Related papers: Estimating the Value-at-Risk by Temporal VAE

The increasing availability of electrocardiogram (ECG) data has motivated the use of data-driven models for automating various clinical tasks based on ECG data. The development of subject-specific models are limited by the cost and…

In this paper, we consider the nonconvex minimization problem of the value-at-risk (VaR) that arises from financial risk analysis. By considering this problem as a special linear program with linear complementarity constraints (a bilevel…

The electrocardiogram (ECG) is an inexpensive and widely available tool for cardiovascular assessment. Despite its standardized format and small file size, the high complexity and inter-individual variability of ECG signals (typically a…

Machine learning methods often need a large amount of labeled training data. Since the training data is assumed to be the ground truth, outliers can severely degrade learned representations and performance of trained models. Here we apply…

Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…

Multi-view data from the same source often exhibit correlation. This is mirrored in correlation between the latent spaces of separate variational autoencoders (VAEs) trained on each data-view. A multi-view VAE approach is proposed that…

The Value-at-Risk (VaR) of comonotonic sums can be decomposed into marginal VaR's at the same level. This additivity property allows to derive useful decompositions for other risk measures. In particular, the Tail Value-at-Risk (TVaR) and…

Deep learning (DL) methods where interpretability is intrinsically considered as part of the model are required to better understand the relationship of clinical and imaging-based attributes with DL outcomes, thus facilitating their use in…

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…

We consider the closely related problems of sampling from a distribution known up to a normalizing constant, and estimating said normalizing constant. We show how variational autoencoders (VAEs) can be applied to this task. In their…

In this paper we introduce a recurrent neural network (RNN) based variational autoencoder (VAE) model with a new constrained loss function that can generate more meaningful electroencephalography (EEG) features from raw EEG features to…

This paper introduces a new member of the family of Variational Autoencoders (VAE) that constrains the rate of information transferred by the latent layer. The latent layer is interpreted as a communication channel, the information rate of…

In just three years, Variational Autoencoders (VAEs) have emerged as one of the most popular approaches to unsupervised learning of complicated distributions. VAEs are appealing because they are built on top of standard function…

Time-of-Flight Magnetic Resonance Angiographs (TOF-MRAs) enable visualization and analysis of cerebral arteries. This analysis may indicate normal variation of the configuration of the cerebrovascular system or vessel abnormalities, such as…

In the field of machine learning, it is still a critical issue to identify and supervise the learned representation without manually intervening or intuition assistance to extract useful knowledge or serve for the downstream tasks. In this…

Recent studies have demonstrated the efficiency of Variational Autoencoders (VAE) to compress high-dimensional implied volatility surfaces into a low dimensional representation. Although this method can be effectively used for pricing…

We investigate the phenomenon of posterior collapse in variational autoencoders (VAEs) from the perspective of statistical physics, and reveal that it constitutes a phase transition governed jointly by data structure and model…

This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR). We recast the traditional Euler contributions from an expectation conditional on an…

Variational autoencoders (VAEs) often suffer from posterior collapse, which is a phenomenon in which the learned latent space becomes uninformative. This is often related to the hyperparameter resembling the data variance. It can be shown…

Variational Autoencoders (VAE) and their variants have been widely used in a variety of applications, such as dialog generation, image generation and disentangled representation learning. However, the existing VAE models have some…