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

Prototypical Contrastive Learning of Unsupervised Representations

This paper presents Prototypical Contrastive Learning (PCL), an unsupervised representation learning method that addresses the fundamental limitations of instance-wise contrastive learning. PCL not only learns low-level features for the task of instance discrimination, but more importantly, it implicitly encodes semantic structures of the data into the learned embedding space. Specifically, we introduce prototypes as latent variables to help find the maximum-likelihood estimation of the network parameters in an Expectation-Maximization framework. We iteratively perform E-step as finding the distribution of prototypes via clustering and M-step as optimizing the network via contrastive learning. We propose ProtoNCE loss, a generalized version of the InfoNCE loss for contrastive learning, which encourages representations to be closer to their assigned prototypes. PCL outperforms state-of-the-art instance-wise contrastive learning methods on multiple benchmarks with substantial improvement in low-resource transfer learning. Code and pretrained models are available at https://github.com/salesforce/PCL

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