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This paper studies the problem of forecasting general stochastic processes using an extension of the Neural Jump ODE (NJ-ODE) framework. While NJ-ODE was the first framework to establish convergence guarantees for the prediction of irregularly observed time series, these results were limited to data stemming from It\^o-diffusions with complete observations, in particular Markov processes where all coordinates are observed simultaneously. In this work, we generalise these results to generic, possibly non-Markovian or discontinuous, stochastic processes with incomplete observations, by utilising the reconstruction properties of the signature transform. These theoretical results are supported by empirical studies, where it is shown that the path-dependent NJ-ODE outperforms the original NJ-ODE framework in the case of non-Markovian data. Moreover, we show that PD-NJ-ODE can be applied successfully to limit order book (LOB) data.

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通用動力公司(General Dynamics)是一家美國的國防企業集團。2008年時通用動力是世界第五大國防工業承包商。由于近年來不斷的擴充和并購其他公司,通用動力現今的組成與面貌已與冷戰時期時大不相同。現今通用動力包含三大業務集團:海洋、作戰系統和資訊科技集團。

The error Backpropagation algorithm (BP) is a key method for training deep neural networks. While performant, it is also resource-demanding in terms of computation, memory usage and energy. This makes it unsuitable for online learning on edge devices that require a high processing rate and low energy consumption. More importantly, BP does not take advantage of the parallelism and local characteristics offered by dedicated neural processors. There is therefore a demand for alternative algorithms to BP that could improve the latency, memory requirements, and energy footprint of neural networks on hardware. In this work, we propose a novel method based on Direct Feedback Alignment (DFA) which uses Forward-Mode Automatic Differentiation to estimate backpropagation paths and learn feedback connections in an online manner. We experimentally show that Directional DFA achieves performances that are closer to BP than other feedback methods on several benchmark datasets and architectures while benefiting from the locality and parallelization characteristics of DFA. Moreover, we show that, unlike other feedback learning algorithms, our method provides stable learning for convolution layers.

Finite element methods are well-known to admit robust optimal convergence on simplicial meshes satisfying the maximum angle conditions. But how to generalize this condition to polyhedra is unknown in the literature. In this work, we argue that this generation is possible for virtual element methods (VEMs). In particular, we develop an anisotropic analysis framework for VEMs where the virtual spaces and projection spaces remain abstract and can be problem-adapted, carrying forward the ``virtual'' spirit of VEMs. Three anisotropic cases will be analyzed under this framework: (1) elements only contain non-shrinking inscribed balls but are not necessarily star convex to those balls; (2) elements are cut arbitrarily from a background Cartesian mesh, which can extremely shrink; (3) elements contain different materials on which the virtual spaces involve discontinuous coefficients. The error estimates are guaranteed to be independent of polyhedral element shapes. The present work largely improves the current theoretical results in the literature and also broadens the scope of the application of VEMs.

The rise of variational autoencoders for image and video compression has opened the door to many elaborate coding techniques. One example here is the possibility of conditional interframe coding. Here, instead of transmitting the residual between the original frame and the predicted frame (often obtained by motion compensation), the current frame is transmitted under the condition of knowing the prediction signal. In practice, conditional coding can be straightforwardly implemented using a conditional autoencoder, which has also shown good results in recent works. In this paper, we provide an information theoretical analysis of conditional coding for inter frames and show in which cases gains compared to traditional residual coding can be expected. We also show the effect of information bottlenecks which can occur in practical video coders in the prediction signal path due to the network structure, as a consequence of the data-processing theorem or due to quantization. We demonstrate that conditional coding has theoretical benefits over residual coding but that there are cases in which the benefits are quickly canceled by small information bottlenecks of the prediction signal.

High-dimensional data can often display heterogeneity due to heteroscedastic variance or inhomogeneous covariate effects. Penalized quantile and expectile regression methods offer useful tools to detect heteroscedasticity in high-dimensional data. The former is computationally challenging due to the non-smooth nature of the check loss, and the latter is sensitive to heavy-tailed error distributions. In this paper, we propose and study (penalized) robust expectile regression (retire), with a focus on iteratively reweighted $\ell_1$-penalization which reduces the estimation bias from $\ell_1$-penalization and leads to oracle properties. Theoretically, we establish the statistical properties of the retire estimator under two regimes: (i) low-dimensional regime in which $d \ll n$; (ii) high-dimensional regime in which $s\ll n\ll d$ with $s$ denoting the number of significant predictors. In the high-dimensional setting, we carefully characterize the solution path of the iteratively reweighted $\ell_1$-penalized retire estimation, adapted from the local linear approximation algorithm for folded-concave regularization. Under a mild minimum signal strength condition, we show that after as many as $\log(\log d)$ iterations the final iterate enjoys the oracle convergence rate. At each iteration, the weighted $\ell_1$-penalized convex program can be efficiently solved by a semismooth Newton coordinate descent algorithm. Numerical studies demonstrate the competitive performance of the proposed procedure compared with either non-robust or quantile regression based alternatives.

We propose a principled way to define Gaussian process priors on various sets of unweighted graphs: directed or undirected, with or without loops. We endow each of these sets with a geometric structure, inducing the notions of closeness and symmetries, by turning them into a vertex set of an appropriate metagraph. Building on this, we describe the class of priors that respect this structure and are analogous to the Euclidean isotropic processes, like squared exponential or Mat\'ern. We propose an efficient computational technique for the ostensibly intractable problem of evaluating these priors' kernels, making such Gaussian processes usable within the usual toolboxes and downstream applications. We go further to consider sets of equivalence classes of unweighted graphs and define the appropriate versions of priors thereon. We prove a hardness result, showing that in this case, exact kernel computation cannot be performed efficiently. However, we propose a simple Monte Carlo approximation for handling moderately sized cases. Inspired by applications in chemistry, we illustrate the proposed techniques on a real molecular property prediction task in the small data regime.

Computational fluid dynamics (CFD) is a valuable asset for patient-specific cardiovascular-disease diagnosis and prognosis, but its high computational demands hamper its adoption in practice. Machine-learning methods that estimate blood flow in individual patients could accelerate or replace CFD simulation to overcome these limitations. In this work, we consider the estimation of vector-valued quantities on the wall of three-dimensional geometric artery models. We employ group-equivariant graph convolution in an end-to-end SE(3)-equivariant neural network that operates directly on triangular surface meshes and makes efficient use of training data. We run experiments on a large dataset of synthetic coronary arteries and find that our method estimates directional wall shear stress (WSS) with an approximation error of 7.6% and normalised mean absolute error (NMAE) of 0.4% while up to two orders of magnitude faster than CFD. Furthermore, we show that our method is powerful enough to accurately predict transient, vector-valued WSS over the cardiac cycle while conditioned on a range of different inflow boundary conditions. These results demonstrate the potential of our proposed method as a plugin replacement for CFD in the personalised prediction of hemodynamic vector and scalar fields.

This paper is concerned with a direct sampling method for imaging the support of a frequency-dependent source term embedded in a homogeneous and isotropic medium. The source term is given by the Fourier transform of a time-dependent source whose radiating period in the time domain is known. The time-dependent source is supposed to be stationary in the sense that its compact support does not vary along the time variable. Via a multi-frequency direct sampling method, we show that the smallest strip containing the source support and perpendicular to the observation direction can be recovered from far-field patterns at a fixed observation angle. With multiple but sparse observation directions, the shape of the convex hull of the source support can be recovered. The frequency-domain analysis performed here can be used to handle inverse time-dependent source problems. Our algorithm has low computational overhead and is robust against noise. Numerical experiments in both two and three dimensions have proved our theoretical findings.

The Extremal River Problem has emerged as a flagship problem for causal discovery in extreme values of a network. The task is to recover a river network from only extreme flow measured at a set $V$ of stations, without any information on the stations' locations. We present QTree, a new simple and efficient algorithm to solve the Extremal River Problem that performs very well compared to existing methods on hydrology data and in simulations. QTree returns a root-directed tree and achieves almost perfect recovery on the Upper Danube network data, the existing benchmark data set, as well as on new data from the Lower Colorado River network in Texas. It can handle missing data, has an automated parameter tuning procedure, and runs in time $O(n |V|^2)$, where $n$ is the number of observations and $|V|$ the number of nodes in the graph. Furthermore, we prove that the QTree estimator is consistent under a Bayesian network model for extreme values with noise. We also assess the small sample behaviour of QTree through simulations and detail the strengths and possible limitations of QTree.

We investigate the problem of recovering a partially observed high-rank matrix whose columns obey a nonlinear structure such as a union of subspaces, an algebraic variety or grouped in clusters. The recovery problem is formulated as the rank minimization of a nonlinear feature map applied to the original matrix, which is then further approximated by a constrained non-convex optimization problem involving the Grassmann manifold. We propose two sets of algorithms, one arising from Riemannian optimization and the other as an alternating minimization scheme, both of which include first- and second-order variants. Both sets of algorithms have theoretical guarantees. In particular, for the alternating minimization, we establish global convergence and worst-case complexity bounds. Additionally, using the Kurdyka-Lojasiewicz property, we show that the alternating minimization converges to a unique limit point. We provide extensive numerical results for the recovery of union of subspaces and clustering under entry sampling and dense Gaussian sampling. Our methods are competitive with existing approaches and, in particular, high accuracy is achieved in the recovery using Riemannian second-order methods.

How can we estimate the importance of nodes in a knowledge graph (KG)? A KG is a multi-relational graph that has proven valuable for many tasks including question answering and semantic search. In this paper, we present GENI, a method for tackling the problem of estimating node importance in KGs, which enables several downstream applications such as item recommendation and resource allocation. While a number of approaches have been developed to address this problem for general graphs, they do not fully utilize information available in KGs, or lack flexibility needed to model complex relationship between entities and their importance. To address these limitations, we explore supervised machine learning algorithms. In particular, building upon recent advancement of graph neural networks (GNNs), we develop GENI, a GNN-based method designed to deal with distinctive challenges involved with predicting node importance in KGs. Our method performs an aggregation of importance scores instead of aggregating node embeddings via predicate-aware attention mechanism and flexible centrality adjustment. In our evaluation of GENI and existing methods on predicting node importance in real-world KGs with different characteristics, GENI achieves 5-17% higher NDCG@100 than the state of the art.

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