Online Importance Weight Aware Updates

An importance weight quantifies the relative importance of one example over another, coming up in applications of boosting, asymmetric classification costs, reductions, and active learning. The standard approach for dealing with importance weights in gradient descent is via multiplication of the gradient. We first demonstrate the problems of this approach when importance weights are large, and argue in favor of more sophisticated ways for dealing with them. We then develop an approach which enjoys an invariance property: that updating twice with importance weight $h$ is equivalent to updating once with importance weight $2h$. For many important losses this has a closed form update which satisfies standard regret guarantees when all examples have $h=1$. We also briefly discuss two other reasonable approaches for handling large importance weights. Empirically, these approaches yield substantially superior prediction with similar computational performance while reducing the sensitivity of the algorithm to the exact setting of the learning rate. We apply these to online active learning yielding an extraordinarily fast active learning algorithm that works even in the presence of adversarial noise

An Efficient Monte Carlo-based Probabilistic Time-Dependent Routing Calculation Targeting a Server-Side Car Navigation System

Incorporating speed probability distribution to the computation of the route planning in car navigation systems guarantees more accurate and precise responses. In this paper, we propose a novel approach for dynamically selecting the number of samples used for the Monte Carlo simulation to solve the Probabilistic Time-Dependent Routing (PTDR) problem, thus improving the computation efficiency. The proposed method is used to determine in a proactive manner the number of simulations to be done to extract the travel-time estimation for each specific request while respecting an error threshold as output quality level. The methodology requires a reduced effort on the application development side. We adopted an aspect-oriented programming language (LARA) together with a flexible dynamic autotuning library (mARGOt) respectively to instrument the code and to take tuning decisions on the number of samples improving the execution efficiency. Experimental results demonstrate that the proposed adaptive approach saves a large fraction of simulations (between 36% and 81%) with respect to a static approach while considering different traffic situations, paths and error requirements. Given the negligible runtime overhead of the proposed approach, it results in an execution-time speedup between 1.5x and 5.1x. This speedup is reflected at infrastructure-level in terms of a reduction of around 36% of the computing resources needed to support the whole navigation pipeline

Significance of log-periodic precursors to financial crashes

We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's [2001] criticism and show how it can be rebuked. Feigenbaum's main result is as follows: ``the hypothesis that the log-periodic component is present in the data cannot be rejected at the 95% confidence level when using all the data prior to the 1987 crash; however, it can be rejected by removing the last year of data.'' (e.g., by removing 15% of the data closest to the critical point). We stress that it is naive to analyze a critical point phenomenon, i.e., a power law divergence, reliably by removing the most important part of the data closest to the critical point. We also present the history of log-periodicity in the present context explaining its essential features and why it may be important. We offer an extension of the rational expectation bubble model for general and arbitrary risk-aversion within the general stochastic discount factor theory. We suggest guidelines for using log-periodicity and explain how to develop and interpret statistical tests of log-periodicity. We discuss the issue of prediction based on our results and the evidence of outliers in the distribution of drawdowns. New statistical tests demonstrate that the 1% to 10% quantile of the largest events of the population of drawdowns of the Nasdaq composite index and of the Dow Jones Industrial Average index belong to a distribution significantly different from the rest of the population. This suggests that very large drawdowns result from an amplification mechanism that may make them more predictable than smaller market moves.Comment: Latex document of 38 pages including 16 eps figures and 3 tables, in press in Quantitative Financ