Meta-learning the mirror map in policy mirror descent

Policy Mirror Descent (PMD) is a popular framework in reinforcement learning, serving as a unifying perspective that encompasses numerous algorithms. These algorithms are derived through the selection of a mirror map and enjoy finite-time convergence guarantees. Despite its popularity, the exploration of PMD's full potential is limited, with the majority of research focusing on a particular mirror map -- namely, the negative entropy -- which gives rise to the renowned Natural Policy Gradient (NPG) method. It remains uncertain from existing theoretical studies whether the choice of mirror map significantly influences PMD's efficacy. In our work, we conduct empirical investigations to show that the conventional mirror map choice (NPG) often yields less-than-optimal outcomes across several standard benchmark environments. By applying a meta-learning approach, we identify more efficient mirror maps that enhance performance, both on average and in terms of best performance achieved along the training trajectory. We analyze the characteristics of these learned mirror maps and reveal shared traits among certain settings. Our results suggest that mirror maps have the potential to be adaptable across various environments, raising questions about how to best match a mirror map to an environment's structure and characteristics.

JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading

Financial exchanges across the world use limit order books (LOBs) to process orders and match trades. For research purposes it is important to have large scale efficient simulators of LOB dynamics. LOB simulators have previously been implemented in the context of agent-based models (ABMs), reinforcement learning (RL) environments, and generative models, processing order flows from historical data sets and hand-crafted agents alike. For many applications, there is a requirement for processing multiple books, either for the calibration of ABMs or for the training of RL agents. We showcase the first GPU-enabled LOB simulator designed to process thousands of books in parallel, with a notably reduced per-message processing time. The implementation of our simulator - JAX-LOB - is based on design choices that aim to best exploit the powers of JAX without compromising on the realism of LOB-related mechanisms. We integrate JAX-LOB with other JAX packages, to provide an example of how one may address an optimal execution problem with reinforcement learning, and to share some preliminary results from end-to-end RL training on GPUs.

Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network

Developing a generative model of realistic order flow in financial markets is a challenging open problem, with numerous applications for market participants. Addressing this, we propose the first end-to-end autoregressive generative model that generates tokenized limit order book (LOB) messages. These messages are interpreted by a Jax-LOB simulator, which updates the LOB state. To handle long sequences efficiently, the model employs simplified structured state-space layers to process sequences of order book states and tokenized messages. Using LOBSTER data of NASDAQ equity LOBs, we develop a custom tokenizer for message data, converting groups of successive digits to tokens, similar to tokenization in large language models. Out-of-sample results show promising performance in approximating the data distribution, as evidenced by low model perplexity. Furthermore, the mid-price returns calculated from the generated order flow exhibit a significant correlation with the data, indicating impressive conditional forecast performance. Due to the granularity of generated data, and the accuracy of the model, it offers new application areas for future work beyond forecasting, e.g. acting as a world model in high-frequency financial reinforcement learning applications. Overall, our results invite the use and extension of the model in the direction of autoregressive large financial models for the generation of high-frequency financial data and we commit to open-sourcing our code to facilitate future research.

Ownership at Large -- Open Problems and Challenges in Ownership Management

Software-intensive organizations rely on large numbers of software assets of different types, e.g., source-code files, tables in the data warehouse, and software configurations. Who is the most suitable owner of a given asset changes over time, e.g., due to reorganization and individual function changes. New forms of automation can help suggest more suitable owners for any given asset at a given point in time. By such efforts on ownership health, accountability of ownership is increased. The problem of finding the most suitable owners for an asset is essentially a program comprehension problem: how do we automatically determine who would be best placed to understand, maintain, evolve (and thereby assume ownership of) a given asset. This paper introduces the Facebook Ownesty system, which uses a combination of ultra large scale data mining and machine learning and has been deployed at Facebook as part of the company's ownership management approach. Ownesty processes many millions of software assets (e.g., source-code files) and it takes into account workflow and organizational aspects. The paper sets out open problems and challenges on ownership for the research community with advances expected from the fields of software engineering, programming languages, and machine learning.

WES: Agent-based User Interaction Simulation on Real Infrastructure

We introduce the Web-Enabled Simulation (WES) research agenda, and describe FACEBOOK's WW system. We describe the application of WW to reliability, integrity and privacy at FACEBOOK , where it is used to simulate social media interactions on an infrastructure consisting of hundreds of millions of lines of code. The WES agenda draws on research from many areas of study, including Search Based Software Engineering, Machine Learning, Programming Languages, Multi Agent Systems, Graph Theory, Game AI, and AI Assisted Game Play. We conclude with a set of open problems and research challenges to motivate wider investigation.

Absit invidia verbo: Comparing Deep Learning methods for offensive language

This document describes our approach to building an Offensive Language Classifier. More specifically, the OffensEval 2019 competition required us to build three classifiers with slightly different goals: - Offensive language identification: would classify a tweet as offensive or not. - Automatic categorization of offense types: would recognize if the target of the offense was an individual or not. - Offense target identification: would identify the target of the offense between an individual, group or other. In this report, we will discuss the different architectures, algorithms and pre-processing strategies we tried, together with a detailed description of the designs of our final classifiers and the reasons we choose them over others. We evaluated our classifiers on the official test set provided for the OffenseEval 2019 competition, obtaining a macro-averaged F1-score of 0.7189 for Task A, 0.6708 on Task B and 0.5442 on Task C.