Efficient Frontier for Robust Higher-order Moment Portfolio Selection

This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and focus on various illustrations of a four-dimensional set of the first four L-moment primal efficient portfolios. our empirical findings, using a large European stock database, mainly rediscover the earlier works by Jean (1973) and Ingersoll (1975), regarding the shape of the extended higher-order moment efficient frontier, and confirm the seminal prediction by Levy and Markowitz (1979) about the accuracy of the mean-variance criterion.Efficient frontier, portfolio selection, robust higher L-moments, shortage function, goal attainment application.

Credit assignment in multiple goal embodied visuomotor behavior

The intrinsic complexity of the brain can lead one to set aside issues related to its relationships with the body, but the field of embodied cognition emphasizes that understanding brain function at the system level requires one to address the role of the brain-body interface. It has only recently been appreciated that this interface performs huge amounts of computation that does not have to be repeated by the brain, and thus affords the brain great simplifications in its representations. In effect the brain’s abstract states can refer to coded representations of the world created by the body. But even if the brain can communicate with the world through abstractions, the severe speed limitations in its neural circuitry mean that vast amounts of indexing must be performed during development so that appropriate behavioral responses can be rapidly accessed. One way this could happen would be if the brain used a decomposition whereby behavioral primitives could be quickly accessed and combined. This realization motivates our study of independent sensorimotor task solvers, which we call modules, in directing behavior. The issue we focus on herein is how an embodied agent can learn to calibrate such individual visuomotor modules while pursuing multiple goals. The biologically plausible standard for module programming is that of reinforcement given during exploration of the environment. However this formulation contains a substantial issue when sensorimotor modules are used in combination: The credit for their overall performance must be divided amongst them. We show that this problem can be solved and that diverse task combinations are beneficial in learning and not a complication, as usually assumed. Our simulations show that fast algorithms are available that allot credit correctly and are insensitive to measurement noise

Role of homeostasis in learning sparse representations

Neurons in the input layer of primary visual cortex in primates develop edge-like receptive fields. One approach to understanding the emergence of this response is to state that neural activity has to efficiently represent sensory data with respect to the statistics of natural scenes. Furthermore, it is believed that such an efficient coding is achieved using a competition across neurons so as to generate a sparse representation, that is, where a relatively small number of neurons are simultaneously active. Indeed, different models of sparse coding, coupled with Hebbian learning and homeostasis, have been proposed that successfully match the observed emergent response. However, the specific role of homeostasis in learning such sparse representations is still largely unknown. By quantitatively assessing the efficiency of the neural representation during learning, we derive a cooperative homeostasis mechanism that optimally tunes the competition between neurons within the sparse coding algorithm. We apply this homeostasis while learning small patches taken from natural images and compare its efficiency with state-of-the-art algorithms. Results show that while different sparse coding algorithms give similar coding results, the homeostasis provides an optimal balance for the representation of natural images within the population of neurons. Competition in sparse coding is optimized when it is fair. By contributing to optimizing statistical competition across neurons, homeostasis is crucial in providing a more efficient solution to the emergence of independent components

Cortical Spike Synchrony as a Measure of Input Familiarity

J.G.O. was supported by the Ministerio de Economia y Competividad and FEDER (Spain, project FIS2015-66503-C3-1-P) and the ICREA Academia programme. E.U. acknowledges support from the Scottish Universities Life Sciences Alliance (SULSA) and HPC-Europa2.Peer reviewedPostprin

A Generative Model of Natural Texture Surrogates

Natural images can be viewed as patchworks of different textures, where the local image statistics is roughly stationary within a small neighborhood but otherwise varies from region to region. In order to model this variability, we first applied the parametric texture algorithm of Portilla and Simoncelli to image patches of 64X64 pixels in a large database of natural images such that each image patch is then described by 655 texture parameters which specify certain statistics, such as variances and covariances of wavelet coefficients or coefficient magnitudes within that patch. To model the statistics of these texture parameters, we then developed suitable nonlinear transformations of the parameters that allowed us to fit their joint statistics with a multivariate Gaussian distribution. We find that the first 200 principal components contain more than 99% of the variance and are sufficient to generate textures that are perceptually extremely close to those generated with all 655 components. We demonstrate the usefulness of the model in several ways: (1) We sample ensembles of texture patches that can be directly compared to samples of patches from the natural image database and can to a high degree reproduce their perceptual appearance. (2) We further developed an image compression algorithm which generates surprisingly accurate images at bit rates as low as 0.14 bits/pixel. Finally, (3) We demonstrate how our approach can be used for an efficient and objective evaluation of samples generated with probabilistic models of natural images.Comment: 34 pages, 9 figure

Multi-Sensory Weights Depend on Contextual Noise in Reference Frame Transformations

During reach planning, we integrate multiple senses to estimate the location of the hand and the target, which is used to generate a movement. Visual and proprioceptive information are combined to determine the location of the hand. The goal of this study was to investigate whether multi-sensory integration is affected by extraretinal signals, such as head roll. It is believed that a coordinate matching transformation is required before vision and proprioception can be combined because proprioceptive and visual sensory reference frames do not generally align. This transformation utilizes extraretinal signals about current head roll position, i.e., to rotate proprioceptive signals into visual coordinates. Since head roll is an estimated sensory signal with noise, this head roll dependency of the reference frame transformation should introduce additional noise to the transformed signal, reducing its reliability and thus its weight in the multi-sensory integration. To investigate the role of noisy reference frame transformations on multi-sensory weighting, we developed a novel probabilistic (Bayesian) multi-sensory integration model (based on Sober and Sabes, 2003) that included explicit (noisy) reference frame transformations. We then performed a reaching experiment to test the model's predictions. To test for head roll dependent multi-sensory integration, we introduced conflicts between viewed and actual hand position and measured reach errors. Reach analysis revealed that eccentric head roll orientations led to an increase of movement variability, consistent with our model. We further found that the weighting of vision and proprioception depended on head roll, which we interpret as being a result of signal dependant noise. Thus, the brain has online knowledge of the statistics of its internal sensory representations. In summary, we show that sensory reliability is used in a context-dependent way to adjust multi-sensory integration weights for reaching