The workflow of data scientists normally involves potentially inefficient processes such as data mining, feature engineering and model selection. Recent research has focused on automating this workflow, partly or in its entirety, to improve productivity. We choose the former approach and in this paper share our experience in designing the client2vec: an internal library to rapidly build baselines for banking applications. Client2vec uses marginalized stacked denoising autoencoders on current account transactions data to create vector embeddings which represent the behaviors of our clients. These representations can then be used in, and optimized against, a variety of tasks such as client segmentation, profiling and targeting. Here we detail how we selected the algorithmic machinery of client2vec and the data it works on and present experimental results on several business cases.
One drawback of these embedding methods is that they lack a formalism to embed sets or sequences of items, rather than the items themselves. On sequential data, methods such as RNNs offer in most cases state-of-the-art performance @cite_40 . However, these models are unsuitable to our use case: they are usually data-hungry and computationally burdensome, hence inadequate to rapidly and systematically build baselines. Autoencoders, on the other hand, have been shown to be effective at creating unsupervised embeddings of formal representations of sets (e.g. bag-of-items) [Sec. 7] bengio2013representation, Chen:12 and have thus found application, for instance, in embedding patient data @cite_37 . The latter work, in particular, leverages stacked denoising autoencoders (SDAs) and offers a very similar scenario to the ones we consider in our applications. We chose however to focus on mSDAs to reduce the computational cost associated with SDAs, Section .
@cite_40 @cite_37
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Stacked denoising autoencoders (SDAs) have been successfully used to learn new representations for domain adaptation. Recently, they have attained record accuracy on standard benchmark tasks of sentiment analysis across different text domains. SDAs learn robust data representations by reconstruction, recovering original features from data that are artificially corrupted with noise. In this paper, we propose marginalized SDA (mSDA) that addresses two crucial limitations of SDAs: high computational cost and lack of scalability to high-dimensional features. In contrast to SDAs, our approach of mSDA marginalizes noise and thus does not require stochastic gradient descent or other optimization algorithms to learn parameters--in fact, they are computed in closed-form. Consequently, mSDA, which can be implemented in only 20 lines of MATLAB™, significantly speeds up SDAs by two orders of magnitude. Furthermore, the representations learnt by mSDA are as effective as the traditional SDAs, attaining almost identical accuracies in benchmark tasks. Stacked denoising autoencoders (SDAs) have been successfully used to learn new representations for domain adaptation. Recently, they have attained record accuracy on standard benchmark tasks of sentiment analysis across different text domains. SDAs learn robust data representations by reconstruction, recovering original features from data that are artificially corrupted with noise. In this paper, we propose marginalized SDA (mSDA) that addresses two crucial limitations of SDAs: high computational cost and lack of scalability to high-dimensional features. In contrast to SDAs, our approach of mSDA marginalizes noise and thus does not require stochastic gradient descent or other optimization algorithms to learn parameters ? in fact, they are computed in closed-form. Consequently, mSDA, which can be implemented in only 20 lines of MATLAB^ TM , significantly speeds up SDAs by two orders of magnitude. Furthermore, the representations learnt by mSDA are as effective as the traditional SDAs, attaining almost identical accuracies in benchmark tasks. Stacked sparse denoising autoencoders (SSDAs) have recently been shown to be successful at removing noise from corrupted images. However, like most denoising techniques, the SSDA is not robust to variation in noise types beyond what it has seen during training. To address this limitation, we present the adaptive multi-column stacked sparse denoising autoencoder (AMC-SSDA), a novel technique of combining multiple SSDAs by (1) computing optimal column weights via solving a nonlinear optimization program and (2) training a separate network to predict the optimal weights. We eliminate the need to determine the type of noise, let alone its statistics, at test time and even show that the system can be robust to noise not seen in the training set. We show that state-of-the-art denoising performance can be achieved with a single system on a variety of different noise types. Additionally, we demonstrate the efficacy of AMC-SSDA as a preprocessing (denoising) algorithm by achieving strong classification performance on corrupted MNIST digits. Stacked sparse denoising auto-encoders (SSDAs) have recently been shown to be successful at removing noise from corrupted images. However, like most denoising techniques, the SSDA is not robust to variation in noise types beyond what it has seen during training. We present the multi-column stacked sparse denoising autoencoder, a novel technique of combining multiple SSDAs into a multi-column SSDA (MC-SSDA) by combining the outputs of each SSDA. We eliminate the need to determine the type of noise, let alone its statistics, at test time. We show that good denoising performance can be achieved with a single system on a variety of different noise types, including ones not seen in the training set. Additionally, we experimentally demonstrate the efficacy of MC-SSDA denoising by achieving MNIST digit error rates on denoised images at close to that of the uncorrupted images.