T-Rep: Representation Learning for Time Series using Time-Embeddings

Multivariate time series present challenges to standard machine learning techniques, as they are often unlabeled, high dimensional, noisy, and contain missing data. To address this, we propose T-Rep, a self-supervised method to learn time series representations at a timestep granularity. T-Rep learns vector embeddings of time alongside its feature extractor, to extract temporal features such as trend, periodicity, or distribution shifts from the signal. These time-embeddings are leveraged in pretext tasks, to incorporate smooth and fine-grained temporal dependencies in the representations, as well as reinforce robustness to missing data. We evaluate T-Rep on downstream classification, forecasting, and anomaly detection tasks. It is compared to existing self-supervised algorithms for time series, which it outperforms in all three tasks. We test T-Rep in missing data regimes, where it proves more resilient than its counterparts. Finally, we provide latent space visualisation experiments, highlighting the interpretability of the learned representations.Comment: Under review at ICLR 202

Gesture passwords: concepts, methods and challenges

Biometrics are a convenient alternative to traditional forms of access control such as passwords and pass-cards since they rely solely on user-specific traits. Unlike alphanumeric passwords, biometrics cannot be given or told to another person, and unlike pass-cards, are always “on-hand.” Perhaps the most well-known biometrics with these properties are: face, speech, iris, and gait. This dissertation proposes a new biometric modality: gestures. A gesture is a short body motion that contains static anatomical information and changing behavioral (dynamic) information. This work considers both full-body gestures such as a large wave of the arms, and hand gestures such as a subtle curl of the fingers and palm. For access control, a specific gesture can be selected as a “password” and used for identification and authentication of a user. If this particular motion were somehow compromised, a user could readily select a new motion as a “password,” effectively changing and renewing the behavioral aspect of the biometric. This thesis describes a novel framework for acquiring, representing, and evaluating gesture passwords for the purpose of general access control. The framework uses depth sensors, such as the Kinect, to record gesture information from which depth maps or pose features are estimated. First, various distance measures, such as the log-euclidean distance between feature covariance matrices and distances based on feature sequence alignment via dynamic time warping, are used to compare two gestures, and train a classifier to either authenticate or identify a user. In authentication, this framework yields an equal error rate on the order of 1-2% for body and hand gestures in non-adversarial scenarios. Next, through a novel decomposition of gestures into posture, build, and dynamic components, the relative importance of each component is studied. The dynamic portion of a gesture is shown to have the largest impact on biometric performance with its removal causing a significant increase in error. In addition, the effects of two types of threats are investigated: one due to self-induced degradations (personal effects and the passage of time) and the other due to spoof attacks. For body gestures, both spoof attacks (with only the dynamic component) and self-induced degradations increase the equal error rate as expected. Further, the benefits of adding additional sensor viewpoints to this modality are empirically evaluated. Finally, a novel framework that leverages deep convolutional neural networks for learning a user-specific “style” representation from a set of known gestures is proposed and compared to a similar representation for gesture recognition. This deep convolutional neural network yields significantly improved performance over prior methods. A byproduct of this work is the creation and release of multiple publicly available, user-centric (as opposed to gesture-centric) datasets based on both body and hand gestures

Multi-Modal Financial Time-Series Retrieval Through Latent Space Projections

Financial firms commonly process and store billions of time-series data, generated continuously and at a high frequency. To support efficient data storage and retrieval, specialized time-series databases and systems have emerged. These databases support indexing and querying of time-series by a constrained Structured Query Language(SQL)-like format to enable queries like "Stocks with monthly price returns greater than 5%", and expressed in rigid formats. However, such queries do not capture the intrinsic complexity of high dimensional time-series data, which can often be better described by images or language (e.g., "A stock in low volatility regime"). Moreover, the required storage, computational time, and retrieval complexity to search in the time-series space are often non-trivial. In this paper, we propose and demonstrate a framework to store multi-modal data for financial time-series in a lower-dimensional latent space using deep encoders, such that the latent space projections capture not only the time series trends but also other desirable information or properties of the financial time-series data (such as price volatility). Moreover, our approach allows user-friendly query interfaces, enabling natural language text or sketches of time-series, for which we have developed intuitive interfaces. We demonstrate the advantages of our method in terms of computational efficiency and accuracy on real historical data as well as synthetic data, and highlight the utility of latent-space projections in the storage and retrieval of financial time-series data with intuitive query modalities.Comment: Accepted to ICAIF 202

Speech Self-Supervised Representations Benchmarking: a Case for Larger Probing Heads

Self-supervised learning (SSL) leverages large datasets of unlabeled speech to reach impressive performance with reduced amounts of annotated data. The high number of proposed approaches fostered the emergence of comprehensive benchmarks that evaluate their performance on a set of downstream tasks exploring various aspects of the speech signal. However, while the number of considered tasks has been growing, most proposals rely upon a single downstream architecture that maps the frozen SSL representations to the task labels. This study examines how benchmarking results are affected by changes in the probing head architecture. Interestingly, we found that altering the downstream architecture structure leads to significant fluctuations in the performance ranking of the evaluated models. Against common practices in speech SSL benchmarking, we evaluate larger-capacity probing heads, showing their impact on performance, inference costs, generalization and multi-level feature exploitation.Comment: 18 Page

Deciphering Spatio-Temporal Graph Forecasting: A Causal Lens and Treatment

Spatio-Temporal Graph (STG) forecasting is a fundamental task in many real-world applications. Spatio-Temporal Graph Neural Networks have emerged as the most popular method for STG forecasting, but they often struggle with temporal out-of-distribution (OoD) issues and dynamic spatial causation. In this paper, we propose a novel framework called CaST to tackle these two challenges via causal treatments. Concretely, leveraging a causal lens, we first build a structural causal model to decipher the data generation process of STGs. To handle the temporal OoD issue, we employ the back-door adjustment by a novel disentanglement block to separate invariant parts and temporal environments from input data. Moreover, we utilize the front-door adjustment and adopt the Hodge-Laplacian operator for edge-level convolution to model the ripple effect of causation. Experiments results on three real-world datasets demonstrate the effectiveness and practicality of CaST, which consistently outperforms existing methods with good interpretability.Comment: To appear at NeurIPS 202

Adaptive action supervision in reinforcement learning from real-world multi-agent demonstrations

Modeling of real-world biological multi-agents is a fundamental problem in various scientific and engineering fields. Reinforcement learning (RL) is a powerful framework to generate flexible and diverse behaviors in cyberspace; however, when modeling real-world biological multi-agents, there is a domain gap between behaviors in the source (i.e., real-world data) and the target (i.e., cyberspace for RL), and the source environment parameters are usually unknown. In this paper, we propose a method for adaptive action supervision in RL from real-world demonstrations in multi-agent scenarios. We adopt an approach that combines RL and supervised learning by selecting actions of demonstrations in RL based on the minimum distance of dynamic time warping for utilizing the information of the unknown source dynamics. This approach can be easily applied to many existing neural network architectures and provide us with an RL model balanced between reproducibility as imitation and generalization ability to obtain rewards in cyberspace. In the experiments, using chase-and-escape and football tasks with the different dynamics between the unknown source and target environments, we show that our approach achieved a balance between the reproducibility and the generalization ability compared with the baselines. In particular, we used the tracking data of professional football players as expert demonstrations in football and show successful performances despite the larger gap between behaviors in the source and target environments than the chase-and-escape task.Comment: 14 pages, 5 figure

Data-driven analysis on the subbase strain prediction:a deep data augmentation-based study

The service quality of the subbase may affect the overall road performance during its service life. Thus, monitoring and prediction of subbase strain development are of great importance for civil engineers. In this paper, a method based on the time-series augmentation was employed to predict the subbase strain development. The time-series generative adversarial network (TimeGAN) model was implemented to perform the augmentation of time-series data based on the original monitored data. The augmented data was trained through deep learning network to learn the feature correlation of the subbase strain. The effectiveness of TimeGAN on the prediction accuracy was evaluated through the Attention-Sequence to Sequence (Attention-Seq2seq) model, and temporal convolution network-adaptively parametric rectifier linear units (TCN-APReLU) model. Results indicated that the TimeGAN network could capture sufficient information from the time-series monitored data of subbase strain development so that the corresponding augmented data matches well with the original data, which improves the prediction accuracy. It is also discovered that the combination of TimeGAN and TCN-APReLU appropriately predict the subbase strain development based on the original monitored data

Enabling Auditing and Intrusion Detection of Proprietary Controller Area Networks

The goal of this dissertation is to provide automated methods for security researchers to overcome ‘security through obscurity’ used by manufacturers of proprietary Industrial Control Systems (ICS). `White hat\u27 security analysts waste significant time reverse engineering these systems\u27 opaque network configurations instead of performing meaningful security auditing tasks. Automating the process of documenting proprietary protocol configurations is intended to improve independent security auditing of ICS networks. The major contributions of this dissertation are a novel approach for unsupervised lexical analysis of binary network data flows and analysis of the time series data extracted as a result. We demonstrate the utility of these methods using Controller Area Network (CAN) data sampled from passenger vehicles

Essays in finance: Generative probabilistic models, firm efficiency, and investor relations

This dissertation consists of four independently written essays dealing with inference and prediction of financial data sets. The first part of this dissertation focuses on the inference element and contains two chapters that explore the question of how financial markets priced companies’ stocks during the market collapse caused by the COVID-19 pandemic in the beginning of 2020. As the COVID-19 pandemic and the subsequent economic lockdown represented one of the most impacting exogenous shocks to financial markets in recent history, it led to a huge increase in uncertainty about a firm’s future cash flows. This environment thus allowed us to examine the drivers and characteristics that may make firms more resilient to crises and help to reduce investor uncertainty. The last two essays of this dissertation move away from the inference element and deal with the prediction of financial time series data using unsupervised machine learning methods. In the finance literature so far, machine learning models are mainly used for discriminative tasks, such as point forecasts or classifications. However, in this dissertation, we show how the finance literature can be extended by using generative probabilistic models, which aim to learn the underlying distribution of the data and are able to generate realistic artificial samples. Since time series in the real world are highly stochastic, probabilistic sampling has the advantage of providing a complete distribution of possible scenarios instead of a single prediction