led to the development of different neural network-based methodologies. In this thesis, we take a different route and develop a Bayesian Deep Learning framework for graph learning. The dissertation begins with a review of the principles over which most of the methods in the field are built, followed by a study on graph classification reproducibility issues. We then proceed to bridge the basic ideas of deep learning for graphs with the Bayesian world, by building our deep architectures in an incremental fashion. This framework allows us to consider graphs with discrete and continuous edge features, producing unsupervised embeddings rich enough to reach the state of the art on several classification tasks. Our approach is also amenable to a Bayesian nonparametric extension that automatizes the choice of almost all model's hyper-parameters. Two real-world applications demonstrate the efficacy of deep learning for graphs. The first concerns the prediction of information-theoretic quantities for molecular simulations with supervised neural models. After that, we exploit our Bayesian models to solve a malware-classification task while being robust to intra-procedural code obfuscation techniques. We conclude the dissertation with an attempt to blend the best of the neural and Bayesian worlds together. The resulting hybrid model is able to predict multimodal distributions conditioned on input graphs, with the consequent ability to model stochasticity and uncertainty better than most works. Overall, we aim to provide a Bayesian perspective into the articulated research field of deep learning for graphs.

The Bayesian paradigm has the potential to solve core issues of deep neural networks such as poor calibration and data inefficiency. Alas, scaling Bayesian inference to large weight spaces often requires restrictive approximations. In this work, we show that it suffices to perform inference over a small subset of model weights in order to obtain accurate predictive posteriors. The other weights are kept as point estimates. This subnetwork inference framework enables us to use expressive, otherwise intractable, posterior approximations over such subsets. In particular, we implement subnetwork linearized Laplace: We first obtain a MAP estimate of all weights and then infer a full-covariance Gaussian posterior over a subnetwork. We propose a subnetwork selection strategy that aims to maximally preserve the model's predictive uncertainty. Empirically, our approach is effective compared to ensembles and less expressive posterior approximations over full networks.

Current deep learning research is dominated by benchmark evaluation. A method is regarded as favorable if it empirically performs well on the dedicated test set. This mentality is seamlessly reflected in the resurfacing area of continual learning, where consecutively arriving sets of benchmark data are investigated. The core challenge is framed as protecting previously acquired representations from being catastrophically forgotten due to the iterative parameter updates. However, comparison of individual methods is nevertheless treated in isolation from real world application and typically judged by monitoring accumulated test set performance. The closed world assumption remains predominant. It is assumed that during deployment a model is guaranteed to encounter data that stems from the same distribution as used for training. This poses a massive challenge as neural networks are well known to provide overconfident false predictions on unknown instances and break down in the face of corrupted data. In this work we argue that notable lessons from open set recognition, the identification of statistically deviating data outside of the observed dataset, and the adjacent field of active learning, where data is incrementally queried such that the expected performance gain is maximized, are frequently overlooked in the deep learning era. Based on these forgotten lessons, we propose a consolidated view to bridge continual learning, active learning and open set recognition in deep neural networks. Our results show that this not only benefits each individual paradigm, but highlights the natural synergies in a common framework. We empirically demonstrate improvements when alleviating catastrophic forgetting, querying data in active learning, selecting task orders, while exhibiting robust open world application where previously proposed methods fail.

Spectral clustering (SC) is a popular clustering technique to find strongly connected communities on a graph. SC can be used in Graph Neural Networks (GNNs) to implement pooling operations that aggregate nodes belonging to the same cluster. However, the eigendecomposition of the Laplacian is expensive and, since clustering results are graph-specific, pooling methods based on SC must perform a new optimization for each new sample. In this paper, we propose a graph clustering approach that addresses these limitations of SC. We formulate a continuous relaxation of the normalized minCUT problem and train a GNN to compute cluster assignments that minimize this objective. Our GNN-based implementation is differentiable, does not require to compute the spectral decomposition, and learns a clustering function that can be quickly evaluated on out-of-sample graphs. From the proposed clustering method, we design a graph pooling operator that overcomes some important limitations of state-of-the-art graph pooling techniques and achieves the best performance in several supervised and unsupervised tasks.

In this paper, we present an accurate and scalable approach to the face clustering task. We aim at grouping a set of faces by their potential identities. We formulate this task as a link prediction problem: a link exists between two faces if they are of the same identity. The key idea is that we find the local context in the feature space around an instance (face) contains rich information about the linkage relationship between this instance and its neighbors. By constructing sub-graphs around each instance as input data, which depict the local context, we utilize the graph convolution network (GCN) to perform reasoning and infer the likelihood of linkage between pairs in the sub-graphs. Experiments show that our method is more robust to the complex distribution of faces than conventional methods, yielding favorably comparable results to state-of-the-art methods on standard face clustering benchmarks, and is scalable to large datasets. Furthermore, we show that the proposed method does not need the number of clusters as prior, is aware of noises and outliers, and can be extended to a multi-view version for more accurate clustering accuracy.

We propose a Bayesian convolutional neural network built upon Bayes by Backprop and elaborate how this known method can serve as the fundamental construct of our novel, reliable variational inference method for convolutional neural networks. First, we show how Bayes by Backprop can be applied to convolutional layers where weights in filters have probability distributions instead of point-estimates; and second, how our proposed framework leads with various network architectures to performances comparable to convolutional neural networks with point-estimates weights. In the past, Bayes by Backprop has been successfully utilised in feedforward and recurrent neural networks, but not in convolutional ones. This work symbolises the extension of the group of Bayesian neural networks which encompasses all three aforementioned types of network architectures now.

Learning from a few examples remains a key challenge in machine learning. Despite recent advances in important domains such as vision and language, the standard supervised deep learning paradigm does not offer a satisfactory solution for learning new concepts rapidly from little data. In this work, we employ ideas from metric learning based on deep neural features and from recent advances that augment neural networks with external memories. Our framework learns a network that maps a small labelled support set and an unlabelled example to its label, obviating the need for fine-tuning to adapt to new class types. We then define one-shot learning problems on vision (using Omniglot, ImageNet) and language tasks. Our algorithm improves one-shot accuracy on ImageNet from 87.6% to 93.2% and from 88.0% to 93.8% on Omniglot compared to competing approaches. We also demonstrate the usefulness of the same model on language modeling by introducing a one-shot task on the Penn Treebank.

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