Investment decisions can benefit from incorporating an accumulated knowledge of the past to drive future decision making. We introduce Continual Learning Augmentation (CLA) which is based on an explicit memory structure and a feed forward neural network (FFNN) base model and used to drive long term financial investment decisions. We demonstrate that our approach improves accuracy in investment decision making while memory is addressed in an explainable way. Our approach introduces novel remember cues, consisting of empirically learned change points in the absolute error series of the FFNN. Memory recall is also novel, with contextual similarity assessed over time by sampling distances using dynamic time warping (DTW). We demonstrate the benefits of our approach by using it in an expected return forecasting task to drive investment decisions. In an investment simulation in a broad international equity universe between 2003-2017, our approach significantly outperforms FFNN base models. We also illustrate how CLA's memory addressing works in practice, using a worked example to demonstrate the explainability of our approach.
Approaches developed for continual learning have been applied to many areas and have employed a wide range of techniques including gated neural networks @cite_32 @cite_19 , explicit memory structures @cite_28 , prototypical addressing @cite_38 , weight adaptation @cite_1 @cite_22 to name a few. Having addressed catastrophic forgetting @cite_14 more recent research has turned to solving second order problems, such as overheads of external memory structures @cite_25 , problems with weight saturation @cite_12 and the complications of outright complexity @cite_39 . While a number of memory approaches apply to sequential memory tasks @cite_23 @cite_31 a far smaller number still have been focused specifically on time-series @cite_36 @cite_13 @cite_26 @cite_29 . It is unclear how effective these approaches would be in dealing with long term continual learning of noisy, non-stationary time-series, commonly found in finance.
@cite_38 @cite_14 @cite_26 @cite_22 @cite_28 @cite_36 @cite_29 @cite_1 @cite_32 @cite_39 @cite_19 @cite_23 @cite_31 @cite_13 @cite_25 @cite_12
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Continual Learning in artificial neural networks suffers from interference and forgetting when different tasks are learned sequentially. This paper introduces the Active Long Term Memory Networks (A-LTM), a model of sequential multi-task deep learning that is able to maintain previously learned association between sensory input and behavioral output while acquiring knew knowledge. A-LTM exploits the non-convex nature of deep neural networks and actively maintains knowledge of previously learned, inactive tasks using a distillation loss. Distortions of the learned input-output map are penalized but hidden layers are free to transverse towards new local optima that are more favorable for the multi-task objective. We re-frame the McClelland's seminal Hippocampal theory with respect to Catastrophic Inference (CI) behavior exhibited by modern deep architectures trained with back-propagation and inhomogeneous sampling of latent factors across epochs. We present empirical results of non-trivial CI during continual learning in Deep Linear Networks trained on the same task, in Convolutional Neural Networks when the task shifts from predicting semantic to graphical factors and during domain adaptation from simple to complex environments. We present results of the A-LTM model's ability to maintain viewpoint recognition learned in the highly controlled iLab-20M dataset with 10 object categories and 88 camera viewpoints, while adapting to the unstructured domain of Imagenet with 1,000 object categories. Learning to store information over extended time intervals by recurrent backpropagation takes a very long time, mostly because of insufficient, decaying error backflow. We briefly review Hochreiter's (1991) analysis of this problem, then address it by introducing a novel, efficient, gradient based method called long short-term memory (LSTM). Truncating the gradient where this does not do harm, LSTM can learn to bridge minimal time lags in excess of 1000 discrete-time steps by enforcing constant error flow through constant error carousels within special units. Multiplicative gate units learn to open and close access to the constant error flow. LSTM is local in space and time; its computational complexity per time step and weight is O. 1. Our experiments with artificial data involve local, distributed, real-valued, and noisy pattern representations. In comparisons with real-time recurrent learning, back propagation through time, recurrent cascade correlation, Elman nets, and neural sequence chunking, LSTM leads to many more successful runs, and learns much faster. LSTM also solves complex, artificial long-time-lag tasks that have never been solved by previous recurrent network algorithms. Promising approaches to structured learning problems have recently been developed in the maximum margin framework. Unfortunately, algorithms that are computationally and memory efficient enough to solve large scale problems have lagged behind. We propose using simple subgradient-based techniques for optimizing a regularized risk formulation of these problems in both online and batch settings, and analyze the theoretical convergence, generalization, and robustness properties of the resulting techniques. These algorithms are are simple, memory efficient, fast to converge, and have small regret in the online setting. We also investigate a novel convex regression formulation of structured learning. Finally, we demonstrate the benefits of the subgradient approach on three structured prediction problems. Training recurrent neural networks to model long term dependencies is difficult. Hence, we propose to use external linguistic knowledge as an explicit signal to inform the model which memories it should utilize. Specifically, external knowledge is used to augment a sequence with typed edges between arbitrarily distant elements, and the resulting graph is decomposed into directed acyclic subgraphs. We introduce a model that encodes such graphs as explicit memory in recurrent neural networks, and use it to model coreference relations in text. We apply our model to several text comprehension tasks and achieve new state-of-the-art results on all considered benchmarks, including CNN, bAbi, and LAMBADA. On the bAbi QA tasks, our model solves 15 out of the 20 tasks with only 1000 training examples per task. Analysis of the learned representations further demonstrates the ability of our model to encode fine-grained entity information across a document.