pwc-archive/papers-with-abstracts huggingface dataset:
A Modified SEIR Model for the Spread of COVID-19 Considering Different Vaccine Types
Authors: Aram Ansary Ogholbake, Hana Khamfroush
Date: 2021-06-06 00:00:00

The COVID-19 pandemic has influenced the lives of people globally. In the past year many researchers have proposed different models and approaches to explore in what ways the spread of the disease could be mitigated. One of the models that have been used a great deal is the Susceptible-Exposed-Infectious-Recovered (SEIR) model. Some researchers have modified the traditional SEIR model, and proposed new versions of it. However, to the best of our knowledge, the state-of-the-art papers have not considered the effect of different vaccine types, meaning single shot and double shot vaccines, in their SEIR model. In this paper, we propose a modified version of the SEIR model which takes into account the effect of different vaccine types. We compare how different policies for the administration of the vaccine can influence the rate at which people are exposed to the disease, get infected, recover, and pass away. Our results suggest that taking the double shot vaccine such as Pfizer-BioNTech and Moderna does a better job at mitigating the spread and fatality rate of the disease compared to the single shot vaccine, due to its higher efficacy.
Learning to predict target location with turbulent odor plumes
Authors: Nicola Rigolli, Nicodemo Magnoli, Lorenzo Rosasco, Agnese Seminara
Date: 2021-06-16 00:00:00

Animal behavior and neural recordings show that the brain is able to measure both the intensity of an odor and the timing of odor encounters. However, whether intensity or timing of odor detections is more informative for olfactory-driven behavior is not understood. To tackle this question, we consider the problem of locating a target using the odor it releases. We ask whether the position of a target is best predicted by measures of timing intensity of its odor, sampled for a short period of time. To answer this question, we feed data from accurate numerical simulations of odor transport to machine learning algorithms that learn how to connect odor to target location. We find that both intensity and timing can separately predict target location even from a distance of several meters; however their efficacy varies with the dilution of the odor in space. Thus organisms that use olfaction from different ranges may have to switch among different modalities. This has implications on how the brain should represent odors as the target is approached. We demonstrate simple strategies to improve accuracy and robustness of the prediction by modifying odor sampling and appropriately combining distinct measures together. To test the predictions, animal behavior and odor representation should be monitored as the animal moves relative to the target, or in virtual conditions that mimic concentrated dilute environments.
Fluid flow in the sarcomere
Authors: Sage A Malingen, Kaitlyn Hood, Eric Lauga, Anette Hosoi, Thomas L Daniel
Date: 2021-06-15 00:00:00

A highly organized and densely packed lattice of molecular machinery within the sarcomeres of muscle cells powers contraction. Although many of the proteins that drive contraction have been studied extensively, the mechanical impact of fluid shearing within the lattice of molecular machinery has received minimal attention. It was recently proposed that fluid flow augments substrate transport in the sarcomere, however, this analysis used analytical models of fluid flow in the molecular machinery that could not capture its full complexity. By building a finite element model of the sarcomere, we estimate the explicit flow field, and contrast it with analytical models. Our results demonstrate that viscous drag forces on sliding filaments are surprisingly small in contrast to the forces generated by single myosin molecular motors. This model also indicates that the energetic cost of fluid flow through viscous shearing with lattice proteins is likely minimal. The model also highlights a steep velocity gradient between sliding filaments and demonstrates that the maximal radial fluid velocity occurs near the tips of the filaments. To our knowledge, this is the first computational analysis of fluid flow within the highly structured sarcomere.
An Information Filtering approach to stress testing: an application to FTSE markets
Authors: Isobel Seabrook, Fabio Caccioli, Tomaso Aste
Date: 2021-06-16 00:00:00

We present a novel methodology to quantify the "impact" of and "response" to market shocks. We apply shocks to a group of stocks in a part of the market, and we quantify the effects in terms of average losses on another part of the market using a sparse probabilistic elliptical model for the multivariate return distribution of the whole market. Sparsity is introduced with an $L_0$-norm regularization, which forces to zero some elements of the inverse covariance according to a dependency structure inferred from an information filtering network. Our study concerns the FTSE 100 and 250 markets and analyzes impact and response to shocks both applied to and received from individual stocks and group of stocks. We observe that the shock pattern is related to the structure of the network associated with the sparse structure of the inverse covariance of stock returns. Central sectors appear more likely to be affected by shocks, and stocks with a large level of underlying diversification have a larger impact on the rest of the market when experiencing shocks. By analyzing the system during times of crisis and comparative market calmness, we observe changes in the shock patterns with a convergent behavior in times of crisis.
Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo
Authors: Julien Hok, Sergei Kucherenko
Date: 2021-06-15 00:00:00

Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of application of Monte Carlo (MC) and Quasi Monte Carlo (QMC) methods for derivative pricing and risk analysis based on Hyperbolic Local Volatility Model. In high-dimensional integration QMC shows a superior performance over MC if the effective dimension of an integrand is not too large. In application to derivative pricing and computation of Greeks effective dimensions depend on path discretization algorithms. The results presented for the Asian option show the superior performance of the Quasi Monte Carlo methods especially for the Brownian Bridge discretization scheme.
Trend-Following Strategies via Dynamic Momentum Learning
Authors: Bruno P. C. Levy, Hedibert F. Lopes
Date: 2021-06-15 00:00:00
Tasks: Management, Time Series, Time Series Analysis

Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via simple observation of past return measurements. In this article we study the benefits of incorporating dynamic econometric models to sequentially learn the time-varying importance of different look-back periods for individual assets. By the use of a dynamic binary classifier model, the investor is able to switch between time-varying or constant relations between past momentum and future returns, dynamically combining or selecting different momentum speeds during turning points, improving trading signals accuracy and portfolio performance. Using data from 56 future contracts we show that a mean-variance investor will be willing to pay a considerable management fee to switch from the traditional naive time series momentum strategy to the dynamic classifier approach.
Deep reinforcement learning on a multi-asset environment for trading
Authors: Ali Hirsa, Joerg Osterrieder, Branka Hadji-Misheva, Jan-Alexander Posth
Date: 2021-06-15 00:00:00
Tasks: Deep Reinforcement Learning, reinforcement-learning, Reinforcement Learning, Reinforcement Learning (RL)

Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with significant success in multiple domains, still has to show its benefit in the financial markets. We use a deep Q-network (DQN) to design long-short trading strategies for futures contracts. The state space consists of volatility-normalized daily returns, with buying or selling being the reinforcement learning action and the total reward defined as the cumulative profits from our actions. Our trading strategy is trained and tested both on real and simulated price series and we compare the results with an index benchmark. We analyze how training based on a combination of artificial data and actual price series can be successfully deployed in real markets. The trained reinforcement learning agent is applied to trading the E-mini S&P 500 continuous futures contract. Our results in this study are preliminary and need further improvement.
DMSANet: Dual Multi Scale Attention Network
Authors: Abhinav Sagar
Date: 2021-06-13 00:00:00
Tasks: image-classification, Image Classification, Instance Segmentation, object-detection, Object Detection, Semantic Segmentation

Attention mechanism of late has been quite popular in the computer vision community. A lot of work has been done to improve the performance of the network, although almost always it results in increased computational complexity. In this paper, we propose a new attention module that not only achieves the best performance but also has lesser parameters compared to most existing models. Our attention module can easily be integrated with other convolutional neural networks because of its lightweight nature. The proposed network named Dual Multi Scale Attention Network (DMSANet) is comprised of two parts: the first part is used to extract features at various scales and aggregate them, the second part uses spatial and channel attention modules in parallel to adaptively integrate local features with their global dependencies. We benchmark our network performance for Image Classification on ImageNet dataset, Object Detection and Instance Segmentation both on MS COCO dataset.
RefBERT: Compressing BERT by Referencing to Pre-computed Representations
Authors: Xinyi Wang, Haiqin Yang, Liang Zhao, Yang Mo, Jianping Shen
Date: 2021-06-11 00:00:00
Tasks: Knowledge Distillation

Recently developed large pre-trained language models, e.g., BERT, have achieved remarkable performance in many downstream natural language processing applications. These pre-trained language models often contain hundreds of millions of parameters and suffer from high computation and latency in real-world applications. It is desirable to reduce the computation overhead of the models for fast training and inference while keeping the model performance in downstream applications. Several lines of work utilize knowledge distillation to compress the teacher model to a smaller student model. However, they usually discard the teacher's knowledge when in inference. Differently, in this paper, we propose RefBERT to leverage the knowledge learned from the teacher, i.e., facilitating the pre-computed BERT representation on the reference sample and compressing BERT into a smaller student model. To guarantee our proposal, we provide theoretical justification on the loss function and the usage of reference samples. Significantly, the theoretical result shows that including the pre-computed teacher's representations on the reference samples indeed increases the mutual information in learning the student model. Finally, we conduct the empirical evaluation and show that our RefBERT can beat the vanilla TinyBERT over 8.1\% and achieves more than 94\% of the performance of $\BERTBASE$ on the GLUE benchmark. Meanwhile, RefBERT is 7.4x smaller and 9.5x faster on inference than BERT$_{\rm BASE}$.
Cardiovascular Disease Prediction using Recursive Feature Elimination and Gradient Boosting Classification Techniques
Authors: Prasannavenkatesan Theerthagiri, Vidya J
Date: 2021-06-11 00:00:00
Tasks: BIG-bench Machine Learning, Disease Prediction

Cardiovascular diseases (CVDs) are one of the most common chronic illnesses that affect peoples health. Early detection of CVDs can reduce mortality rates by preventing or reducing the severity of the disease. Machine learning algorithms are a promising method for identifying risk factors. This paper proposes a proposed recursive feature elimination-based gradient boosting (RFE-GB) algorithm in order to obtain accurate heart disease prediction. The patients health record with important CVD features has been analyzed for the evaluation of the results. Several other machine learning methods were also used to build the prediction model, and the results were compared with the proposed model. The results of this proposed model infer that the combined recursive feature elimination and gradient boosting algorithm achieves the highest accuracy (89.7 %). Further, with an area under the curve of 0.84, the proposed RFE-GB algorithm was found superior and had obtained a substantial gain over other techniques. Thus, the proposed RFE-GB algorithm will serve as a prominent model for CVD estimation and treatment.
Detecting chaos in lineage-trees: A deep learning approach
Authors: Hagai Rappeport, Irit Levin Reisman, Naftali Tishby, Nathalie Q. Balaban
Date: 2021-06-08 00:00:00
Tasks: Deep Learning, Rhythm

Many complex phenomena, from weather systems to heartbeat rhythm patterns, are effectively modeled as low-dimensional dynamical systems. Such systems may behave chaotically under certain conditions, and so the ability to detect chaos based on empirical measurement is an important step in characterizing and predicting these processes. Classifying a system as chaotic usually requires estimating its largest Lyapunov exponent, which quantifies the average rate of convergence or divergence of initially close trajectories in state space, and for which a positive value is generally accepted as an operational definition of chaos. Estimating the largest Lyapunov exponent from observations of a process is especially challenging in systems affected by dynamical noise, which is the case for many models of real-world processes, in particular models of biological systems. We describe a novel method for estimating the largest Lyapunov exponent from data, based on training Deep Learning models on synthetically generated trajectories, and demonstrate that this method yields accurate and noise-robust predictions given relatively short inputs and across a range of different dynamical systems. Our method is unique in that it can analyze tree-shaped data, a ubiquitous topology in biological settings, and specifically in dynamics over lineages of cells or organisms. We also characterize the types of input information extracted by our models for their predictions, allowing for a deeper understanding into the different ways by which chaos can be analyzed in different topologies.
Estimating the Robustness of Public Transport Systems Using Machine Learning
Authors: Matthias Müller-Hannemann, Ralf Rückert, Alexander Schiewe, Anita Schöbel
Date: 2021-06-10 00:00:00
Tasks: BIG-bench Machine Learning

The planning of attractive and cost efficient public transport systems is a highly complex optimization process involving many steps. Integrating robustness from a passenger's point of view makes the task even more challenging. With numerous different definitions of robustness in literature, a real-world acceptable evaluation of the robustness of a public transport system is to simulate its performance under a large number of possible scenarios. Unfortunately, this is computationally very expensive. In this paper, we therefore explore a new way of such a scenario-based robustness approximation by using methods from machine learning. We achieve a fast approach with a very high accuracy by gathering a subset of key features of a public transport system and its passenger demand and training an artificial neural network to learn the outcome of a given set of robustness tests. The network is then able to predict the robustness of untrained instances with high accuracy using only its key features, allowing for a robustness oracle for transport planners that approximates the robustness in constant time. Such an oracle can be used as black box to increase the robustness within a local search framework for integrated public transportation planning. In computational experiments with different benchmark instances we demonstrate an excellent quality of our predictions.
Optimized ensemble deep learning framework for scalable forecasting of dynamics containing extreme events
Authors: Arnob Ray, Tanujit Chakraborty, Dibakar Ghosh
Date: 2021-06-09 00:00:00

The remarkable flexibility and adaptability of both deep learning models and ensemble methods have led to the proliferation for their application in understanding many physical phenomena. Traditionally, these two techniques have largely been treated as independent methodologies in practical applications. This study develops an optimized ensemble deep learning (OEDL) framework wherein these two machine learning techniques are jointly used to achieve synergistic improvements in model accuracy, stability, scalability, and reproducibility prompting a new wave of applications in the forecasting of dynamics. Unpredictability is considered as one of the key features of chaotic dynamics, so forecasting such dynamics of nonlinear systems is a relevant issue in the scientific community. It becomes more challenging when the prediction of extreme events is the focus issue for us. In this circumstance, the proposed OEDL model based on a best convex combination of feed-forward neural networks, reservoir computing, and long short-term memory can play a key role in advancing predictions of dynamics consisting of extreme events. The combined framework can generate the best out-of-sample performance than the individual deep learners and standard ensemble framework for both numerically simulated and real world data sets. We exhibit the outstanding performance of the OEDL framework for forecasting extreme events generated from Lienard-type system, prediction of COVID-19 cases in Brazil, dengue cases in San Juan, and sea surface temperature in Nino 3.4 region.
Lower Bound on Transmission Using Non-Linear Bounding Function in Single Image Dehazing
Authors: Suresh Chandra Raikwar, Shashikala Tapaswi
Date: 2020-02-28 00:00:00
Proceeding: IEEE Transaction on Image Processing 2020 2
Tasks: Image Dehazing, Nonhomogeneous Image Dehazing, Single Image Dehazing, Single Image Haze Removal

The visibility of an image captured in poor weather (such as haze, fog, mist, smog) degrades due to scattering of light by atmospheric particles. Single image dehazing (SID) methods are used to restore visibility from a single hazy image. The SID is a challenging problem due to its ill-posed nature. Typically, the atmospheric scattering model (ATSM) is used to solve SID problem. The transmission and atmospheric light are two prime parameters of ATSM. The accuracy and effectiveness of SID depends on accurate value of transmission and atmospheric light. The proposed method translates transmission estimation problem into estimation of the difference between minimum color channel of hazy and haze-free image. The translated problem presents a lower bound on transmission and is used to minimize reconstruction error in dehazing. The lower bound depends upon the bounding function (BF) and a quality control parameter. A non-linear model is then proposed to estimate BF for accurate estimation of transmission. The proposed quality control parameter can be utilized to tune the effect of dehazing. The accuracy obtained by the proposed method for transmission is compared with state of the art dehazing methods. Visual comparison of dehazed images and objective evaluation further validates the effectiveness of the proposed method.
A Grid-Based Evolutionary Algorithm for Many-Objective Optimization
Authors: Shengxiang Yang, Member, IEEE, Miqing Li, Xiaohui Liu, and Jinhua Zheng
Date: 2013-01-01 00:00:00
Proceeding: IEEE Transactions on Evolutionary Computation 2013 1
Tasks: Diversity, Multiobjective Optimization

Balancing convergence and diversity plays a key role in evolutionary multiobjective optimization (EMO). Most current EMO algorithms perform well on problems with two or three objectives, but encounter difficulties in their scalability to many-objective optimization. This paper proposes a grid- based evolutionary algorithm (GrEA) to solve many-objective optimization problems. Our aim is to exploit the potential of the grid-based approach to strengthen the selection pressure towards the optimal direction while maintaining an extensive and uniform distribution among solutions. To this end, two concepts—grid dominance and grid difference—are introduced to determine the mutual relationship of individuals in a grid environment. Three grid-based criteria, i.e., grid ranking, grid crowding distance, and grid coordinate point distance, are incorporated into the fitness of individuals to distinguish them in both the mating and environmental selection processes. Moreover, a fitness adjustment strategy is developed by adaptively punishing individuals based on the neighborhood and grid dominance relations in order to avoid partial overcrowding as well as guide the search towards different directions in the archive. Six state-of-the-art EMO algorithms are selected as the peer algorithms to validate GrEA. A series of extensive experiments is conducted on 52 instances of nine test problems taken from three test suites. The experimental results show the effectiveness and competitiveness of the proposed GrEA in balancing convergence and diversity. The solution set obtained by GrEA can achieve a better coverage of the Pareto front than that obtained by other algorithms on most of the tested problems. Additionally, a parametric study reveals interesting insights of the division parameter in a grid and also indicates useful values for problems with different characteristics.
Quantized Federated Learning under Transmission Delay and Outage Constraints
Authors: Yanmeng Wang, Yanqing Xu, Qingjiang Shi, Tsung-Hui Chang
Date: 2021-06-17 00:00:00
Tasks: Federated Learning, Quantization

Federated learning (FL) has been recognized as a viable distributed learning paradigm which trains a machine learning model collaboratively with massive mobile devices in the wireless edge while protecting user privacy. Although various communication schemes have been proposed to expedite the FL process, most of them have assumed ideal wireless channels which provide reliable and lossless communication links between the server and mobile clients. Unfortunately, in practical systems with limited radio resources such as constraint on the training latency and constraints on the transmission power and bandwidth, transmission of a large number of model parameters inevitably suffers from quantization errors (QE) and transmission outage (TO). In this paper, we consider such non-ideal wireless channels, and carry out the first analysis showing that the FL convergence can be severely jeopardized by TO and QE, but intriguingly can be alleviated if the clients have uniform outage probabilities. These insightful results motivate us to propose a robust FL scheme, named FedTOE, which performs joint allocation of wireless resources and quantization bits across the clients to minimize the QE while making the clients have the same TO probability. Extensive experimental results are presented to show the superior performance of FedTOE for deep learning-based classification tasks with transmission latency constraints.