pwc-archive/papers-with-abstracts huggingface dataset:
SynthETIC: an individual insurance claim simulator with feature control
Authors: Benjamin Avanzi, Gregory Clive Taylor, Melantha Wang, Bernard Wong
Date: 2020-08-13 00:00:00

Recent years have seen rapid increase in the application of machine learning to insurance loss reserving. They yield most value when applied to large data sets, such as individual claims, or large claim triangles. In short, they are likely to be useful in the analysis of any data set whose volume is sufficient to obscure a naked-eye view of its features. Unfortunately, such large data sets are in short supply in the actuarial literature. Accordingly, one needs to turn to synthetic data. Although the ultimate objective of these methods is application to real data, the use of synthetic data containing features commonly observed in real data is also to be encouraged. While there are a number of claims simulators in existence, each valuable within its own context, the inclusion of a number of desirable (but complicated) data features requires further development. Accordingly, in this paper we review those desirable features, and propose a new simulator of individual claim experience called `SynthETIC`. Our simulator is publicly available, open source, and fills a gap in the non-life actuarial toolkit. The simulator specifically allows for desirable (but optionally complicated) data features typically occurring in practice, such as variations in rates of settlements and development patterns; as with superimposed inflation, and various discontinuities, and also enables various dependencies between variables. The user has full control of the mechanics of the evolution of an individual claim. As a result, the complexity of the data set generated (meaning the level of difficulty of analysis) may be dialled anywhere from extremely simple to extremely complex.
Collective predator evasion: Putting the criticality hypothesis to the test
Authors: Pascal P. Klamser, Pawel Romanczuk
Date: 2020-09-04 00:00:00

According to the criticality hypothesis, collective biological systems should operate in a special parameter region, close to so-called critical points, where the collective behavior undergoes a qualitative change between different dynamical regimes. Critical systems exhibit unique properties, which may benefit collective information processing such as maximal responsiveness to external stimuli. Besides neuronal and gene-regulatory networks, recent empirical data suggests that also animal collectives may be examples of self-organized critical systems. However, open questions about self-organization mechanisms in animal groups remain: Evolutionary adaptation towards a group-level optimum (group-level selection), implicitly assumed in the "criticality hypothesis", appears in general not reasonable for fission-fusion groups composed of non-related individuals. Furthermore, previous theoretical work relies on non-spatial models, which ignore potentially important self-organization and spatial sorting effects. Using a generic, spatially-explicit model of schooling prey being attacked by a predator, we show first that schools operating at criticality perform best. However, this is not due to optimal response of the prey to the predator, as suggested by the "criticality hypothesis", but rather due to the spatial structure of the prey school at criticality. Secondly, by investigating individual-level evolution, we show that strong spatial self-sorting effects at the critical point lead to strong selection gradients, and make it an evolutionary unstable state. Our results demonstrate the decisive role of spatio-temporal phenomena in collective behavior, and that individual-level selection is in general not a viable mechanism for self-tuning of unrelated animal groups towards criticality.
Dynamic Attitude Estimation Improvement for Low-cost MEMS IMU by Integrating Low-cost GPS
Authors: Guiqiu Liao, Jiankang Zhao, Chao Cui, Haihui Long, Jianbin Zhu, Achraf Djerida
Date: 2020-08-24 00:00:00

This paper proposes a low-cost six Degree-of-Freedom (6-DOF) navigation system for small aerial robots based on the integration of Global Position System (GPS) receiver with sensors of inertional Microelectromechanical Systems (MEMS). In the problem of fusing Inertial Measurement Unit (IMU) with low-cost GPS, the effect of time synchronization error on attitude estimation is concerned. A fusion algorithm which can estimate the motion states and the time synchronization error simultaneously is proposed. This algorithm adds a time estimation loop to improve estimation accuracy. Compared with another states augmented estimation approach, this method has the advantages of lower computation burden, avoidance of the discretization error in the low sample rate. The estimation algorithm is implemented in an low-cost embedded microprocessor where the update rate of algorithm can achieve more than 100 Hz, and therefore high-performance computational units are not necessary. In robotic experiment, the proposed algorithm serves as the navigation solution for a small aerial robot. The accuracy and reliability of the self-designed system are tested when the robot is moving with significant acceleration.
Polynomial expansion of the binary classification function
Authors: Péter Kövesárki
Date: 2012-03-26 00:00:00
Tasks: Binary Classification, Classification, General Classification, regression, Robust classification

This paper describes a novel method to approximate the polynomial coefficients of regression functions, with particular interest on multi-dimensional classification. The derivation is simple, and offers a fast, robust classification technique that is resistant to over-fitting.
Multiscale Topology Characterises Dynamic Tumour Vascular Networks
Authors: Bernadette J. Stolz, Jakob Kaeppler, Bostjan Markelc, Franziska Mech, Florian Lipsmeier, Ruth J. Muschel, Helen M. Byrne, Heather A. Harrington
Date: 2020-08-19 00:00:00
Tasks: Topological Data Analysis

Advances in imaging techniques enable high resolution 3D visualisation of vascular networks over time and reveal abnormal structural features such as twists and loops, and their quantification is an active area of research. Here we showcase how topological data analysis (TDA), the mathematical field that studies `shape' of data, can characterise the geometric, spatial and temporal organisation of vascular networks. We propose two topological lenses to study vasculature, which capture inherent multi-scale features and vessel connectivity, and surpass the single scale analysis of existing methods. We analyse images collected using intravital and ultramicroscopy modalities and quantify spatio-temporal variation of twists, loops, and avascular regions (voids) in 3D vascular networks. This topological approach validates and quantifies known qualitative trends such as dynamic changes in tortuosity and loops in response to antibodies that modulate vessel sprouting; furthermore, it quantifies the effect of radiotherapy on vessel architecture.
Deep Predictive Learning in Neocortex and Pulvinar
Authors: Randall C. O'Reilly, Jacob L. Russin, Maryam Zolfaghar, John Rohrlich
Date: 2020-06-26 00:00:00

How do humans learn from raw sensory experience? Throughout life, but most obviously in infancy, we learn without explicit instruction. We propose a detailed biological mechanism for the widely-embraced idea that learning is based on the differences between predictions and actual outcomes (i.e., predictive error-driven learning). Specifically, numerous weak projections into the pulvinar nucleus of the thalamus generate top-down predictions, and sparse, focal driver inputs from lower areas supply the actual outcome, originating in layer 5 intrinsic bursting (5IB) neurons. Thus, the outcome is only briefly activated, roughly every 100 msec (i.e., 10 Hz, alpha), resulting in a temporal difference error signal, which drives local synaptic changes throughout the neocortex, resulting in a biologically-plausible form of error backpropagation learning. We implemented these mechanisms in a large-scale model of the visual system, and found that the simulated inferotemporal (IT) pathway learns to systematically categorize 3D objects according to invariant shape properties, based solely on predictive learning from raw visual inputs. These categories match human judgments on the same stimuli, and are consistent with neural representations in IT cortex in primates.
Government spending and multi-category treatment effects:The modified conditional independence assumption
Authors: Koiti Yano
Date: 2020-07-16 00:00:00
Tasks: regression

I devise a novel approach to evaluate the effectiveness of fiscal policy in the short run with multi-category treatment effects and inverse probability weighting based on the potential outcome framework. This study's main contribution to the literature is the proposed modified conditional independence assumption to improve the evaluation of fiscal policy. Using this approach, I analyze the effects of government spending on the US economy from 1992 to 2019. The empirical study indicates that large fiscal contraction generates a negative effect on the economic growth rate, and small and large fiscal expansions realize a positive effect. However, these effects are not significant in the traditional multiple regression approach. I conclude that this new approach significantly improves the evaluation of fiscal policy.
ADL-MVDR: All deep learning MVDR beamformer for target speech separation
Authors: Zhuohuang Zhang, Yong Xu, Meng Yu, Shi-Xiong Zhang, LianWu Chen, Dong Yu
Date: 2020-08-16 00:00:00
Tasks: All, Speech Separation

Speech separation algorithms are often used to separate the target speech from other interfering sources. However, purely neural network based speech separation systems often cause nonlinear distortion that is harmful for ASR systems. The conventional mask-based minimum variance distortionless response (MVDR) beamformer can be used to minimize the distortion, but comes with high level of residual noise. Furthermore, the matrix inversion and eigenvalue decomposition processes involved in the conventional MVDR solution are not stable when jointly trained with neural networks. In this paper, we propose a novel all deep learning MVDR framework, where the matrix inversion and eigenvalue decomposition are replaced by two recurrent neural networks (RNNs), to resolve both issues at the same time. The proposed method can greatly reduce the residual noise while keeping the target speech undistorted by leveraging on the RNN-predicted frame-wise beamforming weights. The system is evaluated on a Mandarin audio-visual corpus and compared against several state-of-the-art (SOTA) speech separation systems. Experimental results demonstrate the superiority of the proposed method across several objective metrics and ASR accuracy.
A Model of the Fed's View on Inflation
Authors: Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin, Giovanni Ricco
Date: 2020-06-25 00:00:00
Tasks: model, Time Series, Time Series Analysis

We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a Phillips curve and temporary fluctuations in energy prices. We find that a stable long-term inflation trend and a well identified steep Phillips curve are consistent with the data, but they imply potential output declining since the new millennium and energy prices affecting headline inflation not only via the Phillips curve but also via an independent expectational channel. A high-frequency energy price cycle can be related to global factors affecting the commodity market, and often overpowers the Phillips curve thereby explaining the inflation puzzles of the last ten years.
Screening for REM Sleep Behaviour Disorder with Minimal Sensors
Authors: Navin Cooray, Fernando Andreotti, Christine Lo, Mkael Symmonds, Michele T. M. Hu, Maarten De Vos
Date: 2019-10-24 00:00:00
Tasks: EEG, Electroencephalogram (EEG), Sleep Staging, Specificity

Rapid-Eye-Movement (REM) sleep behaviour disorder (RBD) is an early predictor of Parkinson's disease, dementia with Lewy bodies, and multiple system atrophy. This study investigates a minimal set of sensors to achieve effective screening for RBD in the population, integrating automated sleep staging (three state) followed by RBD detection without the need for cumbersome electroencephalogram (EEG) sensors. Polysomnography signals from 50 participants with RBD and 50 age-matched healthy controls were used to evaluate this study. Three stage sleep classification was achieved using a Random Forest (RF) classifier and features derived from a combination of cost-effective and easy to use sensors, namely electrocardiogram (ECG), electrooculogram (EOG), and electromyogram (EMG) channels. Subsequently, RBD detection was achieved using established and new metrics derived from ECG and EMG metrics. The EOG and EMG combination provided the best minimalist fully automated performance, achieving $0.57\pm0.19$ kappa (3 stage) for sleep staging and an RBD detection accuracy of $0.90\pm0.11$, (sensitivity, and specificity $0.88\pm0.13$, and $0.92\pm0.098$). A single ECG sensor allowed three state sleep staging with $0.28\pm0.06$ kappa and RBD detection accuracy of $0.62\pm0.10$. This study demonstrated the feasibility of using signals from a single EOG and EMG sensor to detect RBD using fully-automated techniques. This study proposes a cost-effective, practical, and simple RBD identification support tool using only two sensors (EMG and EOG), ideal for screening purposes.
A predictive model for Covid-19 spread applied to eight US states
Authors: Zeina S. Khan, Frank Van Bussel, Fazle Hussain
Date: 2020-06-10 00:00:00

A compartmental epidemic model is proposed to predict the Covid-19 virus spread. It considers: both detected and undetected infected populations, medical quarantine and social sequestration, release from sequestration, plus possible reinfection. The coefficients in the model are evaluated by fitting to empirical data for eight US states: Arizona, California, Florida, Illinois, Louisiana, New Jersey, New York State, and Texas. Together these states make up 43% of the US population; some of these states appear to have handled their initial outbreaks well, while others appear to be emerging hotspots. The evolution of Covid-19 is fairly similar among the states: variations in contact and recovery rates remain below 5%; however, not surprisingly, variations are larger in death rate, reinfection rate, stay-at-home effect, and release rate from sequestration. The results reveal that outbreaks may have been well underway in several states before first detected and that California might have seen more than one influx of the pandemic. Our projections based on the current situation indicate that Covid-19 will become endemic, spreading for more than two years. Should states fully relax stay-at-home orders, most states may experience a secondary peak in 2021. If lockdowns had been kept in place, the number of Covid-19 deaths so far could have been significantly lower in most states that opened up. Additionally, our model predicts that decreasing contact rate by 10%, or increasing testing by approximately 15%, or doubling lockdown compliance (from the current $\sim$ 15% to $\sim$ 30%) will eradicate infections in the state of Texas within a year. Extending our fits for all of the US states, we predict about 11 million total infections (including undetected), 8 million cumulative confirmed cases, and 630,000 cumulative deaths by November 1, 2020.
Sensitivity and specificity of a Bayesian single trial analysis for time varying neural signals
Authors: Jeff T. Mohl, Valeria C. Caruso, Surya T. Tokdar, Jennifer M. Groh
Date: 2020-01-30 00:00:00
Tasks: Sensitivity, Specificity

We recently reported the existence of fluctuations in neural signals that may permit neurons to code multiple simultaneous stimuli sequentially across time. This required deploying a novel statistical approach to permit investigation of neural activity at the scale of individual trials. Here we present tests using synthetic data to assess the sensitivity and specificity of this analysis. We fabricated datasets to match each of several potential response patterns derived from single-stimulus response distributions. In particular, we simulated dual stimulus trial spike counts that reflected fluctuating mixtures of the single stimulus spike counts, stable intermediate averages, single stimulus winner-take-all, or response distributions that were outside the range defined by the single stimulus responses (such as summation or suppression). We then assessed how well the analysis recovered the correct response pattern as a function of the number of simulated trials and the difference between the simulated responses to each "stimulus" alone. We found excellent recovery of the mixture, intermediate, and outside categories (>97% percent correct), and good recovery of the single/winner-take-all category (>90% correct) when the number of trials was >20 and the single-stimulus response rates were 50Hz and 20Hz respectively. Both larger numbers of trials and greater separation between the single stimulus firing rates improved categorization accuracy. These results provide a benchmark, and guidelines for data collection, for use of this method to investigate coding of multiple items at the individual-trial time scale.
A dynamical system model for predicting gene expression from the epigenome
Authors: James Brunner, Jacob Kim, Timothy Downing, Eric Mjolsness, Kord M. Kober
Date: 2020-08-03 00:00:00

Gene regulation is an important fundamental biological process. The regulation of gene expression is managed through a variety of methods including epigenetic processes (e.g., DNA methylation). Understanding the role of epigenetic changes in gene expression is a fundamental question of molecular biology. Predictions of gene expression values from epigenetic data have tremendous research and clinical potential. Despite active research, studies to date have focused on using statistical models to predict gene expression from methylation data. In contrast, dynamical systems can be used to generate a model to predict gene expression using epigenetic data and a gene regulatory network (GRN) which can also serve as a mechanistic hypothesis. Here we present a novel stochastic dynamical systems model that predicts gene expression levels from methylation data of genes in a given GRN. We provide an evaluation of the model using real patient data and a GRN created from robust reference sources. Software for dataset preparation, model parameter fitting and prediction generation, and reporting are available at \verb|https://github.com/kordk/stoch_epi_lib|.
mmRAPID: Machine Learning assisted Noncoherent Compressive Millimeter-Wave Beam Alignment
Authors: Han Yan, Benjamin W. Domae, Danijela Cabric
Date: 2020-07-23 00:00:00
Tasks: BIG-bench Machine Learning, Compressive Sensing

Millimeter-wave communication has the potential to deliver orders of magnitude increases in mobile data rates. A key design challenge is to enable rapid beam alignment with phased arrays. Traditional millimeter-wave systems require a high beam alignment overhead, typically an exhaustive beam sweep, to find the beam direction with the highest beamforming gain. Compressive sensing is a promising framework to accelerate beam alignment. However, model mismatch from practical array hardware impairments poses a challenge to its implementation. In this work, we introduce a neural network assisted compressive beam alignment method that uses noncoherent received signal strength measured by a small number of pseudorandom sounding beams to infer the optimal beam steering direction. We experimentally showcase our proposed approach with a 60GHz 36-element phased array in a suburban line-of-sight environment. The results show that our approach achieves post alignment beamforming gain within 1dB margin compared to an exhaustive search with 90.2 percent overhead reduction. Compared to purely model-based noncoherent compressive beam alignment, our method has 75 percent overhead reduction.
Forecasting the Price-Response of a Pool of Buildings via Homothetic Inverse Optimization
Authors: Ricardo Fernández-Blanco, Juan Miguel Morales, Salvador Pineda
Date: 2020-04-21 00:00:00

This paper focuses on the day-ahead forecasting of the aggregate power of a pool of smart buildings equipped with thermostatically-controlled loads. We first propose the modeling of the aggregate behavior of its power trajectory by using a geometric approach. Specifically, we assume that the aggregate power is a homothet of a prototype building, whose physical and technical parameters are chosen to be the mean of those in the pool. This allows us to preserve the building thermal dynamics of the pool. We then apply inverse optimization to estimate the homothetic parameters with bilevel programming. The lower level characterizes the price-response of the ensemble by a set of marginal utility curves and a homothet of the prototype building, which, in turn, are inferred in the upper-level problem. The upper level minimizes the mean absolute error over a training sample. This bilevel program is transformed into a regularized nonlinear problem that is initialized with the solution given by an efficient heuristic procedure. This heuristic consists in solving two linear programs and its solution is deemed a suitable proxy for the original bilevel problem. The results have been compared to state-of-the-art methodologies.
Quantifying dynamical high-order interdependencies from the O-information: an application to neural spiking dynamics
Authors: Sebastiano Stramaglia, Tomas Scagliarini, Bryan C. Daniels, Daniele Marinazzo
Date: 2020-07-31 00:00:00

We address the problem of efficiently and informatively quantifying how multiplets of variables carry information about the future of the dynamical system they belong to. In particular we want to identify groups of variables carrying redundant or synergistic information, and track how the size and the composition of these multiplets changes as the collective behavior of the system evolves. In order to afford a parsimonious expansion of shared information, and at the same time control for lagged interactions and common effect, we develop a dynamical, conditioned version of the O-information, a framework recently proposed to quantify high-order interdependencies via multivariate extension of the mutual information. We thus obtain an expansion of the transfer entropy in which synergistic and redundant effects are separated. We apply this framework to a dataset of spiking neurons from a monkey performing a perceptual discrimination task. The method identifies synergistic multiplets that include neurons previously categorized as containing little relevant information individually.
Exact Smooth Term-Structure Estimation
Authors: Damir Filipović, Sander Willems
Date: 2016-06-13 00:00:00

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic linear algebra operations. We provide a full theoretical framework as well as several practical applications.