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Discontinuous functions are a common occurrence in financial instruments. For instance, the graph below shows the price of a typical five-year fixed rate bond with a semi-annual coupon. We have set the coupon rate higher than the discount rate, so the value of the bond stays above its Par Value of $100. If you are not familiar with bond pricing, a good primer is available here.
(Image by Author)
The important things to notice for our purposes are the jumps that occur at each coupon payment date. This happens simply because money cannot be made out of thin air. The “wealth” of the security owner remains the same immediately before and after the coupon. As such, we have:
value before coupon = value after coupon + coupon cash.
Similar jumps occur in the values of more complicated path-dependent financial derivatives on exercise dates. A classic example here is a Bermudan swaption, a popular instrument used to manage mortgage prepayment risk. Bermudan-style options can be exercised on a predetermined schedule of dates where the value may jump.
(Image by Author)
To keep things concrete, we will focus on the sub-problem of learning a piece-wise constant function with a single downward jump. We generate the training data as shown in the graph above. The reader is invited to follow along with our code in this Jupyter notebook.
#finance #neural-networks #modeling #deep-learning #mathematics
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#deep learning development #deep learning framework #deep learning expert #deep learning ai #deep learning services
The Deep Learning DevCon 2020, DLDC 2020, has exciting talks and sessions around the latest developments in the field of deep learning, that will not only be interesting for professionals of this field but also for the enthusiasts who are willing to make a career in the field of deep learning. The two-day conference scheduled for 29th and 30th October will host paper presentations, tech talks, workshops that will uncover some interesting developments as well as the latest research and advancement of this area. Further to this, with deep learning gaining massive traction, this conference will highlight some fascinating use cases across the world.
Here are ten interesting talks and sessions of DLDC 2020 that one should definitely attend:
Also Read: Why Deep Learning DevCon Comes At The Right Time
By Dipanjan Sarkar
**About: **Adversarial Robustness in Deep Learning is a session presented by Dipanjan Sarkar, a Data Science Lead at Applied Materials, as well as a Google Developer Expert in Machine Learning. In this session, he will focus on the adversarial robustness in the field of deep learning, where he talks about its importance, different types of adversarial attacks, and will showcase some ways to train the neural networks with adversarial realisation. Considering abstract deep learning has brought us tremendous achievements in the fields of computer vision and natural language processing, this talk will be really interesting for people working in this area. With this session, the attendees will have a comprehensive understanding of adversarial perturbations in the field of deep learning and ways to deal with them with common recipes.
Read an interview with Dipanjan Sarkar.
By Divye Singh
**About: **Imbalance Handling with Combination of Deep Variational Autoencoder and NEATER is a paper presentation by Divye Singh, who has a masters in technology degree in Mathematical Modeling and Simulation and has the interest to research in the field of artificial intelligence, learning-based systems, machine learning, etc. In this paper presentation, he will talk about the common problem of class imbalance in medical diagnosis and anomaly detection, and how the problem can be solved with a deep learning framework. The talk focuses on the paper, where he has proposed a synergistic over-sampling method generating informative synthetic minority class data by filtering the noise from the over-sampled examples. Further, he will also showcase the experimental results on several real-life imbalanced datasets to prove the effectiveness of the proposed method for binary classification problems.
By Dongsuk Hong
About: This is a paper presentation given by Dongsuk Hong, who is a PhD in Computer Science, and works in the big data centre of Korea Credit Information Services. This talk will introduce the attendees with machine learning and deep learning models for predicting self-employment default rates using credit information. He will talk about the study, where the DNN model is implemented for two purposes — a sub-model for the selection of credit information variables; and works for cascading to the final model that predicts default rates. Hong’s main research area is data analysis of credit information, where she is particularly interested in evaluating the performance of prediction models based on machine learning and deep learning. This talk will be interesting for the deep learning practitioners who are willing to make a career in this field.
#opinions #attend dldc 2020 #deep learning #deep learning sessions #deep learning talks #dldc 2020 #top deep learning sessions at dldc 2020 #top deep learning talks at dldc 2020
In the previous blog, we looked into the fact why Few Shot Learning is essential and what are the applications of it. In this article, I will be explaining the Relation Network for Few-Shot Classification (especially for image classification) in the simplest way possible. Moreover, I will be analyzing the Relation Network in terms of:
Moreover, effectiveness will be evaluated on the accuracy, time required for training, and the number of required training parameters.
Please watch the GitHub repository to check out the implementations and keep updated with further experiments.
In few shot classification, our objective is to design a method which can identify any object images by analyzing few sample images of the same class. Let’s the take one example to understand this. Suppose Bob has a client project to design a 5 class classifier, where 5 classes can be anything and these 5 classes can even change with time. As discussed in previous blog, collecting the huge amount of data is very tedious task. Hence, in such cases, Bob will rely upon few shot classification methods where his client can give few set of example images for each classes and after that his system can perform classification young these examples with or without the need of additional training.
In general, in few shot classification four terminologies (N way, K shot, support set, and query set) are used.
At this point, someone new to this concept will have doubt regarding the need of support and query set. So, let’s understand it intuitively. Whenever humans sees any object for the first time, we get the rough idea about that object. Now, in future if we see the same object second time then we will compare it with the image stored in memory from the when we see it for the first time. This applied to all of our surroundings things whether we see, read, or hear. Similarly, to recognise new images from query set, we will provide our model a set of examples i.e., support set to compare.
And this is the basic concept behind Relation Network as well. In next sections, I will be giving the rough idea behind Relation Network and I will be performing different experiments on 102-flower dataset.
The Core idea behind Relation Network is to learn the generalized image representations for each classes using support set such that we can compare lower dimensional representation of query images with each of the class representations. And based on this comparison decide the class of each query images. Relation Network has two modules which allows us to perform above two tasks:
We can define the whole procedure in just 5 steps.
Few things to know during the training is that we will use only images from the set of selective class, and during the testing, we will be using images from unseen classes. For example, from the 102-flower dataset, we will use 50% classes for training, and rest will be used for validation and testing. Moreover, in each episode, we will randomly select 5 classes to create the support and query set and follow the above 5 steps.
That is all need to know about the implementation point of view. Although the whole process is simple and easy to understand, I’ll recommend reading the published research paper, Learning to Compare: Relation Network for Few-Shot Learning, for better understanding.
#deep-learning #few-shot-learning #computer-vision #machine-learning #deep learning #deep learning
In this post, we will investigate how easily we can train a Deep Q-Network (DQN) agent (Mnih et al., 2015) for Atari 2600 games using the Google reinforcement learning library Dopamine. While many RL libraries exist, this library is specifically designed with four essential features in mind:
_We believe these principles makes __Dopamine _one of the best RL learning environment available today. Additionally, we even got the library to work on Windows, which we think is quite a feat!
In my view, the visualization of any trained RL agent is an absolute must in reinforcement learning! Therefore, we will (of course) include this for our own trained agent at the very end!
We will go through all the pieces of code required (which is** minimal compared to other libraries**), but you can also find all scripts needed in the following Github repo.
The general premise of deep reinforcement learning is to
“derive efficient representations of the environment from high-dimensional sensory inputs, and use these to generalize past experience to new situations.”
- Mnih et al. (2015)
As stated earlier, we will implement the DQN model by Deepmind, which only uses raw pixels and game score as input. The raw pixels are processed using convolutional neural networks similar to image classification. The primary difference lies in the objective function, which for the DQN agent is called the optimal action-value function
where_ rₜ is the maximum sum of rewards at time t discounted by γ, obtained using a behavior policy π = P(a_∣_s)_ for each observation-action pair.
There are relatively many details to Deep Q-Learning, such as Experience Replay (Lin, 1993) and an _iterative update rule. _Thus, we refer the reader to the original paper for an excellent walk-through of the mathematical details.
One key benefit of DQN compared to previous approaches at the time (2015) was the ability to outperform existing methods for Atari 2600 games using the same set of hyperparameters and only pixel values and game score as input, clearly a tremendous achievement.
This post does not include instructions for installing Tensorflow, but we do want to stress that you can use both the CPU and GPU versions.
Nevertheless, assuming you are using
Python 3.7.x, these are the libraries you need to install (which can all be installed via
tensorflow-gpu=1.15 (or tensorflow==1.15 for CPU version) cmake dopamine-rl atari-py matplotlib pygame seaborn pandas
#reinforcement-learning #q-learning #games #machine-learning #deep-learning #deep learning
Project walkthrough on Convolution neural networks using transfer learning
From 2 years of my master’s degree, I found that the best way to learn concepts is by doing the projects. Let’s start implementing or in other words learning.
Take an image as input and return a corresponding dog breed from 133 dog breed categories. If a dog is detected in the image, it will provide an estimate of the dog’s breed. If a human is detected, it will give an estimate of the dog breed that is most resembling the human face. If there’s no human or dog present in the image, we simply print an error.
Let’s break this problem into steps
For all these steps, we use pre-trained models.
Pre-trained models are saved models that were trained on a huge image-classification task such as Imagenet. If these datasets are huge and generalized enough, the saved weights can be used for multiple image detection task to get a high accuracy quickly.
For detecting humans, OpenCV provides many pre-trained face detectors. We use OpenCV’s implementation of Haar feature-based cascade classifiers to detect human faces in images.
### returns "True" if face is detected in image stored at img_path def face_detector(img_path): img = cv2.imread(img_path) gray = cv2.cvtColor(img, cv2.COLOR_BGR2GRAY) faces = face_cascade.detectMultiScale(gray) return len(faces) > 0
For detecting dogs, we use a pre-trained ResNet-50 model to detect dogs in images, along with weights that have been trained on ImageNet, a very large, very popular dataset used for image classification and other vision tasks.
from keras.applications.resnet50 import ResNet50 ### define ResNet50 model ResNet50_model_detector = ResNet50(weights='imagenet') ### returns "True" if a dog is detected def dog_detector(img_path): prediction = ResNet50_predict_labels(img_path) return ((prediction <= 268) & (prediction >= 151))
For classifying Dog breeds, we use transfer learning
Transfer learning involves taking a pre-trained neural network and adapting the neural network to a new, different data set.
To illustrate the power of transfer learning. Initially, we will train a simple CNN with the following architecture:
Train it for 20 epochs, and it gives a test accuracy of just 3% which is better than a random guess from 133 categories. But with more epochs, we can increase accuracy, but it takes up a lot of training time.
To reduce training time without sacrificing accuracy, we will train the CNN model using transfer learning.
#data-science #transfer-learning #project-based-learning #cnn #deep-learning #deep learning