9,556 research outputs found
Modeling Financial Time Series with Artificial Neural Networks
Financial time series convey the decisions and actions of a population of human actors over time. Econometric and regressive models have been developed in the past decades for analyzing these time series. More recently, biologically inspired artificial neural network models have been shown to overcome some of the main challenges of traditional techniques by better exploiting the non-linear, non-stationary, and oscillatory nature of noisy, chaotic human interactions. This review paper explores the options, benefits, and weaknesses of the various forms of artificial neural networks as compared with regression techniques in the field of financial time series analysis.CELEST, a National Science Foundation Science of Learning Center (SBE-0354378); SyNAPSE program of the Defense Advanced Research Project Agency (HR001109-03-0001
Beating the Perils of Non-Convexity: Guaranteed Training of Neural Networks using Tensor Methods
Training neural networks is a challenging non-convex optimization problem,
and backpropagation or gradient descent can get stuck in spurious local optima.
We propose a novel algorithm based on tensor decomposition for guaranteed
training of two-layer neural networks. We provide risk bounds for our proposed
method, with a polynomial sample complexity in the relevant parameters, such as
input dimension and number of neurons. While learning arbitrary target
functions is NP-hard, we provide transparent conditions on the function and the
input for learnability. Our training method is based on tensor decomposition,
which provably converges to the global optimum, under a set of mild
non-degeneracy conditions. It consists of simple embarrassingly parallel linear
and multi-linear operations, and is competitive with standard stochastic
gradient descent (SGD), in terms of computational complexity. Thus, we propose
a computationally efficient method with guaranteed risk bounds for training
neural networks with one hidden layer.Comment: The tensor decomposition analysis is expanded, and the analysis of
ridge regression is added for recovering the parameters of last layer of
neural networ
A Statistically Principled and Computationally Efficient Approach to Speech Enhancement using Variational Autoencoders
Recent studies have explored the use of deep generative models of speech
spectra based of variational autoencoders (VAEs), combined with unsupervised
noise models, to perform speech enhancement. These studies developed iterative
algorithms involving either Gibbs sampling or gradient descent at each step,
making them computationally expensive. This paper proposes a variational
inference method to iteratively estimate the power spectrogram of the clean
speech. Our main contribution is the analytical derivation of the variational
steps in which the en-coder of the pre-learned VAE can be used to estimate the
varia-tional approximation of the true posterior distribution, using the very
same assumption made to train VAEs. Experiments show that the proposed method
produces results on par with the afore-mentioned iterative methods using
sampling, while decreasing the computational cost by a factor 36 to reach a
given performance .Comment: Submitted to INTERSPEECH 201
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