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Multi-step ahead prediction in language models is challenging due to the discrepancy between training and test time processes. At test time, a sequence predictor is required to make predictions given past predictions as the input, instead…
In machine learning, crowdsourcing is an economical way to label a large amount of data. However, the noise in the produced labels may deteriorate the accuracy of any classification method applied to the labelled data. We propose an…
In many scientific disciplines structures in high-dimensional data have to be found, e.g., in stellar spectra, in genome data, or in face recognition tasks. In this work we present a novel approach to non-linear dimensionality reduction. It…
Trust Region Policy Optimization (TRPO) and Proximal Policy Optimization (PPO) are among the most successful policy gradient approaches in deep reinforcement learning (RL). While these methods achieve state-of-the-art performance across a…
Neural network classifiers have become the de-facto choice for current "pre-train then fine-tune" paradigms of visual classification. In this paper, we investigate k-Nearest-Neighbor (k-NN) classifiers, a classical model-free learning…
Probabilistic k-nearest neighbour (PKNN) classification has been introduced to improve the performance of original k-nearest neighbour (KNN) classification algorithm by explicitly modelling uncertainty in the classification of each feature…
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of…
In this paper we consider the problem of finding a maximum weight set subject to a $k$-extendible constraint in the data stream model. The only non-trivial algorithm known for this problem to date---to the best of our knowledge---is a…
We study the fundamental problem of approximate nearest neighbor search in $d$-dimensional Hamming space $\{0,1\}^d$. We study the complexity of the problem in the famous cell-probe model, a classic model for data structures. We consider…
Offline or batch reinforcement learning seeks to learn a near-optimal policy using history data without active exploration of the environment. To counter the insufficient coverage and sample scarcity of many offline datasets, the principle…
We introduce $k$NN-LMs, which extend a pre-trained neural language model (LM) by linearly interpolating it with a $k$-nearest neighbors ($k$NN) model. The nearest neighbors are computed according to distance in the pre-trained LM embedding…
This paper studies the statistical theory of batch data reinforcement learning with function approximation. Consider the off-policy evaluation problem, which is to estimate the cumulative value of a new target policy from logged history…
Semi-parametric Nearest Neighbor Language Models ($k$NN-LMs) have produced impressive gains over purely parametric LMs, by leveraging large-scale neighborhood retrieval over external memory datastores. However, there has been little…
The objective of this study is to develop a good risk model for classifying business delinquency by simultaneously exploring several machine learning based methods including regularization, hyper-parameter optimization, and model ensembling…
Managing high-frequency data in a limit order book (LOB) is a complex task that often exceeds the capabilities of conventional time-series forecasting models. Accurately predicting the entire multi-level LOB, beyond just the mid-price, is…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
We present an algorithm for learning parametric constraints from locally-optimal demonstrations, where the cost function being optimized is uncertain to the learner. Our method uses the Karush-Kuhn-Tucker (KKT) optimality conditions of the…
Center-based clustering has attracted significant research interest from both theory and practice. In many practical applications, input data often contain background knowledge that can be used to improve clustering results. In this work,…
In this paper, we introduce a novel data transformation framework based on Opposition-Based Learning (OBL) to boost the performance of traditional classification algorithms. Originally developed to accelerate convergence in optimization…
For supervised classification problems, this paper considers estimating the query's label probability through local regression using observed covariates. Well-known nonparametric kernel smoother and $k$-nearest neighbor ($k$-NN) estimator,…