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Advances in Machine Learning: Theory and Applications in Time Series Prediction
Title
Advances in Machine Learning: Theory and Applications in Time Series Prediction
Creator
London, Justin J.
Date
2021
Description
A new time series modeling framework for forecasting, prediction and regime switching for recurrent neural networks (RNNs) using machine...
Show moreA new time series modeling framework for forecasting, prediction and regime switching for recurrent neural networks (RNNs) using machine learning is introduced. In this framework, we replace the perceptron with an econometric modeling unit. This cell/unit is a functionally dedicated to processing the prediction component from the econometric model. These supervised learning methods overcome the parameter estimation and convergence problems of traditional econometric autoregression (AR) models that use MLE and expectation-maximization (EM) methods which are computationally expensive, assume linearity, Gaussian distributed errors, and suffer from the curse of dimensionality. Consequently, due to these estimation problems and lower number of lags that can be estimated, AR models are limited in their ability to capture long memory or dependencies. On the other hand, plain RNNs suffer from the vanishing and gradient problem that also limits their ability to have long-memory. We introduce a new class of RNN models, the $\alpha$-RNN and dynamic $\alpha_{t}$-RNNs that does not suffer from these problems by utilizing an exponential smoothing parameter. We also introduce MS-RNNs, MS-LSTMs, and MS-GRUs., novel models that overcome the limitations of MS-ARs but enable regime (Markov) switching and detection of structural breaks in the data. These models have long memory, can handle non-linear dynamics, do not require data stationarity or assume error distributions. Thus, they make no assumptions about the data generating process and have the ability to better capture temporal dependencies leading to better forecasting and prediction accuracy over traditional econometric models and plain RNNs. Yet, the partial autocorrelation function and econometric tools, such as the the ADF, Ljung-Box, and AIC test statistics, can be used to determine optimal sequence lag lengths to input into these RNN models and to diagnose serial correlation. The new framework has capacity to characterize the non-linear partial autocorrelation of time series and directly capture dynamic effects such as trends and seasonality. The optimal sequence lag order can greatly influence prediction performance on test data. This structure provides more interpretability to ML models since traditional econometric models are embedded into RNNs. The ability to embed econometric models into RNNs will allow firms to improve prediction accuracy compared to traditional econometric or traditional ML models by creating a hybrid utilizing a well understood traditional econometric model and a ML. In theory the traditional econometric model should focus on the portion of the estimation error that is best managed by a traditional model and the ML should focus the non-linear portion of the model. This combined structure is a step towards explainable AI and lays the framework for econometric AI.
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Image Synthesis with Generative Adversarial Networks
Title
Image Synthesis with Generative Adversarial Networks
Creator
Ouyang, Xu
Date
2023
Description
Image synthesis refers to the process of generating new images from an existing dataset, with the objective of creating images that closely...
Show moreImage synthesis refers to the process of generating new images from an existing dataset, with the objective of creating images that closely resemble the target images, learned from the source data distribution. This technique has a wide range of applications, including transforming captions into images, deblurring blurred images, and enhancing low-resolution images. In recent years, deep learning techniques, particularly Generative Adversarial Network (GAN), has achieved significant success in this field. GAN consists of a generator (G) and a discriminator (D) and employ adversarial learning to synthesize images. Researchers have developed various strategies to improve GAN performance, such as controlling learning rates for different models and modifying the loss functions. This thesis focuses on image synthesis from captions using GANs and aims to improve the quality of generated images. The study is divided into four main parts:In the first part, we investigate the LSTM conditional GAN which is to generate images from captions. We use the word2vec as the caption features and combine these features’ information by LSTM and generate images via conditional GAN. In the second part, to improve the quality of generated images, we address the issue of convergence speed and enhance GAN performance using an adaptive WGAN update strategy. We demonstrate that this update strategy is applicable to Wasserstein GAN(WGAN) and other GANs that utilize WGAN-related loss functions. The proposed update strategy is based on a loss change ratio comparison between G and D. In the third part, to further enhance the quality of synthesized images, we investigate a transformer-based Uformer GAN for image restoration and propose a two-step refinement strategy. Initially, we train a Uformer model until convergence, followed by training a Uformer GAN using the restoration results obtained from the first step.In the fourth part, to generate fine-grained image from captions, we delve into the Recurrent Affine Transformation (RAT) GAN for fine-grained text-to-image synthesis. By incorporating an auxiliary classifier in the discriminator and employing a contrastive learning method, we improve the accuracy and fine-grained details of the synthesized images.Throughout this thesis, we strive to enhance the capabilities of GANs in various image synthesis applications and contribute valuable insights to the field of deep learning and image processing.
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