On-Line Portfolio Selection with Moving Average Reversion

On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied in some real datasets, leading to poor performance when the assumption does not hold. To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a new on-line portfolio selection strategy named "On-Line Moving Average Reversion" (OLMAR), which exploits MAR by applying powerful online learning techniques. From our empirical results, we found that OLMAR can overcome the drawback of existing mean reversion algorithms and achieve significantly better results, especially on the datasets where the existing mean reversion algorithms failed. In addition to superior trading performance, OLMAR also runs extremely fast, further supporting its practical applicability to a wide range of applications.Comment: ICML201

Partially observable multi-sensor sequential change detection: A combinatorial multi-armed bandit approach

National Research Foundation (NRF) Singapore under its AI Singapore Programm

Scalable Image Retrieval by Sparse Product Quantization

Fast Approximate Nearest Neighbor (ANN) search technique for high-dimensional feature indexing and retrieval is the crux of large-scale image retrieval. A recent promising technique is Product Quantization, which attempts to index high-dimensional image features by decomposing the feature space into a Cartesian product of low dimensional subspaces and quantizing each of them separately. Despite the promising results reported, their quantization approach follows the typical hard assignment of traditional quantization methods, which may result in large quantization errors and thus inferior search performance. Unlike the existing approaches, in this paper, we propose a novel approach called Sparse Product Quantization (SPQ) to encoding the high-dimensional feature vectors into sparse representation. We optimize the sparse representations of the feature vectors by minimizing their quantization errors, making the resulting representation is essentially close to the original data in practice. Experiments show that the proposed SPQ technique is not only able to compress data, but also an effective encoding technique. We obtain state-of-the-art results for ANN search on four public image datasets and the promising results of content-based image retrieval further validate the efficacy of our proposed method.Comment: 12 page

Cross-Language and Cross-Media Image Retrieval: An Empirical Study at ImageCLEF2007

Abstract. This paper summarizes our empirical study of cross-language and cross-media image retrieval at the CLEF image retrieval track (ImageCLEF2007). In this year, we participated in the ImageCLEF photo retrieval task, in which the goal of the retrieval task is to search natural photos by some query with both textual and visual information. In this paper, we study the empirical evaluations of our solutions for the image retrieval tasks in three aspects. First of all, we study the application of language models and smoothing strategies for text-based image retrieval, particularly addressing the short text query issue. Secondly, we study the cross-media image retrieval problem using some simple combination strategy. Lastly, we study the cross-language image retrieval problem between English and Chinese. Finally, we summarize our empirical experiences and indicate some future directions.