DRNet: A Decision-Making Method for Autonomous Lane Changingwith Deep Reinforcement Learning

Machine learning techniques have outperformed numerous rule-based methods for decision-making in autonomous vehicles. Despite recent efforts, lane changing remains a major challenge, due to the complex driving scenarios and changeable social behaviors of surrounding vehicles. To help improve the state of the art, we propose to leveraging the emerging \underline{D}eep \underline{R}einforcement learning (DRL) approach for la\underline{NE} changing at the \underline{T}actical level. To this end, we present "DRNet", a novel and highly efficient DRL-based framework that enables a DRL agent to learn to drive by executing reasonable lane changing on simulated highways with an arbitrary number of lanes, and considering driving style of surrounding vehicles to make better decisions. Furthermore, to achieve a safe policy for decision-making, DRNet incorporates ideas from safety verification, the most important component of autonomous driving, to ensure that only safe actions are chosen at any time. The setting of our state representation and reward function enables the trained agent to take appropriate actions in a real-world-like simulator. Our DRL agent has the ability to learn the desired task without causing collisions and outperforms DDQN and other baseline models.

Successive Data Injection in Conditional Quantum GAN Applied to Time Series Anomaly Detection

Classical GAN architectures have shown interesting results for solving anomaly detection problems in general and for time series anomalies in particular, such as those arising in communication networks. In recent years, several quantum GAN architectures have been proposed in the literature. When detecting anomalies in time series using QGANs, huge challenges arise due to the limited number of qubits compared to the size of the data. To address these challenges, we propose a new high-dimensional encoding approach, named Successive Data Injection (SuDaI). In this approach, we explore a larger portion of the quantum state than that in the conventional angle encoding, the method used predominantly in the literature, through repeated data injections into the quantum state. SuDaI encoding allows us to adapt the QGAN for anomaly detection with network data of a much higher dimensionality than with the existing known QGANs implementations. In addition, SuDaI encoding applies to other types of high-dimensional time series and can be used in contexts beyond anomaly detection and QGANs, opening up therefore multiple fields of application.

Characterizing Financial Market Coverage using Artificial Intelligence

This paper scrutinizes a database of over 4900 YouTube videos to characterize financial market coverage. Financial market coverage generates a large number of videos. Therefore, watching these videos to derive actionable insights could be challenging and complex. In this paper, we leverage Whisper, a speech-to-text model from OpenAI, to generate a text corpus of market coverage videos from Bloomberg and Yahoo Finance. We employ natural language processing to extract insights regarding language use from the market coverage. Moreover, we examine the prominent presence of trending topics and their evolution over time, and the impacts that some individuals and organizations have on the financial market. Our characterization highlights the dynamics of the financial market coverage and provides valuable insights reflecting broad discussions regarding recent financial events and the world economy.

Neural forecasting at scale

We study the problem of efficiently scaling ensemble-based deep neural networks for time series (TS) forecasting on a large set of time series. Current state-of-the-art deep ensemble models have high memory and computational requirements, hampering their use to forecast millions of TS in practical scenarios. We propose N-BEATS(P), a global multivariate variant of the N-BEATS model designed to allow simultaneous training of multiple univariate TS forecasting models. Our model addresses the practical limitations of related models, reducing the training time by half and memory requirement by a factor of 5, while keeping the same level of accuracy. We have performed multiple experiments detailing the various ways to train our model and have obtained results that demonstrate its capacity to support zero-shot TS forecasting, i.e., to train a neural network on a source TS dataset and deploy it on a different target TS dataset without retraining, which provides an efficient and reliable solution to forecast at scale even in difficult forecasting conditions.

Modeling Regime Shifts in Multiple Time Series

We investigate the problem of discovering and modeling regime shifts in an ecosystem comprising multiple time series known as co-evolving time series. Regime shifts refer to the changing behaviors exhibited by series at different time intervals. Learning these changing behaviors is a key step toward time series forecasting. While advances have been made, existing methods suffer from one or more of the following shortcomings: (1) failure to take relationships between time series into consideration for discovering regimes in multiple time series; (2) lack of an effective approach that models time-dependent behaviors exhibited by series; (3) difficulties in handling data discontinuities which may be informative. Most of the existing methods are unable to handle all of these three issues in a unified framework. This, therefore, motivates our effort to devise a principled approach for modeling interactions and time-dependency in co-evolving time series. Specifically, we model an ecosystem of multiple time series by summarizing the heavy ensemble of time series into a lighter and more meaningful structure called a \textit{mapping grid}. By using the mapping grid, our model first learns time series behavioral dependencies through a dynamic network representation, then learns the regime transition mechanism via a full time-dependent Cox regression model. The originality of our approach lies in modeling interactions between time series in regime identification and in modeling time-dependent regime transition probabilities, usually assumed to be static in existing work.

Financial Time Series Representation Learning

This paper addresses the difficulty of forecasting multiple financial time series (TS) conjointly using deep neural networks (DNN). We investigate whether DNN-based models could forecast these TS more efficiently by learning their representation directly. To this end, we make use of the dynamic factor graph (DFG) from that we enhance by proposing a novel variable-length attention-based mechanism to render it memory-augmented. Using this mechanism, we propose an unsupervised DNN architecture for multivariate TS forecasting that allows to learn and take advantage of the relationships between these TS. We test our model on two datasets covering 19 years of investment funds activities. Our experimental results show that our proposed approach outperforms significantly typical DNN-based and statistical models at forecasting their 21-day price trajectory.