Beyond Sparsity: Tree Regularization of Deep Models for Interpretability

The lack of interpretability remains a key barrier to the adoption of deep models in many applications. In this work, we explicitly regularize deep models so human users might step through the process behind their predictions in little time. Specifically, we train deep time-series models so their class-probability predictions have high accuracy while being closely modeled by decision trees with few nodes. Using intuitive toy examples as well as medical tasks for treating sepsis and HIV, we demonstrate that this new tree regularization yields models that are easier for humans to simulate than simpler L1 or L2 penalties without sacrificing predictive power.Comment: To appear in AAAI 2018. Contains 9-page main paper and appendix with supplementary materia

A neural network-based framework for financial model calibration

A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training hidden neurons within a machine learning framework, based on available financial option prices. The framework consists of two parts: a forward pass in which we train the weights of the ANN off-line, valuing options under many different asset model parameter settings; and a backward pass, in which we evaluate the trained ANN-solver on-line, aiming to find the weights of the neurons in the input layer. The rapid on-line learning of implied volatility by ANNs, in combination with the use of an adapted parallel global optimization method, tackles the computation bottleneck and provides a fast and reliable technique for calibrating model parameters while avoiding, as much as possible, getting stuck in local minima. Numerical experiments confirm that this machine-learning framework can be employed to calibrate parameters of high-dimensional stochastic volatility models efficiently and accurately.Comment: 34 pages, 9 figures, 11 table

Neural network image reconstruction for magnetic particle imaging

We investigate neural network image reconstruction for magnetic particle imaging. The network performance depends strongly on the convolution effects of the spectrum input data. The larger convolution effect appearing at a relatively smaller nanoparticle size obstructs the network training. The trained single-layer network reveals the weighting matrix consisted of a basis vector in the form of Chebyshev polynomials of the second kind. The weighting matrix corresponds to an inverse system matrix, where an incoherency of basis vectors due to a low convolution effects as well as a nonlinear activation function plays a crucial role in retrieving the matrix elements. Test images are well reconstructed through trained networks having an inverse kernel matrix. We also confirm that a multi-layer network with one hidden layer improves the performance. The architecture of a neural network overcoming the low incoherence of the inverse kernel through the classification property will become a better tool for image reconstruction.Comment: 9 pages, 11 figure