Robust mean-risk portfolio optimization using machine learning-based trade-off parameter

2021 ◽  
pp. 107948
Author(s):  
Liangyu Min ◽  
Jiawei Dong ◽  
Jiangwei Liu ◽  
Xiaomin Gong
Keyword(s):  
Machine Learning ◽  
Portfolio Optimization ◽  
Trade Off ◽  
Mean Risk

Predicting Undesired Treatment Outcome in Mental Healthcare: Machine Learning Study (Preprint)

2019 ◽  
Author(s):  
Kasper Van Mens ◽  
Joran Lokkerbol ◽  
Richard Janssen ◽  
Robert de Lange ◽  
Bea Tiemens
Keyword(s):  
Machine Learning ◽  
Treatment Outcome ◽  
Mental Health Treatment ◽  
Mental Healthcare ◽  
Machine Learning Algorithms ◽  
Gradient Boosting ◽  
Trade Off ◽  
Trade Offs ◽  
Outcome Monitoring ◽  
Extreme Gradient Boosting

BACKGROUND It remains a challenge to predict which treatment will work for which patient in mental healthcare. OBJECTIVE In this study we compare machine algorithms to predict during treatment which patients will not benefit from brief mental health treatment and present trade-offs that must be considered before an algorithm can be used in clinical practice. METHODS Using an anonymized dataset containing routine outcome monitoring data from a mental healthcare organization in the Netherlands (n = 2,655), we applied three machine learning algorithms to predict treatment outcome. The algorithms were internally validated with cross-validation on a training sample (n = 1,860) and externally validated on an unseen test sample (n = 795). RESULTS The performance of the three algorithms did not significantly differ on the test set. With a default classification cut-off at 0.5 predicted probability, the extreme gradient boosting algorithm showed the highest positive predictive value (ppv) of 0.71(0.61 – 0.77) with a sensitivity of 0.35 (0.29 – 0.41) and area under the curve of 0.78. A trade-off can be made between ppv and sensitivity by choosing different cut-off probabilities. With a cut-off at 0.63, the ppv increased to 0.87 and the sensitivity dropped to 0.17. With a cut-off of at 0.38, the ppv decreased to 0.61 and the sensitivity increased to 0.57. CONCLUSIONS Machine learning can be used to predict treatment outcomes based on routine monitoring data.This allows practitioners to choose their own trade-off between being selective and more certain versus inclusive and less certain.

scholarly journals Statistical and machine learning models for optimizing energy in parallel applications

2019 ◽  
Vol 33 (6) ◽  
pp. 1079-1097 ◽  
Author(s):  
Mark Endrei ◽  
Chao Jin ◽  
Minh Ngoc Dinh ◽  
David Abramson ◽  
Heidi Poxon ◽  
...  
Keyword(s):  
Machine Learning ◽  
Energy Efficiency ◽  
High Performance ◽  
Large Scale ◽  
Energy Use ◽  
Parallel Applications ◽  
Learning Models ◽  
Trade Off ◽  
Time Required ◽  
Machine Learning Models

Rising power costs and constraints are driving a growing focus on the energy efficiency of high performance computing systems. The unique characteristics of a particular system and workload and their effect on performance and energy efficiency are typically difficult for application users to assess and to control. Settings for optimum performance and energy efficiency can also diverge, so we need to identify trade-off options that guide a suitable balance between energy use and performance. We present statistical and machine learning models that only require a small number of runs to make accurate Pareto-optimal trade-off predictions using parameters that users can control. We study model training and validation using several parallel kernels and more complex workloads, including Algebraic Multigrid (AMG), Large-scale Atomic Molecular Massively Parallel Simulator, and Livermore Unstructured Lagrangian Explicit Shock Hydrodynamics. We demonstrate that we can train the models using as few as 12 runs, with prediction error of less than 10%. Our AMG results identify trade-off options that provide up to 45% improvement in energy efficiency for around 10% performance loss. We reduce the sample measurement time required for AMG by 90%, from 13 h to 74 min.

scholarly journals Trade-off Predictivity and Explainability for Machine-Learning Powered Predictive Toxicology: An in-Depth Investigation with Tox21 Data Sets

2021 ◽  
Vol 34 (2) ◽  
pp. 541-549 ◽  
Author(s):  
Leihong Wu ◽  
Ruili Huang ◽  
Igor V. Tetko ◽  
Zhonghua Xia ◽  
Joshua Xu ◽  
...  
Keyword(s):  
Machine Learning ◽  
Data Sets ◽  
Predictive Toxicology ◽  
Trade Off

scholarly journals Evolutionary Machine Learning for Multi-Objective Class Solutions in Medical Deformable Image Registration

Algorithms ◽  
2019 ◽  
Vol 12 (5) ◽  
pp. 99 ◽  
Author(s):  
Kleopatra Pirpinia ◽  
Peter A. N. Bosman ◽  
Jan-Jakob Sonke ◽  
Marcel van Herk ◽  
Tanja Alderliesten
Keyword(s):  
Machine Learning ◽  
Image Registration ◽  
State Of The Art ◽  
Deformable Image Registration ◽  
Optimization Approach ◽  
High Quality ◽  
Trade Off ◽  
Multi Objective ◽  
Current State ◽  
Image Artefacts

Current state-of-the-art medical deformable image registration (DIR) methods optimize a weighted sum of key objectives of interest. Having a pre-determined weight combination that leads to high-quality results for any instance of a specific DIR problem (i.e., a class solution) would facilitate clinical application of DIR. However, such a combination can vary widely for each instance and is currently often manually determined. A multi-objective optimization approach for DIR removes the need for manual tuning, providing a set of high-quality trade-off solutions. Here, we investigate machine learning for a multi-objective class solution, i.e., not a single weight combination, but a set thereof, that, when used on any instance of a specific DIR problem, approximates such a set of trade-off solutions. To this end, we employed a multi-objective evolutionary algorithm to learn sets of weight combinations for three breast DIR problems of increasing difficulty: 10 prone-prone cases, 4 prone-supine cases with limited deformations and 6 prone-supine cases with larger deformations and image artefacts. Clinically-acceptable results were obtained for the first two problems. Therefore, for DIR problems with limited deformations, a multi-objective class solution can be machine learned and used to compute straightforwardly multiple high-quality DIR outcomes, potentially leading to more efficient use of DIR in clinical practice.

scholarly journals A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment

2020 ◽  
Vol 13 (7) ◽  
pp. 155
Author(s):  
Zhenlong Jiang ◽  
Ran Ji ◽  
Kuo-Chu Chang
Keyword(s):  
Machine Learning ◽  
Risk Aversion ◽  
Financial Data ◽  
Rolling Horizon ◽  
Learning Models ◽  
Market Index ◽  
Out Of Sample ◽  
The Mean ◽  
Mean Risk ◽  
Machine Learning Models

We propose a portfolio rebalance framework that integrates machine learning models into the mean-risk portfolios in multi-period settings with risk-aversion adjustment. In each period, the risk-aversion coefficient is adjusted automatically according to market trend movements predicted by machine learning models. We employ Gini’s Mean Difference (GMD) to specify the risk of a portfolio and use a set of technical indicators generated from a market index (e.g., S&P 500 index) to feed the machine learning models to predict market movements. Using a rolling-horizon approach, we conduct a series of computational tests with real financial data to evaluate the performance of the machine learning integrated portfolio rebalance framework. The empirical results show that the XGBoost model provides the best prediction of market movement, while the proposed portfolio rebalance strategy generates portfolios with superior out-of-sample performances in terms of average returns, time-series cumulative returns, and annualized returns compared to the benchmarks.

scholarly journals Straggler-Aware Distributed Learning: Communication–Computation Latency Trade-Off

Entropy ◽  
2020 ◽  
Vol 22 (5) ◽  
pp. 544 ◽  
Author(s):  
Emre Ozfatura ◽  
Sennur Ulukus ◽  
Deniz Gündüz
Keyword(s):  
Machine Learning ◽  
Gradient Descent ◽  
Large Scale ◽  
Computation Time ◽  
Distributed Learning ◽  
Trade Off ◽  
Communication Latency ◽  
Advantages And Disadvantages ◽  
Machine Learning Applications ◽  
Coded Communication

When gradient descent (GD) is scaled to many parallel workers for large-scale machine learning applications, its per-iteration computation time is limited by straggling workers. Straggling workers can be tolerated by assigning redundant computations and/or coding across data and computations, but in most existing schemes, each non-straggling worker transmits one message per iteration to the parameter server (PS) after completing all its computations. Imposing such a limitation results in two drawbacks: over-computation due to inaccurate prediction of the straggling behavior, and under-utilization due to discarding partial computations carried out by stragglers. To overcome these drawbacks, we consider multi-message communication (MMC) by allowing multiple computations to be conveyed from each worker per iteration, and propose novel straggler avoidance techniques for both coded computation and coded communication with MMC. We analyze how the proposed designs can be employed efficiently to seek a balance between the computation and communication latency. Furthermore, we identify the advantages and disadvantages of these designs in different settings through extensive simulations, both model-based and real implementation on Amazon EC2 servers, and demonstrate that proposed schemes with MMC can help improve upon existing straggler avoidance schemes.

scholarly journals On Constructing Ensembles for Combinatorial Optimisation

2018 ◽  
Vol 26 (1) ◽  
pp. 67-87 ◽  
Author(s):  
Emma Hart ◽  
Kevin Sim
Keyword(s):  
Machine Learning ◽  
Bin Packing ◽  
Ensemble Methods ◽  
Design Guidelines ◽  
Theory And Practice ◽  
Trade Off ◽  
High Performing ◽  
Judicious Choice ◽  
Optimisation Algorithms ◽  
Diversity Metrics

Although the use of ensemble methods in machine-learning is ubiquitous due to their proven ability to outperform their constituent algorithms, ensembles of optimisation algorithms have received relatively little attention. Existing approaches lag behind machine-learning in both theory and practice, with no principled design guidelines available. In this article, we address fundamental questions regarding ensemble composition in optimisation using the domain of bin-packing as an example. In particular, we investigate the trade-off between accuracy and diversity, and whether diversity metrics can be used as a proxy for constructing an ensemble, proposing a number of novel metrics for comparing algorithm diversity. We find that randomly composed ensembles can outperform ensembles of high-performing algorithms under certain conditions and that judicious choice of diversity metric is required to construct good ensembles. The method and findings can be generalised to any metaheuristic ensemble, and lead to better understanding of how to undertake principled ensemble design.

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