Bayesian forecasting and scalable multivariate volatility analysis using simultaneous graphical dynamic models

The recently introduced class of simultaneous graphical dynamic linear models (SGDLMs) defines an ability to scale on-line Bayesian analysis and forecasting to higher-dimensional time series. This paper advances the methodology of SGDLMs, developing and embedding a novel, adaptive method of simultaneous predictor selection in forward filtering for on-line learning and forecasting. The advances include developments in Bayesian computation for scalability, and a case study in exploring the resulting potential for improved short-term forecasting of large-scale volatility matrices. A case study concerns financial forecasting and portfolio optimization with a 400-dimensional series of daily stock prices. Analysis shows that the SGDLM forecasts volatilities and co-volatilities well, making it ideally suited to contributing to quantitative investment strategies to improve portfolio returns. We also identify performance metrics linked to the sequential Bayesian filtering analysis that turn out to define a leading indicator of increased financial market stresses, comparable to but leading the standard St. Louis Fed Financial Stress Index (STLFSI) measure. Parallel computation using GPU implementations substantially advance the ability to fit and use these models.Comment: 28 pages, 9 figures, 7 table

Bayesian Compression for Deep Learning

Compression and computational efficiency in deep learning have become a problem of great significance. In this work, we argue that the most principled and effective way to attack this problem is by adopting a Bayesian point of view, where through sparsity inducing priors we prune large parts of the network. We introduce two novelties in this paper: 1) we use hierarchical priors to prune nodes instead of individual weights, and 2) we use the posterior uncertainties to determine the optimal fixed point precision to encode the weights. Both factors significantly contribute to achieving the state of the art in terms of compression rates, while still staying competitive with methods designed to optimize for speed or energy efficiency.Comment: Published as a conference paper at NIPS 201

Large-scale variational inference for Bayesian joint regression modelling of high-dimensional genetic data

Genetic association studies have become increasingly important in understanding the molecular bases of complex human traits. The specific analysis of intermediate molecular traits, via quantitative trait locus (QTL) studies, has recently received much attention, prompted by the advance of high-throughput technologies for quantifying gene, protein and metabolite levels. Of great interest is the detection of weak trans-regulatory effects between a genetic variant and a distal gene product. In particular, hotspot genetic variants, which remotely control the levels of many molecular outcomes, may initiate decisive functional mechanisms underlying disease endpoints. This thesis proposes a Bayesian hierarchical approach for joint analysis of QTL data on a genome-wide scale. We consider a series of parallel sparse regressions combined in a hierarchical manner to flexibly accommodate high-dimensional responses (molecular levels) and predictors (genetic variants), and we present new methods for large-scale inference. Existing approaches have limitations. Conventional marginal screening does not account for local dependencies and association patterns common to multiple outcomes and genetic variants, whereas joint modelling approaches are restricted to relatively small datasets by computational constraints. Our novel framework allows information-sharing across outcomes and variants, thereby enhancing the detection of weak trans and hotspot effects, and implements tailored variational inference procedures that allow simultaneous analysis of data for an entire QTL study, comprising hundreds of thousands of predictors, and thousands of responses and samples. The present work also describes extensions to leverage spatial and functional information on the genetic variants, for example, using predictor-level covariates such as epigenomic marks. Moreover, we augment variational inference with simulated annealing and parallel expectation-maximisation schemes in order to enhance exploration of highly multimodal spaces and allow efficient empirical Bayes estimation. Our methods, publicly available as packages implemented in R and C++, are extensively assessed in realistic simulations. Their advantages are illustrated in several QTL applications, including a large-scale proteomic QTL study on two clinical cohorts that highlights novel candidate biomarkers for metabolic disorders

Deep Recurrent Learning for Efficient Image Recognition Using Small Data

Recognition is fundamental yet open and challenging problem in computer vision. Recognition involves the detection and interpretation of complex shapes of objects or persons from previous encounters or knowledge. Biological systems are considered as the most powerful, robust and generalized recognition models. The recent success of learning based mathematical models known as artificial neural networks, especially deep neural networks, have propelled researchers to utilize such architectures for developing bio-inspired computational recognition models. However, the computational complexity of these models increases proportionally to the challenges posed by the recognition problem, and more importantly, these models require a large amount of data for successful learning. Additionally, the feedforward-based hierarchical models do not exploit another important biological learning paradigm, known as recurrency, which ubiquitously exists in the biological visual system and has been shown to be quite crucial for recognition. Consequently, this work aims to develop novel biologically relevant deep recurrent learning models for robust recognition using limited training data. First, we design an efficient deep simultaneous recurrent network (DSRN) architecture for solving several challenging image recognition tasks. The use of simultaneous recurrency in the proposed model improves the recognition performance and offers reduced computational complexity compared to the existing hierarchical deep learning models. Moreover, the DSRN architecture inherently learns meaningful representations of data during the training process which is essential to achieve superior recognition performance. However, probabilistic models such as deep generative models are particularly adept at learning representations directly from unlabeled input data. Accordingly, we show the generalization of the proposed deep simultaneous recurrency concept by developing a probabilistic deep simultaneous recurrent belief network (DSRBN) architecture which is more efficient in learning the underlying representation of the data compared to the state-of-the-art generative models. Finally, we propose a deep recurrent learning framework for solving the image recognition task using small data. We incorporate Bayesian statistics to the DSRBN generative model to propose a deep recurrent generative Bayesian model that addresses the challenge of learning from a small amount of data. Our findings suggest that the proposed deep recurrent Bayesian framework demonstrates better image recognition performance compared to the state-of-the-art models in a small data learning scenario. In conclusion, this dissertation proposes novel deep recurrent learning pipelines, which utilize not only limited training data to achieve improved image recognition performance but also require significantly reduced training parameters

Visual scene recognition with biologically relevant generative models

This research focuses on developing visual object categorization methodologies that are based on machine learning techniques and biologically inspired generative models of visual scene recognition. Modelling the statistical variability in visual patterns, in the space of features extracted from them by an appropriate low level signal processing technique, is an important matter of investigation for both humans and machines. To study this problem, we have examined in detail two recent probabilistic models of vision: a simple multivariate Gaussian model as suggested by (Karklin & Lewicki, 2009) and a restricted Boltzmann machine (RBM) proposed by (Hinton, 2002). Both the models have been widely used for visual object classification and scene analysis tasks before. This research highlights that these models on their own are not plausible enough to perform the classification task, and suggests Fisher kernel as a means of inducing discrimination into these models for classification power. Our empirical results on standard benchmark data sets reveal that the classification performance of these generative models could be significantly boosted near to the state of the art performance, by drawing a Fisher kernel from compact generative models that computes the data labels in a fraction of total computation time. We compare the proposed technique with other distance based and kernel based classifiers to show how computationally efficient the Fisher kernels are. To the best of our knowledge, Fisher kernel has not been drawn from the RBM before, so the work presented in the thesis is novel in terms of its idea and application to vision problem

Sparse change-point HAR Models for realized variance

Change-point time series specifications constitute flexible models that capture unknown structural changes by allowing for switches in the model parameters. Nevertheless most models suffer from an over-parametrization issue since typically only one latent state variable drives the switches in all parameters. This implies that all parameters have to change when a break happens. To gauge whether and where there are structural breaks in realized variance, we introduce the sparse change-point HAR model. The approach controls for model parsimony by limiting the number of parameters which evolve from one regime to another. Sparsity is achieved thanks to employing a nonstandard shrinkage prior distribution. We derive a Gibbs sampler for inferring the parameters of this process. Simulation studies illustrate the excellent performance of the sampler. Relying on this new framework, we study the stability of the HAR model using realized variance series of several major international indices between January 2000 and August 2015

Blang: Bayesian declarative modelling of general data structures and inference via algorithms based on distribution continua

Consider a Bayesian inference problem where a variable of interest does not take values in a Euclidean space. These "non-standard" data structures are in reality fairly common. They are frequently used in problems involving latent discrete factor models, networks, and domain specific problems such as sequence alignments and reconstructions, pedigrees, and phylogenies. In principle, Bayesian inference should be particularly well-suited in such scenarios, as the Bayesian paradigm provides a principled way to obtain confidence assessment for random variables of any type. However, much of the recent work on making Bayesian analysis more accessible and computationally efficient has focused on inference in Euclidean spaces. In this paper, we introduce Blang, a domain specific language and library aimed at bridging this gap. Blang allows users to perform Bayesian analysis on arbitrary data types while using a declarative syntax similar to BUGS. Blang is augmented with intuitive language additions to create data types of the user's choosing. To perform inference at scale on such arbitrary state spaces, Blang leverages recent advances in sequential Monte Carlo and non-reversible Markov chain Monte Carlo methods

Transfer learning: bridging the gap between deep learning and domain-specific text mining

Inspired by the success of deep learning techniques in Natural Language Processing (NLP), this dissertation tackles the domain-specific text mining problems for which the generic deep learning approaches would fail. More specifically, the domain-specific problems are: (1) success prediction in crowdfunding, (2) variants identification in biomedical literature, and (3) text data augmentation for domains with low-resources. In the first part, transfer learning in a multimodal perspective is utilized to facilitate solving the project success prediction on the crowdfunding application. Even though the information in a project profile can be of different modalities such as text, images, and metadata, most existing prediction approaches leverage only the text modality. It is promising to utilize the visual images in project profiles to find out how images could contribute to the success prediction. An advanced neural network scheme is designed and evaluated combining information learned from different modalities for project success prediction. In the second part, transfer learning is combined with deep learning techniques to solve genomic variants Named Entity Recognition (NER) problems in biomedical literature. Most of the advanced generic NER algorithms can fail due to the restricted training corpus. However, those generic deep learning algorithms are capable of learning from a canonical corpus, without any effort on feature engineering. This work aims to build an end-to-end deep learning approach to transfer the domain-specific knowledge to those advanced generic NER algorithms, addressing the challenges in low-resource training and requiring neither hand-crafted features nor post-processing rules. For the last part, transfer learning with knowledge distillation and active learning are utilized to solve text augmentation for domains with low-resources. Most of the recent text augmentation methods heavily rely on large external resources. This work is dedicates to solving the text augmentation problem adaptively and consistently with minimal resources for token-level tasks like NER. The solution can also assure the reliability of machine labels for noisy data and can enhance training consistency with noisy labels. All the works are evaluated on different domain-specific benchmarks, respectively. Experimental results demonstrate the effectiveness of those proposed methods. The advantages also indicate promising potential for transfer learning in domain-specific applications