pwc-archive/papers-with-abstracts huggingface dataset:
Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity
Authors: Daniel Poh, Stephen Roberts, Stefan Zohren
Date: 2022-08-21 00:00:00

Cross-sectional strategies are a classical and popular trading style, with recent high performing variants incorporating sophisticated neural architectures. While these strategies have been applied successfully to data-rich settings involving mature assets with long histories, deploying them on instruments with limited samples generally produce over-fitted models with degraded performance. In this paper, we introduce Fused Encoder Networks -- a novel and hybrid parameter-sharing transfer ranking model. The model fuses information extracted using an encoder-attention module operated on a source dataset with a similar but separate module focused on a smaller target dataset of interest. This mitigates the issue of models with poor generalisability that are a consequence of training on scarce target data. Additionally, the self-attention mechanism enables interactions among instruments to be accounted for, not just at the loss level during model training, but also at inference time. Focusing on momentum applied to the top ten cryptocurrencies by market capitalisation as a demonstrative use-case, the Fused Encoder Networks outperforms the reference benchmarks on most performance measures, delivering a three-fold boost in the Sharpe ratio over classical momentum as well as an improvement of approximately 50% against the best benchmark model without transaction costs. It continues outperforming baselines even after accounting for the high transaction costs associated with trading cryptocurrencies.
Inferring Sensitive Attributes from Model Explanations
Authors: Vasisht Duddu, Antoine Boutet
Date: 2022-08-21 00:00:00
Tasks: Attribute, Inference Attack, model

Model explanations provide transparency into a trained machine learning model's blackbox behavior to a model builder. They indicate the influence of different input attributes to its corresponding model prediction. The dependency of explanations on input raises privacy concerns for sensitive user data. However, current literature has limited discussion on privacy risks of model explanations. We focus on the specific privacy risk of attribute inference attack wherein an adversary infers sensitive attributes of an input (e.g., race and sex) given its model explanations. We design the first attribute inference attack against model explanations in two threat models where model builder either (a) includes the sensitive attributes in training data and input or (b) censors the sensitive attributes by not including them in the training data and input. We evaluate our proposed attack on four benchmark datasets and four state-of-the-art algorithms. We show that an adversary can successfully infer the value of sensitive attributes from explanations in both the threat models accurately. Moreover, the attack is successful even by exploiting only the explanations corresponding to sensitive attributes. These suggest that our attack is effective against explanations and poses a practical threat to data privacy. On combining the model predictions (an attack surface exploited by prior attacks) with explanations, we note that the attack success does not improve. Additionally, the attack success on exploiting model explanations is better compared to exploiting only model predictions. These suggest that model explanations are a strong attack surface to exploit for an adversary.
Heterogeneous Graph Masked Autoencoders
Authors: Yijun Tian, Kaiwen Dong, Chunhui Zhang, Chuxu Zhang, Nitesh V. Chawla
Date: 2022-08-21 00:00:00
Tasks: Attribute, Self-Supervised Learning

Generative self-supervised learning (SSL), especially masked autoencoders, has become one of the most exciting learning paradigms and has shown great potential in handling graph data. However, real-world graphs are always heterogeneous, which poses three critical challenges that existing methods ignore: 1) how to capture complex graph structure? 2) how to incorporate various node attributes? and 3) how to encode different node positions? In light of this, we study the problem of generative SSL on heterogeneous graphs and propose HGMAE, a novel heterogeneous graph masked autoencoder model to address these challenges. HGMAE captures comprehensive graph information via two innovative masking techniques and three unique training strategies. In particular, we first develop metapath masking and adaptive attribute masking with dynamic mask rate to enable effective and stable learning on heterogeneous graphs. We then design several training strategies including metapath-based edge reconstruction to adopt complex structural information, target attribute restoration to incorporate various node attributes, and positional feature prediction to encode node positional information. Extensive experiments demonstrate that HGMAE outperforms both contrastive and generative state-of-the-art baselines on several tasks across multiple datasets. Codes are available at https://github.com/meettyj/HGMAE.
Energy-aware Scheduling of Virtualized Base Stations in O-RAN with Online Learning
Authors: Michail Kalntis, George Iosifidis
Date: 2022-08-21 00:00:00
Tasks: Scheduling

The design of Open Radio Access Network (O-RAN) compliant systems for configuring the virtualized Base Stations (vBSs) is of paramount importance for network operators. This task is challenging since optimizing the vBS scheduling procedure requires knowledge of parameters, which are erratic and demanding to obtain in advance. In this paper, we propose an online learning algorithm for balancing the performance and energy consumption of a vBS. This algorithm provides performance guarantees under unforeseeable conditions, such as non-stationary traffic and network state, and is oblivious to the vBS operation profile. We study the problem in its most general form and we prove that the proposed technique achieves sub-linear regret (i.e., zero average optimality gap) even in a fast-changing environment. By using real-world data and various trace-driven evaluations, our findings indicate savings of up to 74.3% in the power consumption of a vBS in comparison with state-of-the-art benchmarks.
Do-AIQ: A Design-of-Experiment Approach to Quality Evaluation of AI Mislabel Detection Algorithm
Authors: J. Lian, K. Choi, B. Veeramani, A. Hu, L. Freeman, E. Bowen, X. Deng
Date: 2022-08-21 00:00:00
Tasks: Autonomous Driving, Data Poisoning

The quality of Artificial Intelligence (AI) algorithms is of significant importance for confidently adopting algorithms in various applications such as cybersecurity, healthcare, and autonomous driving. This work presents a principled framework of using a design-of-experimental approach to systematically evaluate the quality of AI algorithms, named as Do-AIQ. Specifically, we focus on investigating the quality of the AI mislabel data algorithm against data poisoning. The performance of AI algorithms is affected by hyperparameters in the algorithm and data quality, particularly, data mislabeling, class imbalance, and data types. To evaluate the quality of the AI algorithms and obtain a trustworthy assessment on the quality of the algorithms, we establish a design-of-experiment framework to construct an efficient space-filling design in a high-dimensional constraint space and develop an effective surrogate model using additive Gaussian process to enable the emulation of the quality of AI algorithms. Both theoretical and numerical studies are conducted to justify the merits of the proposed framework. The proposed framework can set an exemplar for AI algorithm to enhance the AI assurance of robustness, reproducibility, and transparency.
MolGraph: a Python package for the implementation of molecular graphs and graph neural networks with TensorFlow and Keras
Authors: Alexander Kensert, Gert Desmet, Deirdre Cabooter
Date: 2022-08-21 00:00:00
Tasks: Graph Neural Network

Molecular machine learning (ML) has proven important for tackling various molecular problems, such as predicting molecular properties based on molecular descriptors or fingerprints. Since relatively recently, graph neural network (GNN) algorithms have been implemented for molecular ML, showing comparable or superior performance to descriptor or fingerprint-based approaches. Although various tools and packages exist to apply GNNs in molecular ML, a new GNN package, named MolGraph, was developed in this work with the motivation to create GNN model pipelines highly compatible with the TensorFlow and Keras application programming interface (API). MolGraph also implements a chemistry module to accommodate the generation of small molecular graphs, which can be passed to a GNN algorithm to solve a molecular ML problem. To validate the GNNs, they were benchmarked against the datasets of MoleculeNet, as well as three chromatographic retention time datasets. The results on these benchmarks illustrate that the GNNs performed as expected. Additionally, the GNNs proved useful for molecular identification and improved interpretability of chromatographic retention time data. MolGraph is available at https://github.com/akensert/molgraph. Installation, tutorials and implementation details can be found at https://molgraph.readthedocs.io/en/latest/.
Instability and Local Minima in GAN Training with Kernel Discriminators
Authors: Evan Becker, Parthe Pandit, Sundeep Rangan, Alyson K. Fletcher
Date: 2022-08-21 00:00:00

Generative Adversarial Networks (GANs) are a widely-used tool for generative modeling of complex data. Despite their empirical success, the training of GANs is not fully understood due to the min-max optimization of the generator and discriminator. This paper analyzes these joint dynamics when the true samples, as well as the generated samples, are discrete, finite sets, and the discriminator is kernel-based. A simple yet expressive framework for analyzing training called the $\textit{Isolated Points Model}$ is introduced. In the proposed model, the distance between true samples greatly exceeds the kernel width, so each generated point is influenced by at most one true point. Our model enables precise characterization of the conditions for convergence, both to good and bad minima. In particular, the analysis explains two common failure modes: (i) an approximate mode collapse and (ii) divergence. Numerical simulations are provided that predictably replicate these behaviors.
AA-Forecast: Anomaly-Aware Forecast for Extreme Events
Authors: Ashkan Farhangi, Jiang Bian, Arthur Huang, Haoyi Xiong, Jun Wang, Zhishan Guo
Date: 2022-08-21 00:00:00
Tasks: Anomaly Forecasting, Multivariate Time Series Forecasting, Probabilistic Time Series Forecasting, Time Series, Time Series Analysis, Time Series Anomaly Detection, Time Series Forecasting, Time Series Prediction, Univariate Time Series Forecasting

Time series models often deal with extreme events and anomalies, both prevalent in real-world datasets. Such models often need to provide careful probabilistic forecasting, which is vital in risk management for extreme events such as hurricanes and pandemics. However, it is challenging to automatically detect and learn to use extreme events and anomalies for large-scale datasets, which often require manual effort. Hence, we propose an anomaly-aware forecast framework that leverages the previously seen effects of anomalies to improve its prediction accuracy during and after the presence of extreme events. Specifically, the framework automatically extracts anomalies and incorporates them through an attention mechanism to increase its accuracy for future extreme events. Moreover, the framework employs a dynamic uncertainty optimization algorithm that reduces the uncertainty of forecasts in an online manner. The proposed framework demonstrated consistent superior accuracy with less uncertainty on three datasets with different varieties of anomalies over the current prediction models.
Alexa, Predict My Flight Delay
Authors: Sia Gholami, Saba Khashe
Date: 2022-08-21 00:00:00
Tasks: Prediction

Airlines are critical today for carrying people and commodities on time. Any delay in the schedule of these planes can potentially disrupt the business and trade of thousands of employees at any given time. Therefore, precise flight delay prediction is beneficial for the aviation industry and passenger travel. Recent research has focused on using artificial intelligence algorithms to predict the possibility of flight delays. Earlier prediction algorithms were designed for a specific air route or airfield. Many present flight delay prediction algorithms rely on tiny samples and are challenging to understand, allowing almost no room for machine learning implementation. This research study develops a flight delay prediction system by analyzing data from domestic flights inside the United States of America. The proposed models learn about the factors that cause flight delays and cancellations and the link between departure and arrival delays.
MentorGNN: Deriving Curriculum for Pre-Training GNNs
Authors: Dawei Zhou, Lecheng Zheng, Dongqi Fu, Jiawei Han, Jingrui He
Date: 2022-08-21 00:00:00
Tasks: Domain Adaptation, Graph Mining

Graph pre-training strategies have been attracting a surge of attention in the graph mining community, due to their flexibility in parameterizing graph neural networks (GNNs) without any label information. The key idea lies in encoding valuable information into the backbone GNNs, by predicting the masked graph signals extracted from the input graphs. In order to balance the importance of diverse graph signals (e.g., nodes, edges, subgraphs), the existing approaches are mostly hand-engineered by introducing hyperparameters to re-weight the importance of graph signals. However, human interventions with sub-optimal hyperparameters often inject additional bias and deteriorate the generalization performance in the downstream applications. This paper addresses these limitations from a new perspective, i.e., deriving curriculum for pre-training GNNs. We propose an end-to-end model named MentorGNN that aims to supervise the pre-training process of GNNs across graphs with diverse structures and disparate feature spaces. To comprehend heterogeneous graph signals at different granularities, we propose a curriculum learning paradigm that automatically re-weighs graph signals in order to ensure a good generalization in the target domain. Moreover, we shed new light on the problem of domain adaption on relational data (i.e., graphs) by deriving a natural and interpretable upper bound on the generalization error of the pre-trained GNNs. Extensive experiments on a wealth of real graphs validate and verify the performance of MentorGNN.
Provable Adaptivity of Adam under Non-uniform Smoothness
Authors: Bohan Wang, Yushun Zhang, Huishuai Zhang, Qi Meng, Ruoyu Sun, Zhi-Ming Ma, Tie-Yan Liu, Zhi-Quan Luo, Wei Chen
Date: 2022-08-21 00:00:00
Tasks: Attribute

Adam is widely adopted in practical applications due to its fast convergence. However, its theoretical analysis is still far from satisfactory. Existing convergence analyses for Adam rely on the bounded smoothness assumption, referred to as the \emph{L-smooth condition}. Unfortunately, this assumption does not hold for many deep learning tasks. Moreover, we believe that this assumption obscures the true benefit of Adam, as the algorithm can adapt its update magnitude according to local smoothness. This important feature of Adam becomes irrelevant when assuming globally bounded smoothness. This paper studies the convergence of randomly reshuffled Adam (RR Adam) with diminishing learning rate, which is the major version of Adam adopted in deep learning tasks. We present the first convergence analysis of RR Adam without the bounded smoothness assumption. We demonstrate that RR Adam can maintain its convergence properties when smoothness is linearly bounded by the gradient norm, referred to as the \emph{$(L_0, L_1)$-smooth condition. We further compare Adam to SGD when both methods use diminishing learning rate. We refine the existing lower bound of SGD and show that SGD can be slower than Adam. To our knowledge, this is the first time that Adam and SGD are rigorously compared in the same setting and the advantage of Adam is revealed.
Multiple Descent in the Multiple Random Feature Model
Authors: Xuran Meng, Jianfeng Yao, Yuan Cao
Date: 2022-08-21 00:00:00
Tasks: Ensemble Learning, model, regression

Recent works have demonstrated a double descent phenomenon in over-parameterized learning. Although this phenomenon has been investigated by recent works, it has not been fully understood in theory. In this paper, we investigate the multiple descent phenomenon in a class of multi-component prediction models. We first consider a ''double random feature model'' (DRFM) concatenating two types of random features, and study the excess risk achieved by the DRFM in ridge regression. We calculate the precise limit of the excess risk under the high dimensional framework where the training sample size, the dimension of data, and the dimension of random features tend to infinity proportionally. Based on the calculation, we further theoretically demonstrate that the risk curves of DRFMs can exhibit triple descent. We then provide a thorough experimental study to verify our theory. At last, we extend our study to the ''multiple random feature model'' (MRFM), and show that MRFMs ensembling $K$ types of random features may exhibit $(K+1)$-fold descent. Our analysis points out that risk curves with a specific number of descent generally exist in learning multi-component prediction models.
G2Φnet: Relating Genotype and Biomechanical Phenotype of Tissues with Deep Learning
Authors: Enrui Zhang, Bart Spronck, Jay D. Humphrey, George Em Karniadakis
Date: 2022-08-21 00:00:00

Many genetic mutations adversely affect the structure and function of load-bearing soft tissues, with clinical sequelae often responsible for disability or death. Parallel advances in genetics and histomechanical characterization provide significant insight into these conditions, but there remains a pressing need to integrate such information. We present a novel genotype-to-biomechanical-phenotype neural network (G2{\Phi}net) for characterizing and classifying biomechanical properties of soft tissues, which serve as important functional readouts of tissue health or disease. We illustrate the utility of our approach by inferring the nonlinear, genotype-dependent constitutive behavior of the aorta for four mouse models involving defects or deficiencies in extracellular constituents. We show that G2{\Phi}net can infer the biomechanical response while simultaneously ascribing the associated genotype correctly by utilizing limited, noisy, and unstructured experimental data. More broadly, G2{\Phi}net provides a powerful method and a paradigm shift for correlating genotype and biomechanical phenotype quantitatively, promising a better understanding of their interplay in biological tissues.
Provably Tightest Linear Approximation for Robustness Verification of Sigmoid-like Neural Networks
Authors: Zhaodi Zhang, Yiting Wu, Si Liu, Jing Liu, Min Zhang
Date: 2022-08-21 00:00:00

The robustness of deep neural networks is crucial to modern AI-enabled systems and should be formally verified. Sigmoid-like neural networks have been adopted in a wide range of applications. Due to their non-linearity, Sigmoid-like activation functions are usually over-approximated for efficient verification, which inevitably introduces imprecision. Considerable efforts have been devoted to finding the so-called tighter approximations to obtain more precise verification results. However, existing tightness definitions are heuristic and lack theoretical foundations. We conduct a thorough empirical analysis of existing neuron-wise characterizations of tightness and reveal that they are superior only on specific neural networks. We then introduce the notion of network-wise tightness as a unified tightness definition and show that computing network-wise tightness is a complex non-convex optimization problem. We bypass the complexity from different perspectives via two efficient, provably tightest approximations. The results demonstrate the promising performance achievement of our approaches over state of the art: (i) achieving up to 251.28% improvement to certified lower robustness bounds; and (ii) exhibiting notably more precise verification results on convolutional networks.
Twin Papers: A Simple Framework of Causal Inference for Citations via Coupling
Authors: Ryoma Sato, Makoto Yamada, Hisashi Kashima
Date: 2022-08-21 00:00:00
Tasks: Causal Inference, counterfactual

The research process includes many decisions, e.g., how to entitle and where to publish the paper. In this paper, we introduce a general framework for investigating the effects of such decisions. The main difficulty in investigating the effects is that we need to know counterfactual results, which are not available in reality. The key insight of our framework is inspired by the existing counterfactual analysis using twins, where the researchers regard twins as counterfactual units. The proposed framework regards a pair of papers that cite each other as twins. Such papers tend to be parallel works, on similar topics, and in similar communities. We investigate twin papers that adopted different decisions, observe the progress of the research impact brought by these studies, and estimate the effect of decisions by the difference in the impacts of these studies. We release our code and data, which we believe are highly beneficial owing to the scarcity of the dataset on counterfactual studies.
Emergence of hierarchical modes from deep learning
Authors: Chan Li, Haiping Huang
Date: 2022-08-21 00:00:00
Tasks: Deep Learning

Large-scale deep neural networks consume expensive training costs, but the training results in less-interpretable weight matrices constructing the networks. Here, we propose a mode decomposition learning that can interpret the weight matrices as a hierarchy of latent modes. These modes are akin to patterns in physics studies of memory networks, but the least number of modes increases only logarithmically with the network width, and becomes even a constant when the width further grows. The mode decomposition learning not only saves a significant large amount of training costs, but also explains the network performance with the leading modes, displaying a striking piecewise power-law behavior. The modes specify a progressively compact latent space across the network hierarchy, making a more disentangled subspaces compared to standard training. Our mode decomposition learning is also studied in an analytic on-line learning setting, which reveals multi-stage of learning dynamics with a continuous specialization of hidden nodes. Therefore, the proposed mode decomposition learning points to a cheap and interpretable route towards the magical deep learning.
Last-Iterate Convergence with Full and Noisy Feedback in Two-Player Zero-Sum Games
Authors: Kenshi Abe, Kaito Ariu, Mitsuki Sakamoto, Kentaro Toyoshima, Atsushi Iwasaki
Date: 2022-08-21 00:00:00
Tasks: Multi-agent Reinforcement Learning

This paper proposes Mutation-Driven Multiplicative Weights Update (M2WU) for learning an equilibrium in two-player zero-sum normal-form games and proves that it exhibits the last-iterate convergence property in both full and noisy feedback settings. In the former, players observe their exact gradient vectors of the utility functions. In the latter, they only observe the noisy gradient vectors. Even the celebrated Multiplicative Weights Update (MWU) and Optimistic MWU (OMWU) algorithms may not converge to a Nash equilibrium with noisy feedback. On the contrary, M2WU exhibits the last-iterate convergence to a stationary point near a Nash equilibrium in both feedback settings. We then prove that it converges to an exact Nash equilibrium by iteratively adapting the mutation term. We empirically confirm that M2WU outperforms MWU and OMWU in exploitability and convergence rates.