Request-and-Reverify: Hierarchical Hypothesis Testing for Concept Drift Detection with Expensive Labels

One important assumption underlying common classification models is the stationarity of the data. However, in real-world streaming applications, the data concept indicated by the joint distribution of feature and label is not stationary but drifting over time. Concept drift detection aims to detect such drifts and adapt the model so as to mitigate any deterioration in the model's predictive performance. Unfortunately, most existing concept drift detection methods rely on a strong and over-optimistic condition that the true labels are available immediately for all already classified instances. In this paper, a novel Hierarchical Hypothesis Testing framework with Request-and-Reverify strategy is developed to detect concept drifts by requesting labels only when necessary. Two methods, namely Hierarchical Hypothesis Testing with Classification Uncertainty (HHT-CU) and Hierarchical Hypothesis Testing with Attribute-wise "Goodness-of-fit" (HHT-AG), are proposed respectively under the novel framework. In experiments with benchmark datasets, our methods demonstrate overwhelming advantages over state-of-the-art unsupervised drift detectors. More importantly, our methods even outperform DDM (the widely used supervised drift detector) when we use significantly fewer labels.Comment: Published as a conference paper at IJCAI 201

Adaptive Algorithms For Classification On High-Frequency Data Streams: Application To Finance

Mención Internacional en el título de doctorIn recent years, the problem of concept drift has gained importance in the financial domain. The succession of manias, panics and crashes have stressed the nonstationary nature and the likelihood of drastic structural changes in financial markets. The most recent literature suggests the use of conventional machine learning and statistical approaches for this. However, these techniques are unable or slow to adapt to non-stationarities and may require re-training over time, which is computationally expensive and brings financial risks. This thesis proposes a set of adaptive algorithms to deal with high-frequency data streams and applies these to the financial domain. We present approaches to handle different types of concept drifts and perform predictions using up-to-date models. These mechanisms are designed to provide fast reaction times and are thus applicable to high-frequency data. The core experiments of this thesis are based on the prediction of the price movement direction at different intraday resolutions in the SPDR S&P 500 exchange-traded fund. The proposed algorithms are benchmarked against other popular methods from the data stream mining literature and achieve competitive results. We believe that this thesis opens good research prospects for financial forecasting during market instability and structural breaks. Results have shown that our proposed methods can improve prediction accuracy in many of these scenarios. Indeed, the results obtained are compatible with ideas against the efficient market hypothesis. However, we cannot claim that we can beat consistently buy and hold; therefore, we cannot reject it.Programa de Doctorado en Ciencia y Tecnología Informática por la Universidad Carlos III de MadridPresidente: Gustavo Recio Isasi.- Secretario: Pedro Isasi Viñuela.- Vocal: Sandra García Rodrígue

New perspectives and methods for stream learning in the presence of concept drift.

153 p.Applications that generate data in the form of fast streams from non-stationary environments, that is,those where the underlying phenomena change over time, are becoming increasingly prevalent. In thiskind of environments the probability density function of the data-generating process may change overtime, producing a drift. This causes that predictive models trained over these stream data become obsoleteand do not adapt suitably to the new distribution. Specially in online learning scenarios, there is apressing need for new algorithms that adapt to this change as fast as possible, while maintaining goodperformance scores. Examples of these applications include making inferences or predictions based onfinancial data, energy demand and climate data analysis, web usage or sensor network monitoring, andmalware/spam detection, among many others.Online learning and concept drift are two of the most hot topics in the recent literature due to theirrelevance for the so-called Big Data paradigm, where nowadays we can find an increasing number ofapplications based on training data continuously available, named as data streams. Thus, learning in nonstationaryenvironments requires adaptive or evolving approaches that can monitor and track theunderlying changes, and adapt a model to accommodate those changes accordingly. In this effort, Iprovide in this thesis a comprehensive state-of-the-art approaches as well as I identify the most relevantopen challenges in the literature, while focusing on addressing three of them by providing innovativeperspectives and methods.This thesis provides with a complete overview of several related fields, and tackles several openchallenges that have been identified in the very recent state of the art. Concretely, it presents aninnovative way to generate artificial diversity in ensembles, a set of necessary adaptations andimprovements for spiking neural networks in order to be used in online learning scenarios, and finally, adrift detector based on this former algorithm. All of these approaches together constitute an innovativework aimed at presenting new perspectives and methods for the field

Concept Drift Adaptation in Text Stream Mining Settings: A Comprehensive Review

Due to the advent and increase in the popularity of the Internet, people have been producing and disseminating textual data in several ways, such as reviews, social media posts, and news articles. As a result, numerous researchers have been working on discovering patterns in textual data, especially because social media posts function as social sensors, indicating peoples' opinions, interests, etc. However, most tasks regarding natural language processing are addressed using traditional machine learning methods and static datasets. This setting can lead to several problems, such as an outdated dataset, which may not correspond to reality, and an outdated model, which has its performance degrading over time. Concept drift is another aspect that emphasizes these issues, which corresponds to data distribution and pattern changes. In a text stream scenario, it is even more challenging due to its characteristics, such as the high speed and data arriving sequentially. In addition, models for this type of scenario must adhere to the constraints mentioned above while learning from the stream by storing texts for a limited time and consuming low memory. In this study, we performed a systematic literature review regarding concept drift adaptation in text stream scenarios. Considering well-defined criteria, we selected 40 papers to unravel aspects such as text drift categories, types of text drift detection, model update mechanism, the addressed stream mining tasks, types of text representations, and text representation update mechanism. In addition, we discussed drift visualization and simulation and listed real-world datasets used in the selected papers. Therefore, this paper comprehensively reviews the concept drift adaptation in text stream mining scenarios.Comment: 49 page

Online adaptive decision trees based on concentration inequalities.

Classification trees are a powerful tool for mining non-stationary data streams. In these situations, mas sive data are constantly generated at high speed and the underlying target function can change over time. The iadem family of algorithms is based on Hoeffding’s and Chernoff’s bounds and induces online deci sion trees from data streams, but is not able to handle concept drift. This study extends this family to deal with time-changing data streams. The new online algorithm, named iadem-3, performs two main actions in response to a concept drift. Firstly, it resets the variables affected by the change and main tains unbroken the structure of the tree, which allows for changes in which consecutive target functions are very similar. Secondly, it creates alternative models that replace parts of the main tree when they significantly improve the accuracy of the model, thereby rebuilding the main tree if needed. An online change detector and a non-parametric statistical test based on Hoeffding’s bounds are used to guaran tee this significance. A new pruning method is also incorporated in iadem-3, making sure that all split tests previously installed in decision nodes are useful. The learning model is also viewed as an ensem ble of classifiers, and predictions of the main and alternative models are combined to classify unlabeled examples. iadem-3 is empirically compared with various well-known decision tree induction algorithms for concept drift detection. We empirically show that our new algorithm often reaches higher levels of accuracy with smaller decision tree models, maintaining the processing time bounded, irrespective of the number of instances processed

Continual learning from stationary and non-stationary data

Continual learning aims at developing models that are capable of working on constantly evolving problems over a long-time horizon. In such environments, we can distinguish three essential aspects of training and maintaining machine learning models - incorporating new knowledge, retaining it and reacting to changes. Each of them poses its own challenges, constituting a compound problem with multiple goals. Remembering previously incorporated concepts is the main property of a model that is required when dealing with stationary distributions. In non-stationary environments, models should be capable of selectively forgetting outdated decision boundaries and adapting to new concepts. Finally, a significant difficulty can be found in combining these two abilities within a single learning algorithm, since, in such scenarios, we have to balance remembering and forgetting instead of focusing only on one aspect. The presented dissertation addressed these problems in an exploratory way. Its main goal was to grasp the continual learning paradigm as a whole, analyze its different branches and tackle identified issues covering various aspects of learning from sequentially incoming data. By doing so, this work not only filled several gaps in the current continual learning research but also emphasized the complexity and diversity of challenges existing in this domain. Comprehensive experiments conducted for all of the presented contributions have demonstrated their effectiveness and substantiated the validity of the stated claims

Bi-directional online transfer learning : a framework

Transfer learning uses knowledge learnt in source domains to aid predictions in a target domain. When source and target domains are online, they are susceptible to concept drift, which may alter the mapping of knowledge between them. Drifts in online environments can make additional information available in each domain, necessitating continuing knowledge transfer both from source to target and vice versa. To address this, we introduce the Bi-directional Online Transfer Learning (BOTL) framework, which uses knowledge learnt in each online domain to aid predictions in others. We introduce two variants of BOTL that incorporate model culling to minimise negative transfer in frameworks with high volumes of model transfer. We consider the theoretical loss of BOTL, which indicates that BOTL achieves a loss no worse than the underlying concept drift detection algorithm. We evaluate BOTL using two existing concept drift detection algorithms: RePro and ADWIN. Additionally, we present a concept drift detection algorithm, Adaptive Windowing with Proactive drift detection (AWPro), which reduces the computation and communication demands of BOTL. Empirical results are presented using two data stream generators: the drifting hyperplane emulator and the smart home heating simulator, and real-world data predicting Time To Collision (TTC) from vehicle telemetry. The evaluation shows BOTL and its variants outperform the concept drift detection strategies and the existing state-of-the-art online transfer learning technique