We introduce three new generative models for time series that are based on Euler discretization of Stochastic Differential Equations (SDEs) and Wasserstein metrics. Two of these methods rely on the adaptation of generative adversarial networks (GANs) to time series. The third algorithm, called Conditional Euler Generator (CEGEN), minimizes a dedicated distance between the transition probability distributions over all time steps. In the context of Ito processes, we provide theoretical guarantees that minimizing this criterion implies accurate estimations of the drift and volatility parameters. We demonstrate empirically that CEGEN outperforms state-of-the-art and GAN generators on both marginal and temporal dynamics metrics. Besides, it identifies accurate correlation structures in high dimension. When few data points are available, we verify the effectiveness of CEGEN, when combined with transfer learning methods on Monte Carlo simulations. Finally, we illustrate the robustness of our method on various real-world datasets.
Recent advances in conditional image generation tasks, such as image-to-image translation and image inpainting, are largely accounted to the success of conditional GAN models, which are often optimized by the joint use of the GAN loss with the reconstruction loss. However, we reveal that this training recipe shared by almost all existing methods causes one critical side effect: lack of diversity in output samples. In order to accomplish both training stability and multimodal output generation, we propose novel training schemes with a new set of losses named moment reconstruction losses that si…
Conditional domain generation is a good way to interactively control sample generation process of deep generative models. However, once a conditional generative model has been created, it is often expensive to allow it to adapt to new conditional controls, especially the network structure is relatively deep. We propose a conditioned latent domain transfer framework across latent spaces of unconditional variational autoencoders(VAE). With this framework, we can allow unconditionally trained VAEs to generate images in its domain with conditionals provided by a latent representation of another do…
Set prediction is about learning to predict a collection of unordered variables with unknown interrelations. Training such models with set losses imposes the structure of a metric space over sets. We focus on stochastic and underdefined cases, where an incorrectly chosen loss function leads to implausible predictions. Example tasks include conditional point-cloud reconstruction and predicting future states of molecules. In this paper, we propose an alternative to training via set losses by viewing learning as conditional density estimation. Our learning framework fits deep energy-based models …
KTH Royal Institute of Technology（瑞典皇家理工学院）；RISE Research Institutes of Sweden（瑞典RISE研究院）
We present a representation learning framework for financial time series forecasting. One challenge of using deep learning models for finance forecasting is the shortage of available training data when using small datasets. Direct trend classification using deep neural networks trained on small datasets is susceptible to the overfitting problem. In this paper, we propose to first learn compact representations from time series data, then use the learned representations to train a simpler model for predicting time series movements. We consider a class-conditioned latent variable model. We train …
In this work, we investigate the use of normalizing flows to model conditional distributions. In particular, we use our proposed method to analyze inverse problems with invertible neural networks by maximizing the posterior likelihood. Our method uses only a single loss and is easy to train. This is an improvement on the previous method that solves similar inverse problems with invertible neural networks but which involves a combination of several loss terms with ad-hoc weighting. In addition, our method provides a natural framework to incorporate conditioning in normalizing flows, and therefo…
Hybrid Adversarial Spectral Loss Conditional Generative Adversarial Networks for Signal Data Augmentation in Ultra-precision Machining Surface Roughness Prediction
Automatically generating maps from satellite images is an important task. There is a body of literature which tries to address this challenge. We created a more expansive survey of the task by experimenting with different models and adding new loss functions to improve results. We created a database of pairs of satellite images and the corresponding map of the area. Our model translates the satellite image to the corresponding standard layer map image using three main model architectures: (i) a conditional Generative Adversarial Network (GAN) which compresses the images down to a learned embed…
Problem: There is a lack of big data for the training of deep learning models in medicine, characterized by the time cost of data collection and privacy concerns. Generative adversarial networks (GANs) offer both the potential to generate new data, as well as to use this newly generated data, without inclusion of patients' real data, for downstream applications. Approach: A series of GANs were trained and applied for a downstream computer vision spine radiograph abnormality classification task. Separate classifiers were trained with either access or no access to the original imaging. Trained G…
We present a framework to derive bounds on the test loss of randomized learning algorithms for the case of bounded loss functions. Drawing from Steinke & Zakynthinou (2020), this framework leads to bounds that depend on the conditional information density between the the output hypothesis and the choice of the training set, given a larger set of data samples from which the training set is formed. Furthermore, the bounds pertain to the average test loss as well as to its tail probability, both for the PAC-Bayesian and the single-draw settings. If the conditional information density is bounded u…
We present a new machine learning approach to estimate personalized treatment effects in the classical potential outcomes framework with binary outcomes. To overcome the problem that both treatment and control outcomes for the same unit are required for supervised learning, we propose surrogate loss functions that incorporate both treatment and control data. The new surrogates yield tighter bounds than the sum of losses for treatment and control groups. A specific choice of loss function, namely a type of hinge loss, yields a minimax support vector machine formulation. The resulting optimizati…
We propose a general approach for supervised learning with structured output spaces, such as combinatorial and polyhedral sets, that is based on minimizing estimated conditional risk functions. Given a loss function defined over pairs of output labels, we first estimate the conditional risk function by solving a (possibly infinite) collection of regularized least squares problems. A prediction is made by solving an inference problem that minimizes the estimated conditional risk function over the output space. We show that this approach enables, in some cases, efficient training and inference w…
The University of Tokyo（东京大学）；National Institute of Informatics（国立情报学研究所）
We propose a risk-averse statistical learning framework wherein the performance of a learning algorithm is evaluated by the conditional value-at-risk (CVaR) of losses rather than the expected loss. We devise algorithms based on stochastic gradient descent for this framework. While existing studies of CVaR optimization require direct access to the underlying distribution, our algorithms make a weaker assumption that only i.i.d.\ samples are given. For convex and Lipschitz loss functions, we show that our algorithm has $O(1/\sqrt{n})$-convergence to the optimal CVaR, where $n$ is the number of s…
Deep conditional distribution learning via conditional Föllmer flow
Joint Laboratory of Data Science and Business Intelligence（数据科学与商务智能联合实验室）；Southwestern University of Finance and Economics（西南财经大学）；State Key Laboratory of Mathematical Sciences（数学科学国家重点实验室）；Academy of Mathematics and Systems Science（数学与系统科学学院）；Chinese Academy of Sciences（中国科学院）；School of Mathematics and Statistics（数学与统计学学院）；Wuhan University（武汉大学）；Hubei Key Laboratory of Computational Science（湖北省计算科学重点实验室）
New York University（纽约大学）；Universidade Federal de São Carlos（圣卡洛斯联邦大学）；Universidade de São Paulo（圣保罗大学）
This paper introduces FlexCodeTS, a new conditional density estimator for time series. FlexCodeTS is a flexible nonparametric conditional density estimator, which can be based on an arbitrary regression method. It is shown that FlexCodeTS inherits the rate of convergence of the chosen regression method. Hence, FlexCodeTS can adapt its convergence by employing the regression method that best fits the structure of data. From an empirical perspective, FlexCodeTS is compared to NNKCDE and GARCH in both simulated and real data. FlexCodeTS is shown to generally obtain the best performance among the …
Consistent Learning-to-Defer with Expert-Conditional Advice
School of Computing（计算学院）；Département de Mathématiques（数学系）；National University of Singapore（新加坡国立大学）；Sorbonne University（索邦大学）；Fédération ENAC（ENAC联合会）；ISAE-SUPAERO；ONERA；Agency for Science, Technology and Research（科技研究局）；Université de Toulouse（图卢兹大学）；Institute for Infocomm Research（信息与通信研究所）
Among the many ways of quantifying uncertainty in a regression setting, specifying the full quantile function is attractive, as quantiles are amenable to interpretation and evaluation. A model that predicts the true conditional quantiles for each input, at all quantile levels, presents a correct and efficient representation of the underlying uncertainty. To achieve this, many current quantile-based methods focus on optimizing the so-called pinball loss. However, this loss restricts the scope of applicable regression models, limits the ability to target many desirable properties (e.g. calibrati…
Washington University in St. Louis（圣路易斯华盛顿大学）；Carnegie Mellon University（卡内基梅隆大学）
We consider the following conditional linear regression problem: the task is to identify both (i) a $k$-DNF condition $c$ and (ii) a linear rule $f$ such that the probability of $c$ is (approximately) at least some given bound $μ$, and $f$ minimizes the $\ell_p$ loss of predicting the target $z$ in the distribution of examples conditioned on $c$. Thus, the task is to identify a portion of the distribution on which a linear rule can provide a good fit. Algorithms for this task are useful in cases where simple, learnable rules only accurately model portions of the distribution. The prior state-o…
