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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We propose prototypical networks for the problem of few-shot classification, where a classifier must generalize to new classes not seen in the training set, given only a small number of examples of each new class. Prototypical networks learn a metric space in which classification can be performed by computing distances to prototype representations of each class. Compared to recent approaches for few-shot learning, they reflect a simpler inductive bias that is beneficial in this limited-data regime, and achieve excellent results. We provide an analysis showing that some simple design decisions can yield substantial improvements over recent approaches involving complicated architectural choices and meta-learning. We further extend prototypical networks to zero-shot learning and achieve state-of-the-art results on the CU-Birds dataset. Abstract All natural cognitive systems, and, in particular, our own, gradually forget previously learned information. Plausible models of human cognition should therefore exhibit similar patterns of gradual forgetting of old information as new information is acquired. Only rarely does new learning in natural cognitive systems completely disrupt or erase previously learned information; that is, natural cognitive systems do not, in general, forget ‘catastrophically'. Unfortunately, though, catastrophic forgetting does occur under certain circumstances in distributed connectionist networks. The very features that give these networks their remarkable abilities to generalize, to function in the presence of degraded input, and so on, are found to be the root cause of catastrophic forgetting. The challenge in this field is to discover how to keep the advantages of distributed connectionist networks while avoiding the problem of catastrophic forgetting. In this article the causes, consequences and numerous solutions to the problem of catastrophic forgetting in neural networks are examined. The review will consider how the brain might have overcome this problem and will also explore the consequences of this solution for distributed connectionist networks. Abstract: Clinical medical data, especially in the intensive care unit (ICU), consist of multivariate time series of observations. For each patient visit (or episode), sensor data and lab test results are recorded in the patient's Electronic Health Record (EHR). While potentially containing a wealth of insights, the data is difficult to mine effectively, owing to varying length, irregular sampling and missing data. Recurrent Neural Networks (RNNs), particularly those using Long Short-Term Memory (LSTM) hidden units, are powerful and increasingly popular models for learning from sequence data. They effectively model varying length sequences and capture long range dependencies. We present the first study to empirically evaluate the ability of LSTMs to recognize patterns in multivariate time series of clinical measurements. Specifically, we consider multilabel classification of diagnoses, training a model to classify 128 diagnoses given 13 frequently but irregularly sampled clinical measurements. First, we establish the effectiveness of a simple LSTM network for modeling clinical data. Then we demonstrate a straightforward and effective training strategy in which we replicate targets at each sequence step. Trained only on raw time series, our models outperform several strong baselines, including a multilayer perceptron trained on hand-engineered features. Deep neural networks have excelled on a wide range of problems, from vision to language and game playing. Neural networks very gradually incorporate information into weights as they process data, requiring very low learning rates. If the training distribution shifts, the network is slow to adapt, and when it does adapt, it typically performs badly on the training distribution before the shift. Our method, Memory-based Parameter Adaptation, stores examples in memory and then uses a context-based lookup to directly modify the weights of a neural network. Much higher learning rates can be used for this local adaptation, reneging the need for many iterations over similar data before good predictions can be made. As our method is memory-based, it alleviates several shortcomings of neural networks, such as catastrophic forgetting, fast, stable acquisition of new knowledge, learning with an imbalanced class labels, and fast learning during evaluation. We demonstrate this on a range of supervised tasks: large-scale image classification and language modelling. Machine learning research has, to a great extent, ignored an important aspect of many real world applications: time. Existing concept learners predominantly operate on a static set of attributes; for example, classifying flowers described by leaf size, pet al colour and pet al count. However, many real datasets are not static; they cannot sensibly be represented as a fixed set of attributes. Rather, the examples are expressed as features that vary temporally, and it is the temporal variation itself that is used for classification. Consider a simple gesture recognition domain, in which the temporal features are the position of the hands, finger bends, and so on. Looking at the position of the hand at one point in time is not likely to lead to a successful classification; it is only by analysing changes in position that recognition is possible. This thesis presents a new technique for temporal classification. By extracting sub-events from the training instances and parameterising them to allow feature construction for a subsequent learning process, it is able to employ background knowledge and express learnt concepts in terms of the background knowledge. The novel results of the thesis are: a temporal learner capable of producing comprehensible and accurate classifiers for multivariate time series that can learn from a small number of instances and can integrate non-temporal features; a feature construction technique that parameterises sub-events of the training set and clusters them to construct features for a propositional learner; and a technique for post-processing classification rules produced by the learner to give a comprehensible description expressed in the same form as the original background knowledge. The thesis discusses the implementation of TClass, a temporal learner. Results show rules that are comprehensible in many cases and accuracy results close to or better than existing technique—over 98 per cent for sign language and 72 per cent for ECGs (equivalent to the accuracy of a human cardiologist). One further surprising result is that a small set of very primitive sub-events proves to be functional, avoiding the need for labour-intensive background knowledge if it is not available. Long short-term memory (LSTM) networks are a state-of-the-art technique for sequence learning. They are less commonly applied to financial time series predictions, yet inherently suitable for this domain. We deploy LSTM networks for predicting out-of-sample directional movements for the constituent stocks of the S&P 500 from 1992 until 2015. With daily returns of 0.46 percent and a Sharpe ratio of 5.8 prior to transaction costs, we find LSTM networks to outperform memory-free classification methods, i.e., a random forest (RAF), a deep neural net (DNN), and a logistic regression classifier (LOG). The outperformance relative to the general market is very clear from 1992 to 2009, but as of 2010, excess returns seem to have been arbitraged away with LSTM profitability fluctuating around zero after transaction costs. We further unveil sources of profitability, thereby shedding light into the black box of artificial neural networks. Specifically, we find one common pattern among the stocks selected for trading – they exhibit high volatility and a short-term reversal return profile. Leveraging these findings, we are able to formalize a rules-based short-term reversal strategy that yields 0.23 percent prior to transaction costs. Further regression analysis unveils low exposure of the LSTM returns to common sources of systematic risk – also compared to the three benchmark models. A very simple way to improve the performance of almost any machine learning algorithm is to train many different models on the same data and then to average their predictions. Unfortunately, making predictions using a whole ensemble of models is cumbersome and may be too computationally expensive to allow deployment to a large number of users, especially if the individual models are large neural nets. Caruana and his collaborators have shown that it is possible to compress the knowledge in an ensemble into a single model which is much easier to deploy and we develop this approach further using a different compression technique. We achieve some surprising results on MNIST and we show that we can significantly improve the acoustic model of a heavily used commercial system by distilling the knowledge in an ensemble of models into a single model. We also introduce a new type of ensemble composed of one or more full models and many specialist models which learn to distinguish fine-grained classes that the full models confuse. Unlike a mixture of experts, these specialist models can be trained rapidly and in parallel. The expressive power of a machine learning model is closely related to the number of sequential computational steps it can learn. For example, Deep Neural Networks have been more successful than shallow networks because they can perform a greater number of sequential computational steps (each highly parallel). The Neural Turing Machine (NTM) [8] is a model that can compactly express an even greater number of sequential computational steps, so it is even more powerful than a DNN. Its memory addressing operations are designed to be differentiable; thus the NTM can be trained with backpropagation. While differentiable memory is relatively easy to implement and train, it necessitates accessing the entire memory content at each computational step. This makes it difficult to implement a fast NTM. In this work, we use the Re inforce algorithm to learn where to access the memory, while using backpropagation to learn what to write to the memory. We call this model the RL-NTM. Reinforce allows our model to access a constant number of memory cells at each computational step, so its implementation can be faster. The RL-NTM is the first mo del that can, in principle, learn programs of unbounded running time. We successfully trained the RL-NTM to solve a number of algorithmic tasks that are simpler than the ones solvable by the fully differentiable NTM. As the RL-NTM is a fairly intricate model, we needed a method for verifying the correctness of our implementation. To do so, we developed a simple technique for numerically checking arbitrary implementations of models that use Reinforce, which may be of independent interest. In this paper we compare different types of recurrent units in recurrent neural networks (RNNs). Especially, we focus on more sophisticated units that implement a gating mechanism, such as a long short-term memory (LSTM) unit and a recently proposed gated recurrent unit (GRU). We evaluate these recurrent units on the tasks of polyphonic music modeling and speech signal modeling. Our experiments revealed that these advanced recurrent units are indeed better than more traditional recurrent units such as tanh units. Also, we found GRU to be comparable to LSTM. A ‘differentiable neural computer’ is introduced that combines the learning capabilities of a neural network with an external memory analogous to the random-access memory in a conventional computer. Many real-world sequence learning tasks require the prediction of sequences of labels from noisy, unsegmented input data. In speech recognition, for example, an acoustic signal is transcribed into words or sub-word units. Recurrent neural networks (RNNs) are powerful sequence learners that would seem well suited to such tasks. However, because they require pre-segmented training data, and post-processing to transform their outputs into label sequences, their applicability has so far been limited. This paper presents a novel method for training RNNs to label unsegmented sequences directly, thereby solving both problems. An experiment on the TIMIT speech corpus demonstrates its advantages over both a baseline HMM and a hybrid HMM-RNN. Neural networks augmented with external memory have the ability to learn algorithmic solutions to complex tasks. These models appear promising for applications such as language modeling and machine translation. However, they scale poorly in both space and time as the amount of memory grows --- limiting their applicability to real-world domains. Here, we present an end-to-end differentiable memory access scheme, which we call Sparse Access Memory (SAM), that retains the representational power of the original approaches whilst training efficiently with very large memories. We show that SAM achieves asymptotic lower bounds in space and time complexity, and find that an implementation runs @math faster and with @math less physical memory than non-sparse models. SAM learns with comparable data efficiency to existing models on a range of synthetic tasks and one-shot Omniglot character recognition, and can scale to tasks requiring @math s of time steps and memories. As well, we show how our approach can be adapted for models that maintain temporal associations between memories, as with the recently introduced Differentiable Neural Computer.