Scale And Translation Invariant Collaborative Filtering Systems

Collaborative filtering systems are prediction algorithms over sparse data sets of user preferences. We modify a wide range of state-of-the-art collaborative filtering systems to make them scale and translation invariant and generally improve their accuracy without increasing their computational cost. Using the EachMovie and the Jester data sets, we show that learning-free constant time scale and translation invariant schemes outperforms other learning-free constant time schemes by at least 3% and perform as well as expensive memory-based schemes (within 4%). Over the Jester data set, we show that a scale and translation invariant Eigentaste algorithm outperforms Eigentaste 2.0 by 20%. These results suggest that scale and translation invariance is a desirable property

Flow-based reputation: more than just ranking

The last years have seen a growing interest in collaborative systems like electronic marketplaces and P2P file sharing systems where people are intended to interact with other people. Those systems, however, are subject to security and operational risks because of their open and distributed nature. Reputation systems provide a mechanism to reduce such risks by building trust relationships among entities and identifying malicious entities. A popular reputation model is the so called flow-based model. Most existing reputation systems based on such a model provide only a ranking, without absolute reputation values; this makes it difficult to determine whether entities are actually trustworthy or untrustworthy. In addition, those systems ignore a significant part of the available information; as a consequence, reputation values may not be accurate. In this paper, we present a flow-based reputation metric that gives absolute values instead of merely a ranking. Our metric makes use of all the available information. We study, both analytically and numerically, the properties of the proposed metric and the effect of attacks on reputation values

Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing

The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading and lending books. We propose that underlying macroeconomic volatility is a key part of a useful conceptual framework for stress testing credit portfolios, and that credit migration matrices provide the specific linkages between underlying macroeconomic conditions and asset quality. Credit migration matrices, which characterize the expected changes in credit quality of obligors, are cardinal inputs to many applications, including portfolio risk assessment, modeling the term structure of credit risk premia, and pricing of credit derivatives. They are also an integral part of many of the credit portfolio models used by financial institutions. By separating the economy into two states or regimes, expansion and contraction, and conditioning the migration matrix on these states, we show that the loss distribution of credit portfolios can differ greatly, as can the concomitant level of economic capital to be assigned.Credit risk, stress testing, ratings migration, credit portfolio management

A Flexible Privacy-preserving Framework for Singular Value Decomposition under Internet of Things Environment

The singular value decomposition (SVD) is a widely used matrix factorization tool which underlies plenty of useful applications, e.g. recommendation system, abnormal detection and data compression. Under the environment of emerging Internet of Things (IoT), there would be an increasing demand for data analysis to better human's lives and create new economic growth points. Moreover, due to the large scope of IoT, most of the data analysis work should be done in the network edge, i.e. handled by fog computing. However, the devices which provide fog computing may not be trustable while the data privacy is often the significant concern of the IoT application users. Thus, when performing SVD for data analysis purpose, the privacy of user data should be preserved. Based on the above reasons, in this paper, we propose a privacy-preserving fog computing framework for SVD computation. The security and performance analysis shows the practicability of the proposed framework. Furthermore, since different applications may utilize the result of SVD operation in different ways, three applications with different objectives are introduced to show how the framework could flexibly achieve the purposes of different applications, which indicates the flexibility of the design.Comment: 24 pages, 4 figure

Subsampling Algorithms for Semidefinite Programming

We derive a stochastic gradient algorithm for semidefinite optimization using randomization techniques. The algorithm uses subsampling to reduce the computational cost of each iteration and the subsampling ratio explicitly controls granularity, i.e. the tradeoff between cost per iteration and total number of iterations. Furthermore, the total computational cost is directly proportional to the complexity (i.e. rank) of the solution. We study numerical performance on some large-scale problems arising in statistical learning.Comment: Final version, to appear in Stochastic System