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This paper investigates the enhancement of financial time series forecasting with the use of neural networks through supervised autoencoders (SAE), to improve investment strategy performance. Using the Sharpe and Information Ratios, it…

Building a scalable machine learning system for unsupervised anomaly detection via representation learning is highly desirable. One of the prevalent methods is using a reconstruction error from variational autoencoder (VAE) via maximizing…

Unreliable predictions can occur when using artificial intelligence (AI) systems with negative consequences for downstream applications, particularly when employed for decision-making. Conformal prediction provides a model-agnostic…

Turbulence is characterised by chaotic dynamics and a high-dimensional state space, which make this phenomenon challenging to predict. However, turbulent flows are often characterised by coherent spatiotemporal structures, such as vortices…

We present a novel Bayesian framework for quantifying uncertainty in portfolio temperature alignment models, leveraging the X-Degree Compatibility (XDC) approach with the scientifically validated Finite Amplitude Impulse Response (FaIR)…

Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…

Many problems in engineering and sciences require the solution of large scale optimization constrained by partial differential equations (PDEs). Though PDE-constrained optimization is itself challenging, most applications pose additional…

Neural Networks play a growing role in many science disciplines, including physics. Variational Autoencoders (VAEs) are neural networks that are able to represent the essential information of a high dimensional data set in a low dimensional…

Quantile regression, a robust method for estimating conditional quantiles, has advanced significantly in fields such as econometrics, statistics, and machine learning. In high-dimensional settings, where the number of covariates exceeds…

We present a deep learning based approach to containerized application runtime stability analysis, and an intelligent publishing algorithm that can dynamically adjust the depth of process-level forensics published to a backend incident…

Training deep generative models like Variational Autoencoders (VAEs) requires propagating gradients through stochastic latent variables, which introduces estimation variance that can slow convergence and degrade performance. In this paper,…

We propose a framework for the statistical evaluation of variational auto-encoders (VAEs) and test two instances of this framework in the context of modelling images of handwritten digits and a corpus of English text. Our take on evaluation…

The surrogate loss of variational autoencoders (VAEs) poses various challenges to their training, inducing the imbalance between task fitting and representation inference. To avert this, the existing strategies for VAEs focus on adjusting…

The variational autoencoder (VAE) is a powerful generative model that can estimate the probability of a data point by using latent variables. In the VAE, the posterior of the latent variable given the data point is regularized by the prior…

Escalating cyber threats and the high-dimensional complexity of IoT traffic have outpaced classical anomaly detection methods. While deep learning offers improvements, computational bottlenecks limit real-time deployment at scale. We…

Variational Autoencoders (VAEs) are well-established as a principled approach to probabilistic unsupervised learning with neural networks. Typically, an encoder network defines the parameters of a Gaussian distributed latent space from…

The factor modeling for high-dimensional time series is powerful in discovering latent common components for dimension reduction and information extraction. Most available estimation methods can be divided into two categories: the…

We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stochastic factors. The use of a global-local shrinkage prior for…

Predicting customers' long-term revenue from sparse and irregular transaction data is central to marketing resource allocation in non-contractual settings, yet existing approaches face a trade-off. Traditional probabilistic customer base…

A data-driven framework is proposed towards the end of predictive modeling of complex spatio-temporal dynamics, leveraging nested non-linear manifolds. Three levels of neural networks are used, with the goal of predicting the future state…