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Papers


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Improving Factor-Based Quantitative Investing by Forecasting Company Fundamentals

John Alberg, Zachary C. Lipton

On a periodic basis, publicly traded companies are required to report fundamentals: financial data such as revenue, operating income, debt, among others. These data points provide some insight into the financial health of a company. Academic research has identified some factors, i.e. computed features of the reported data, that are known through retrospective analysis to outperform the market average. Two popular factors are the book value normalized by market capitalization (book-to-market) and the operating income normalized by the enterprise value (EBIT/EV). In this paper: we first show through simulation that if we could (clairvoyantly) select stocks using factors calculated on future fundamentals (via oracle), then our portfolios would far outperform a standard factor approach. Motivated by this analysis, we train deep neural networks to forecast future fundamentals based on a trailing 5-years window. Quantitative analysis demonstrates a significant improvement in MSE over a naive strategy. Moreover, in retrospective analysis using an industry-grade stock portfolio simulator (backtester), we show an improvement in compounded annual return to 17.1% (MLP) vs 14.4% for a standard factor model.

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Learning Explanatory Rules from Noisy Data

Richard Evans, Edward Grefenstette

Artificial Neural Networks are powerful function approximators capable of modelling solutions to a wide variety of problems, both supervised and unsupervised. As their size and expressivity increases, so too does the variance of the model, yielding a nearly ubiquitous overfitting problem. Although mitigated by a variety of model regularisation methods, the common cure is to seek large amounts of training data---which is not necessarily easily obtained---that sufficiently approximates the data distribution of the domain we wish to test on. In contrast, logic programming methods such as Inductive Logic Programming offer an extremely data-efficient process by which models can be trained to reason on symbolic domains. However, these methods are unable to deal with the variety of domains neural networks can be applied to: they are not robust to noise in or mislabelling of inputs, and perhaps more importantly, cannot be applied to non-symbolic domains where the data is ambiguous, such as operating on raw pixels. In this paper, we propose a Differentiable Inductive Logic framework ($\partial$ILP), which can not only solve tasks which traditional ILP systems are suited for, but shows a robustness to noise and error in the training data which ILP cannot cope with. Furthermore, as it is trained by backpropagation against a likelihood objective, it can be hybridised by connecting it with neural networks over ambiguous data in order to be applied to domains which ILP cannot address, while providing data efficiency and generalisation beyond what neural networks on their own can achieve.

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Unbounded cache model for online language modeling with open vocabulary

Edouard Grave, Moustapha Cisse, Armand Joulin

Recently, continuous cache models were proposed as extensions to recurrent neural network language models, to adapt their predictions to local changes in the data distribution. These models only capture the local context, of up to a few thousands tokens. In this paper, we propose an extension of continuous cache models, which can scale to larger contexts. In particular, we use a large scale non-parametric memory component that stores all the hidden activations seen in the past. We leverage recent advances in approximate nearest neighbor search and quantization algorithms to store millions of representations while searching them efficiently. We conduct extensive experiments showing that our approach significantly improves the perplexity of pre-trained language models on new distributions, and can scale efficiently to much larger contexts than previously proposed local cache models.

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An Information-Theoretic Analysis of Deep Latent-Variable Models

Alexander A. Alemi, Ben Poole, Ian Fischer, Joshua V. Dillon, Rif A. Saurous, Kevin Murphy

We present an information-theoretic framework for understanding trade-offs in unsupervised learning of deep latent-variables models using variational inference. This framework emphasizes the need to consider latent-variable models along two dimensions: the ability to reconstruct inputs (distortion) and the communication cost (rate). We derive the optimal frontier of generative models in the two-dimensional rate-distortion plane, and show how the standard evidence lower bound objective is insufficient to select between points along this frontier. However, by performing targeted optimization to learn generative models with different rates, we are able to learn many models that can achieve similar generative performance but make vastly different trade-offs in terms of the usage of the latent variable. Through experiments on MNIST and Omniglot with a variety of architectures, we show how our framework sheds light on many recent proposed extensions to the variational autoencoder family.

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Still not systematic after all these years: On the compositional skills of sequence-to-sequence recurrent networks

Brenden M. Lake, Marco Baroni

Humans can understand and produce new utterances effortlessly, thanks to their systematic compositional skills. Once a person learns the meaning of a new verb "dax," he or she can immediately understand the meaning of "dax twice" or "sing and dax." In this paper, we introduce the SCAN domain, consisting of a set of simple compositional navigation commands paired with the corresponding action sequences. We then test the zero-shot generalization capabilities of a variety of recurrent neural networks (RNNs) trained on SCAN with sequence-to-sequence methods. We find that RNNs can generalize well when the differences between training and test commands are small, so that they can apply "mix-and-match" strategies to solve the task. However, when generalization requires systematic compositional skills (as in the "dax" example above), RNNs fail spectacularly. We conclude with a proof-of-concept experiment in neural machine translation, supporting the conjecture that lack of systematicity is an important factor explaining why neural networks need very large training sets.

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JSUT corpus: free large-scale Japanese speech corpus for end-to-end speech synthesis

Ryosuke Sonobe, Shinnosuke Takamichi, Hiroshi Saruwatari

Thanks to improvements in machine learning techniques including deep learning, a free large-scale speech corpus that can be shared between academic institutions and commercial companies has an important role. However, such a corpus for Japanese speech synthesis does not exist. In this paper, we designed a novel Japanese speech corpus, named the "JSUT corpus," that is aimed at achieving end-to-end speech synthesis. The corpus consists of 10 hours of reading-style speech data and its transcription and covers all of the main pronunciations of daily-use Japanese characters. In this paper, we describe how we designed and analyzed the corpus. The corpus is freely available online.

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Deep Residual Learning for Small-Footprint Keyword Spotting

Raphael Tang, Jimmy Lin

We explore the application of deep residual learning and dilated convolutions to the keyword spotting task, using the recently-released Google Speech Commands Dataset as our benchmark. Our best residual network (ResNet) implementation significantly outperforms Google's previous convolutional neural networks in terms of accuracy. By varying model depth and width, we can achieve compact models that also outperform previous small-footprint variants. To our knowledge, we are the first to examine these approaches for keyword spotting, and our results establish an open-source state-of-the-art reference to support the development of future speech-based interfaces.

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Few-shot Autoregressive Density Estimation: Towards Learning to Learn Distributions

Scott Reed, Yutian Chen, Thomas Paine, Aäron van den Oord, S. M. Ali Eslami, Danilo Rezende, Oriol Vinyals, Nando de Freitas

Deep autoregressive models have shown state-of-the-art performance in density estimation for natural images on large-scale datasets such as ImageNet. However, such models require many thousands of gradient-based weight updates and unique image examples for training. Ideally, the models would rapidly learn visual concepts from only a handful of examples, similar to the manner in which humans learns across many vision tasks. In this paper, we show how 1) neural attention and 2) meta learning techniques can be used in combination with autoregressive models to enable effective few-shot density estimation. Our proposed modifications to PixelCNN result in state-of-the art few-shot density estimation on the Omniglot dataset. Furthermore, we visualize the learned attention policy and find that it learns intuitive algorithms for simple tasks such as image mirroring on ImageNet and handwriting on Omniglot without supervision. Finally, we extend the model to natural images and demonstrate few-shot image generation on the Stanford Online Products dataset.

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Dynamic Routing Between Capsules

Sara Sabour, Nicholas Frosst, Geoffrey E Hinton

A capsule is a group of neurons whose activity vector represents the instantiation parameters of a specific type of entity such as an object or object part. We use the length of the activity vector to represent the probability that the entity exists and its orientation to represent the instantiation paramters. Active capsules at one level make predictions, via transformation matrices, for the instantiation parameters of higher-level capsules. When multiple predictions agree, a higher level capsule becomes active. We show that a discrimininatively trained, multi-layer capsule system achieves state-of-the-art performance on MNIST and is considerably better than a convolutional net at recognizing highly overlapping digits. To achieve these results we use an iterative routing-by-agreement mechanism: A lower-level capsule prefers to send its output to higher level capsules whose activity vectors have a big scalar product with the prediction coming from the lower-level capsule.

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Listening to the World Improves Speech Command Recognition

Brian McMahan, Delip Rao

We study transfer learning in convolutional network architectures applied to the task of recognizing audio, such as environmental sound events and speech commands. Our key finding is that not only is it possible to transfer representations from an unrelated task like environmental sound classification to a voice-focused task like speech command recognition, but also that doing so improves accuracies significantly. We also investigate the effect of increased model capacity for transfer learning audio, by first validating known results from the field of Computer Vision of achieving better accuracies with increasingly deeper networks on two audio datasets: UrbanSound8k and the newly released Google Speech Commands dataset. Then we propose a simple multiscale input representation using dilated convolutions and show that it is able to aggregate larger contexts and increase classification performance. Further, the models trained using a combination of transfer learning and multiscale input representations need only 40% of the training data to achieve similar accuracies as a freshly trained model with 100% of the training data. Finally, we demonstrate a positive interaction effect for the multiscale input and transfer learning, making a case for the joint application of the two techniques.

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HyperENTM: Evolving Scalable Neural Turing Machines through HyperNEAT

Jakob Merrild, Mikkel Angaju Rasmussen, Sebastian Risi

Recent developments within memory-augmented neural networks have solved sequential problems requiring long-term memory, which are intractable for traditional neural networks. However, current approaches still struggle to scale to large memory sizes and sequence lengths. In this paper we show how access to memory can be encoded geometrically through a HyperNEAT-based Neural Turing Machine (HyperENTM). We demonstrate that using the indirect HyperNEAT encoding allows for training on small memory vectors in a bit-vector copy task and then applying the knowledge gained from such training to speed up training on larger size memory vectors. Additionally, we demonstrate that in some instances, networks trained to copy bit-vectors of size 9 can be scaled to sizes of 1,000 without further training. While the task in this paper is simple, these results could open up the problems amendable to networks with external memories to problems with larger memory vectors and theoretically unbounded memory sizes.

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Emergent Translation in Multi-Agent Communication

Jason Lee, Kyunghyun Cho, Jason Weston, Douwe Kiela

While most machine translation systems to date are trained on large parallel corpora, humans learn language in a different way: by being grounded in an environment and interacting with other humans. In this work, we propose a communication game where two agents, native speakers of their own respective languages, jointly learn to solve a visual referential task. We find that the ability to understand and translate a foreign language emerges as a means to achieve shared goals. The emergent translation is interactive and multimodal, and crucially does not require parallel corpora, but only monolingual, independent text and corresponding images. Our proposed translation model achieves this by grounding the source and target languages into a shared visual modality, and outperforms several baselines on both word-level and sentence-level translation tasks. Furthermore, we show that agents in a multilingual community learn to translate better and faster than in a bilingual communication setting.

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Optimizing Long Short-Term Memory Recurrent Neural Networks Using Ant Colony Optimization to Predict Turbine Engine Vibration

AbdElRahman ElSaid, Travis Desell, Fatima El Jamiy, James Higgins, Brandon Wild

This article expands on research that has been done to develop a recurrent neural network (RNN) capable of predicting aircraft engine vibrations using long short-term memory (LSTM) neurons. LSTM RNNs can provide a more generalizable and robust method for prediction over analytical calculations of engine vibration, as analytical calculations must be solved iteratively based on specific empirical engine parameters, making this approach ungeneralizable across multiple engines. In initial work, multiple LSTM RNN architectures were proposed, evaluated and compared. This research improves the performance of the most effective LSTM network design proposed in the previous work by using a promising neuroevolution method based on ant colony optimization (ACO) to develop and enhance the LSTM cell structure of the network. A parallelized version of the ACO neuroevolution algorithm has been developed and the evolved LSTM RNNs were compared to the previously used fixed topology. The evolved networks were trained on a large database of flight data records obtained from an airline containing flights that suffered from excessive vibration. Results were obtained using MPI (Message Passing Interface) on a high performance computing (HPC) cluster, evolving 1000 different LSTM cell structures using 168 cores over 4 days. The new evolved LSTM cells showed an improvement of 1.35%, reducing prediction error from 5.51% to 4.17% when predicting excessive engine vibrations 10 seconds in the future, while at the same time dramatically reducing the number of weights from 21,170 to 11,810.

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Rainbow: Combining Improvements in Deep Reinforcement Learning

Matteo Hessel, Joseph Modayil, Hado van Hasselt, Tom Schaul, Georg Ostrovski, Will Dabney, Dan Horgan, Bilal Piot, Mohammad Azar, David Silver

The deep reinforcement learning community has made several independent improvements to the DQN algorithm. However, it is unclear which of these extensions are complementary and can be fruitfully combined. This paper examines six extensions to the DQN algorithm and empirically studies their combination. Our experiments show that the combination provides state-of-the-art performance on the Atari 2600 benchmark, both in terms of data efficiency and final performance. We also provide results from a detailed ablation study that shows the contribution of each component to overall performance.

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AISHELL-1: An Open-Source Mandarin Speech Corpus and A Speech Recognition Baseline

Hui Bu, Jiayu Du, Xingyu Na, Bengu Wu, Hao Zheng

An open-source Mandarin speech corpus called AISHELL-1 is released. It is by far the largest corpus which is suitable for conducting the speech recognition research and building speech recognition systems for Mandarin. The recording procedure, including audio capturing devices and environments are presented in details. The preparation of the related resources, including transcriptions and lexicon are described. The corpus is released with a Kaldi recipe. Experimental results implies that the quality of audio recordings and transcriptions are promising.

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An Empirical Study of AI Population Dynamics with Million-agent Reinforcement Learning

Yaodong Yang, Lantao Yu, Yiwei Bai, Jun Wang, Weinan Zhang, Ying Wen, Yong Yu

In this paper, we conduct an empirical study on discovering the ordered collective dynamics obtained by a population of artificial intelligence (AI) agents. Our intention is to put AI agents into a simulated natural context, and then to understand their induced dynamics at the population level. In particular, we aim to verify if the principles developed in the real world could also be used in understanding an artificially-created intelligent population. To achieve this, we simulate a large-scale predator-prey world, where the laws of the world are designed by only the findings or logical equivalence that have been discovered in nature. We endow the agents with the intelligence based on deep reinforcement learning, and scale the population size up to millions. Our results show that the population dynamics of AI agents, driven only by each agent's individual self interest, reveals an ordered pattern that is similar to the Lotka-Volterra model studied in population biology. We further discover the emergent behaviors of collective adaptations in studying how the agents' grouping behaviors will change with the environmental resources. Both of the two findings could be explained by the self-organization theory in nature.

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Disguised Face Identification (DFI) with Facial KeyPoints using Spatial Fusion Convolutional Network

Amarjot Singh, Devendra Patil, G Meghana Reddy, SN Omkar

Disguised face identification (DFI) is an extremely challenging problem due to the numerous variations that can be introduced using different disguises. This paper introduces a deep learning framework to first detect 14 facial key-points which are then utilized to perform disguised face identification. Since the training of deep learning architectures relies on large annotated datasets, two annotated facial key-points datasets are introduced. The effectiveness of the facial keypoint detection framework is presented for each keypoint. The superiority of the key-point detection framework is also demonstrated by a comparison with other deep networks. The effectiveness of classification performance is also demonstrated by comparison with the state-of-the-art face disguise classification methods.

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Deep Learning for Video Game Playing

Niels Justesen, Philip Bontrager, Julian Togelius, Sebastian Risi

In this paper we review recent Deep Learning advances in the context of how they have been applied to play different types of video games such as first-person shooters, arcade games or real-time strategy games. We analyze the unique requirements that different game genres pose to a deep learning system and highlight important open challenges in the context of applying these machine learning methods to video games, such as general game playing, dealing with extremely large decision spaces and sparse rewards.

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Learning Grasping Interaction with Geometry-aware 3D Representations

Xinchen Yan, Mohi Khansari, Yunfei Bai, Jasmine Hsu, Arkanath Pathak, Abhinav Gupta, James Davidson, Honglak Lee

Learning to interact with objects in the environment is a fundamental AI problem involving perception, motion planning, and control. However, learning representations of such interactions is very challenging due to a high dimensional state space, difficulty in collecting large-scale data, and many variations of an object's visual appearance (i.e. geometry, material, texture, and illumination). We argue that knowledge of 3D geometry is at the heart of grasping interactions and propose the notion of a geometry-aware learning agent. Our key idea is constraining and regularizing interaction learning through 3D geometry prediction. Specifically, we formulate the learning process of a geometry-aware agent as a two-step procedure: First, the agent learns to construct its geometry-aware representation of the scene from 2D sensory input via generative 3D shape modeling. Finally, it learns to predict grasping outcome with its built-in geometry-aware representation. The geometry-aware representation plays a key role in relating geometry and interaction via a novel learning-free depth projection layer. Our contributions are threefold: (1) we build a grasping dataset from demonstrations in virtual reality (VR) with rich sensory and interaction annotations; (2) we demonstrate that the learned geometry-aware representation results in a more robust grasping outcome prediction compared to a baseline model; and (3) we demonstrate the benefits of the learned geometry-aware representation in grasping planning.

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Twin Networks: Using the Future as a Regularizer

Dmitriy Serdyuk, Rosemary Nan Ke, Alessandro Sordoni, Chris Pal, Yoshua Bengio

Being able to model long-term dependencies in sequential data, such as text, has been among the long-standing challenges of recurrent neural networks (RNNs). This issue is strictly related to the absence of explicit planning in current RNN architectures. More explicitly, the RNNs are trained to predict only the next token given previous ones. In this paper, we introduce a simple way of encouraging the RNNs to plan for the future. In order to accomplish this, we introduce an additional neural network which is trained to generate the sequence in reverse order, and we require closeness between the states of the forward RNN and backward RNN that predict the same token. At each step, the states of the forward RNN are required to match the future information contained in the backward states. We hypothesize that the approach eases modeling of long-term dependencies thus helping in generating more globally consistent samples. The model trained with conditional generation for a speech recognition task achieved 12\% relative improvement (CER of 6.7 compared to a baseline of 7.6).

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