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A well-established financial trading system should well perform in resource allocation, risk management, and sustainability. In this paper, we propose a self-management portfolio system with adaptive association mining for practical applications. The system allocates funds into independent units for risk management, and utilizes association mining and adaptive closing mechanism for resource allocation and sustainability, and adopts a self-management module for monitoring positions. The proposed system boosts the annual return and Sharpe ratio to 9.1% and 0.578 (increased to 2.28 and 2.48 times), and reduces the drawdown risk to 34.6% (decreased to almost half). Furthermore, the system rapidly closes the stock positions to avoid drawdown risk in the bear markets, and gradually increases the stock positions when the market turns into bull. Compared with benchmarks, proposed system outperforms all benchmarks in all measurements and on randomly sampled dataset.

An anomaly, or outlier, is an object exhibiting differences that suggest it belongs to an as-yet undefined class or category. Early detection of anomalies often proves of great importance because they may correspond to events such as fraud, spam, or device malfunctions. By automating the creation of a ranking or list of deviations, we can save time and decrease the cognitive overload of the individuals or groups responsible for responding to such events. Over the years many anomaly and outlier metrics have been developed. In this paper we propose a clustering-based score ensembling method for outlier detection. Using benchmark datasets we evaluate quantitatively the robustness and accuracy of different ensemble strategies. We find that ensembling strategies offer only limited value for increasing overall performance, but provide robustness by negating the influence of severely underperforming models.

Unsupervised domain adaptation deals with scenarios in which labeled data are available in the source domain, but only unlabeled data can be observed in the target domain. Since the classifiers trained by source-domain data would not be expected to generalize well in the target domain, how to transfer the label information from source to target-domain data is a challenging task. A common technique for unsupervised domain adaptation is to match cross-domain data distributions, so that the domain and distribution differences can be suppressed. In this paper, we propose to utilize the label information inferred from the source domain, while the structural information of the unlabeled target-domain data will be jointly exploited for adaptation purposes. Our proposed model not only reduces the distribution mismatch between domains, improved recognition of target-domain data can be achieved simultaneously. In the experiments, we will show that our approach performs favorably against the state-of-the-art unsupervised domain adaptation methods on benchmark data sets. We will also provide convergence, sensitivity, and robustness analysis, which support the use of our model for cross-domain classification.

Debris flows are natural disasters, with soil mass, rocks, and water traveling down a mountainside slope. Debris flows are extremely dangerous; their occurrence incurs huge losses to life and property. The purpose of this research is to develop debris flow detection and emergency evacuation systems. A bag-of-words model is established for analyzing the features of debris flow events, and an anomaly-detection principal component analysis (PCA) model is proposed to detect debris flow. Using real-time debris flow prediction and monitoring, a stochastic optimization model for evacuation planning is formulated. Case studies of debris flow detection in Shenmu village and Fengchiu, central Taiwan, are conducted. Shenmu village and Fengchiu are areas of high potential debris flow, and each has a population of around 800 people. The results show that combining bag-of-words and anomaly-detection PCA methods could predict 6 out of 8 occurrences of actual events, providing a prediction rate of 75 %. In addition, the models make 13 predictions, and 6 of them are correct, providing a prediction accuracy of 46 %. Optimal parameters (including window size, bag length, filter ratio of training data, and anomaly threshold) of the models are also examined to increase the accuracy of debris flow prediction.

We present a novel domain adaptation approach for solving cross-domain pattern recognition problems, i.e., the data or features to be processed and recognized are collected from different domains of interest. Inspired by canonical correlation analysis (CCA), we utilize the derived correlation subspace as a joint representation for associating data across different domains, and we advance reduced kernel techniques for kernel CCA (KCCA) if nonlinear correlation subspace are desirable. Such techniques not only makes KCCA computationally more efficient, potential over-fitting problems can be alleviated as well. Instead of directly performing recognition in the derived CCA subspace (as prior CCA-based domain adaptation methods did), we advocate the exploitation of domain transfer ability in this subspace, in which each dimension has a unique capability in associating cross-domain data. In particular, we propose a novel support vector machine (SVM) with a correlation regularizer, named correlation-transfer SVM, which incorporates the domain adaptation ability into classifier design for cross-domain recognition. We show that our proposed domain adaptation and classification approach can be successfully applied to a variety of cross-domain recognition tasks such as cross-view action recognition, handwritten digit recognition with different features, and image-to-text or text-to-image classification. From our empirical results, we verify that our proposed method outperforms state-of-the-art domain adaptation approaches in terms of recognition performance.

Anomaly detection has been an important research topic in data mining and machine learning. Many real-world applications such as intrusion or credit card fraud detection require an effective and efficient framework to identify deviated data instances. However, most anomaly detection methods are typically implemented in batch mode, and thus cannot be easily extended to large-scale problems without sacrificing computation and memory requirements. In this paper, we propose an online oversampling principal component analysis (osPCA) algorithm to address this problem, and we aim at detecting the presence of outliers from a large amount of data via an online updating technique. Unlike prior principal component analysis (PCA)-based approaches, we do not store the entire data matrix or covariance matrix, and thus our approach is especially of interest in online or large-scale problems. By oversampling the target instance and extracting the principal direction of the data, the proposed osPCA allows us to determine the anomaly of the target instance according to the variation of the resulting dominant eigenvector. Since our osPCA need not perform eigen analysis explicitly, the proposed framework is favored for online applications which have computation or memory limitations. Compared with the well-known power method for PCA and other popular anomaly detection algorithms, our experimental results verify the feasibility of our proposed method in terms of both accuracy and efficiency.

Unsupervised domain adaptation (UDA) deals with the task that labeled training and unlabeled test data collected from source and target domains, respectively. In this paper, we particularly address the practical and challenging scenario of imbalanced cross-domain data. That is, we do not assume the label numbers across domains to be the same, and we also allow the data in each domain to be collected from multiple datasets/sub-domains. To solve the above task of imbalanced domain adaptation, we propose a novel algorithm of Domain-constraint Transfer Coding (DcTC). Our DcTC is able to exploit latent subdomains within and across data domains, and learns a common feature space for joint adaptation and classification purposes. Without assuming balanced cross-domain data as most existing UDA approaches do, we show that our method performs favorably against state-of-the-art methods on multiple cross-domain visual classification tasks.

We propose a novel multiple kernel learning (MKL) algorithm with a group lasso regularizer, called group lasso regularized MKL (GL-MKL), for heterogeneous feature fusion and variable selection. For problems of feature fusion, assigning a group of base kernels for each feature type in an MKL framework provides a robust way in fitting data extracted from different feature domains. Adding a mixed norm constraint (i.e., group lasso) as the regularizer, we can enforce the sparsity at the group/feature level and automatically learn a compact feature set for recognition purposes. More precisely, our GL-MKL determines the optimal base kernels, including the associated weights and kernel parameters, and results in improved recognition performance. Besides, our GL-MKL can also be extended to address heterogeneous variable selection problems. For such problems, we aim to select a compact set of variables (i.e., feature attributes) for comparable or improved performance. Our proposed method does not need to exhaustively search for the entire variable space like prior sequential-based variable selection methods did, and we do not require any prior knowledge on the optimal size of the variable subset either. To verify the effectiveness and robustness of our GL-MKL, we conduct experiments on video and image datasets for heterogeneous feature fusion, and perform variable selection on various UCI datasets.

We introduce a technique to improve iterative kernel principal component analysis (KPCA) robust to outliers due to undesirable artifacts such as noises, alignment errors, or occlusion. The proposed iterative robust KPCA (rKPCA) links the iterative updating and robust estimation of principal directions. It inherits good properties from these two ideas for reducing the time complexity, space complexity, and the influence of these outliers on estimating the principal directions. In the asymptotic stability analysis, we also show that our iterative rKPCA converges to the weighted kernel principal kernel components from the batch rKPCA. Experimental results are presented to confirm that our iterative rKPCA achieves the robustness as well as time saving better than batch KPCA.

Sliced inverse regression (SIR) is a renowned dimension reduction method for finding an effective low-dimensional linear subspace. Like many other linear methods, SIR can be extended to nonlinear setting via the ldquokernel trick.rdquo The main purpose of this paper is two-fold. We build kernel SIR in a reproducing kernel Hilbert space rigorously for a more intuitive model explanation and theoretical development. The second focus is on the implementation algorithm of kernel SIR for fast computation and numerical stability. We adopt a low-rank approximation to approximate the huge and dense full kernel covariance matrix and a reduced singular value decomposition technique for extracting kernel SIR directions. We also explore kernel SIR's ability to combine with other linear learning algorithms for classification and regression including multiresponse regression. Numerical experiments show that kernel SIR is an effective kernel tool for nonlinear dimension reduction and it can easily combine with other linear algorithms to form a powerful toolkit for nonlinear data analysis.

In the era of Basel II a powerful tool for bankruptcy prognosis is vital for banks. The tool must be precise but also easily adaptable to the bank's objections regarding the relation of false acceptances (Type I error) and false rejections (Type II error). We explore the suitability of Smooth Support Vector Machines (SSVM), and investigate how important factors such as selection of appropriate accounting ratios (predictors), length of training period and structure of the training sample influence the precision of prediction. Furthermore we show that oversampling can be employed to gear the tradeoff between error types. Finally, we illustrate graphically how different variants of SSVM can be used jointly to support the decision task of loan officers.

Anomaly detection aims to identify rare events that deviate remarkably from existing data. To satisfy real-world appli- cations, various anomaly detection technologies have been proposed. Due to the resource constraints, such as limited energy, computation ability and memory storage, most of them cannot be directly used in wireless sensor networks (WSNs). In this work, we proposed a hierarchical anomaly detection framework to overcome the challenges of anomaly detection in WSNs. We aim to detect anomalies by the accurate model and the approximated model learned at the re- mote server and sink nodes, respectively. Besides the framework, we also proposed an approximated local outlier factor algorithm, which can be learned at the sink nodes. The proposed algorithm is more efficient in computation and storage by comparing with the standard one. Experimental results verify the feasibility of our proposed method in terms of both accuracy and efficiency.