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Numerical Analysis and Scientific Computing
Research Collection School Of Computing and Information Systems
- Keyword
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- Social media (4)
- Twitter (4)
- Algorithms (3)
- Data Mining and Knowledge Discovery (3)
- Data mining (3)
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- Online learning (3)
- Performance (3)
- Agent-based model (2)
- Collaborative Filtering (2)
- Model (2)
- Recommender systems (2)
- Transportation network (2)
- User interaction (2)
- Visualization (2)
- Web facial images (2)
- Accurate prediction (1)
- Active Learning (1)
- Actor-oriented modeling (SIENA) (1)
- Adaptive systems (1)
- Agile methods (1)
- Algorithm (1)
- Annova (1)
- Approximation errors (1)
- Artificial Intelligence (1)
- Artificial Intelligence (incl. Robotics) (1)
- Auto face annotation (1)
- Automatic algorithm configuration (1)
- Automatic image summarization (1)
- Benchmarking (1)
- Bernstein type inequality (1)
Articles 1 - 30 of 64
Full-Text Articles in Physical Sciences and Mathematics
Decision Trees To Model The Impact Of Disruption And Recovery In Supply Chain Networks, Loganathan Ponnanbalam, L. Wenbin, Xiuju Fu, Xiaofeng Yin, Zhaoxia Wang, Rick S. M. Goh
Decision Trees To Model The Impact Of Disruption And Recovery In Supply Chain Networks, Loganathan Ponnanbalam, L. Wenbin, Xiuju Fu, Xiaofeng Yin, Zhaoxia Wang, Rick S. M. Goh
Research Collection School Of Computing and Information Systems
Increase in the frequency of disruptions in the recent times and their impact have increased the attention in supply chain disruption management research. The objective of this paper is to understand as to how a disruption might affect the supply chain network - depending upon the network structure, the node that is disrupted, the disruption in production capacity of the disrupted node and the period of the disruption - via decision trees. To this end, we first developed a 5-tier agent-based supply chain model and then simulated it for various what-if disruptive scenarios for 3 different network structures (80 trials …
Topicsketch: Real-Time Bursty Topic Detection From Twitter, Wei Xie, Feida Zhu, Jing Jiang, Ee Peng Lim, Ke Wang
Topicsketch: Real-Time Bursty Topic Detection From Twitter, Wei Xie, Feida Zhu, Jing Jiang, Ee Peng Lim, Ke Wang
Research Collection School Of Computing and Information Systems
Twitter has become one of the largest platforms for users around the world to share anything happening around them with friends and beyond. A bursty topic in Twitter is one that triggers a surge of relevant tweets within a short time, which often reflects important events of mass interest. How to leverage Twitter for early detection of bursty topics has therefore become an important research problem with immense practical value. Despite the wealth of research work on topic modeling and analysis in Twitter, it remains a huge challenge to detect bursty topics in real-time. As existing methods can hardly scale …
The Influence Of Online Word-Of-Mouth On Long Tail Formation, Bin Gu, Qian Tang, Andrew B. Whinston
The Influence Of Online Word-Of-Mouth On Long Tail Formation, Bin Gu, Qian Tang, Andrew B. Whinston
Research Collection School Of Computing and Information Systems
The long tail phenomenon has been attributed to both supply side and demand side economies. While the cause on the supply side is well-known, research on the demand side has largely focused on the awareness effect of online information that helps consumers discover new and often niche products. This study expands the demand side factors by showing that online information also influences the long tail phenomenon through the informative effect, which affects consumers' evaluation of product quality. We examine the informative effect in the context of online WOM. Two sets of theories suggest opposite directions for the implication of the …
Modeling Preferences With Availability Constraints, Bingtian Dai, Hady W. Lauw
Modeling Preferences With Availability Constraints, Bingtian Dai, Hady W. Lauw
Research Collection School Of Computing and Information Systems
User preferences are commonly learned from historical data whereby users express preferences for items, e.g., through consumption of products or services. Most work assumes that a user is not constrained in their selection of items. This assumption does not take into account the availability constraint, whereby users could only access some items, but not others. For example, in subscription-based systems, we can observe only those historical preferences on subscribed (available) items. However, the objective is to predict preferences on unsubscribed (unavailable) items, which do not appear in the historical observations due to their (lack of) availability. To model preferences in …
Modeling Temporal Adoptions Using Dynamic Matrix Factorization, Freddy Chong-Tat Chua, Richard Jayadi Oentaryo, Ee Peng Lim
Modeling Temporal Adoptions Using Dynamic Matrix Factorization, Freddy Chong-Tat Chua, Richard Jayadi Oentaryo, Ee Peng Lim
Research Collection School Of Computing and Information Systems
The problem of recommending items to users is relevant to many applications and the problem has often been solved using methods developed from Collaborative Filtering (CF). Collaborative Filtering model-based methods such as Matrix Factorization have been shown to produce good results for static rating-type data, but have not been applied to time-stamped item adoption data. In this paper, we adopted a Dynamic Matrix Factorization (DMF) technique to derive different temporal factorization models that can predict missing adoptions at different time steps in the users' adoption history. This DMF technique is an extension of the Non-negative Matrix Factorization (NMF) based on …
A Social Network-Empowered Research Analytics Framework For Project Selection, Thushari Silva, Zhiling Guo, Jian Ma, Hongbing Jiang, Huaping Chen
A Social Network-Empowered Research Analytics Framework For Project Selection, Thushari Silva, Zhiling Guo, Jian Ma, Hongbing Jiang, Huaping Chen
Research Collection School Of Computing and Information Systems
Traditional approaches for research project selection by government funding agencies mainly focus on the matching of research relevance by keywords or disciplines. Other research relevant information such as social connections (e.g., collaboration and co-authorship) and productivity (e.g., quality, quantity, and citations of published journal articles) of researchers is largely ignored. To overcome these limitations, this paper proposes a social network-empowered research analytics framework (RAF) for research project selections. Scholarmate.com, a professional research social network with easy access to research relevant information, serves as a platform to build researcher profiles from three dimensions, i.e., relevance, productivity and connectivity. Building upon profiles …
Predicting User's Political Party Using Ideological Stances, Swapna Gottopati, Minghui Qiu, Liu Yang, Feida Zhu, Jing Jiang
Predicting User's Political Party Using Ideological Stances, Swapna Gottopati, Minghui Qiu, Liu Yang, Feida Zhu, Jing Jiang
Research Collection School Of Computing and Information Systems
Predicting users political party in social media has important impacts on many real world applications such as targeted advertising, recommendation and personalization. Several political research studies on it indicate that political parties’ ideological beliefs on sociopolitical issues may influence the users political leaning. In our work, we exploit users’ ideological stances on controversial issues to predict political party of online users. We propose a collaborative filtering approach to solve the data sparsity problem of users stances on ideological topics and apply clustering method to group the users with the same party. We evaluated several state-of-the-art methods for party prediction task …
Using Micro-Reviews To Select An Efficient Set Of Reviews, Thanh-Son Nguyen, Hady W. Lauw, Panayiotis Tsaparas
Using Micro-Reviews To Select An Efficient Set Of Reviews, Thanh-Son Nguyen, Hady W. Lauw, Panayiotis Tsaparas
Research Collection School Of Computing and Information Systems
Online reviews are an invaluable resource for web users trying to make decisions regarding products or services. However, the abundance of review content, as well as the unstructured, lengthy, and verbose nature of reviews make it hard for users to locate the appropriate reviews, and distill the useful information. With the recent growth of social networking and micro-blogging services, we observe the emergence of a new type of online review content, consisting of bite-sized, 140 character-long reviews often posted reactively on the spot via mobile devices. These micro-reviews are short, concise, and focused, nicely complementing the lengthy, elaborate, and verbose …
Social Sensing For Urban Crisis Management: The Case Of Singapore Haze, Philips Kokoh Prasetyo, Ming Gao, Ee Peng Lim, Christie N. Scollon
Social Sensing For Urban Crisis Management: The Case Of Singapore Haze, Philips Kokoh Prasetyo, Ming Gao, Ee Peng Lim, Christie N. Scollon
Research Collection School Of Computing and Information Systems
Sensing social media for trends and events has become possible as increasing number of users rely on social media to share information. In the event of a major disaster or social event, one can therefore study the event quickly by gathering and analyzing social media data. One can also design appropriate responses such as allocating resources to the affected areas, sharing event related information, and managing public anxiety. Past research on social event studies using social media often focused on one type of data analysis (e.g., hashtag clusters, diffusion of events, influential users, etc.) on a single social media data …
Information Vs Interaction: An Alternative User Ranking Model For Social Networks, Wei Xie, Ai Phuong Hoang, Feida Zhu, Ee Peng Lim
Information Vs Interaction: An Alternative User Ranking Model For Social Networks, Wei Xie, Ai Phuong Hoang, Feida Zhu, Ee Peng Lim
Research Collection School Of Computing and Information Systems
The recent years have seen an unprecedented boom of social network services, such as Twitter, which boasts over 200 million users. In such big social platforms, the influential users are ideal targets for viral marketing to potentially reach an audience of maximal size. Most proposed algorithms rely on the linkage structure of the respective underlying network to determine the information flow and hence indicate a users influence. From social interaction perspective, we built a model based on the dynamic user interactions constantly taking place on top of these linkage structures. In particular, in the Twitter setting we supposed a principle …
Efficient Index-Based Approaches For Skyline Queries In Location-Based Applications, Ken C. K. Lee, Baihua Zheng, Cindy Chen, Chi-Yin Chow
Efficient Index-Based Approaches For Skyline Queries In Location-Based Applications, Ken C. K. Lee, Baihua Zheng, Cindy Chen, Chi-Yin Chow
Research Collection School Of Computing and Information Systems
Enriching many location-based applications, various new skyline queries are proposed and formulated based on the notion of locational dominance, which extends conventional one by taking objects' nearness to query positions into account additional to objects' nonspatial attributes. To answer a representative class of skyline queries for location-based applications efficiently, this paper presents two index-based approaches, namely, augmented R-tree and dominance diagram. Augmented R-tree extends R-tree by including aggregated nonspatial attributes in index nodes to enable dominance checks during index traversal. Dominance diagram is a solution-based approach, by which each object is associated with a precomputed nondominance scope wherein query points …
Covariance Selection By Thresholding The Sample Correlation Matrix, Binyan Jiang
Covariance Selection By Thresholding The Sample Correlation Matrix, Binyan Jiang
Research Collection School Of Computing and Information Systems
This article shows that when the nonzero coefficients of the population correlation matrix are all greater in absolute value than (C1logp/n)1/2 for some constant C1, we can obtain covariance selection consistency by thresholding the sample correlation matrix. Furthermore, the rate (logp/n)1/2 is shown to be optimal.
Modeling Interaction Features For Debate Side Clustering, Minghui Qiu, Liu Yang, Jing Jiang
Modeling Interaction Features For Debate Side Clustering, Minghui Qiu, Liu Yang, Jing Jiang
Research Collection School Of Computing and Information Systems
Online discussion forums are popular social media platforms for users to express their opinions and discuss controversial issues with each other. To automatically identify the sides/stances of posts or users from textual content in forums is an important task to help mine online opinions. To tackle the task, it is important to exploit user posts that implicitly contain support and dispute (interaction) information. The challenge we face is how to mine such interaction information from the content of posts and how to use them to help identify stances. This paper proposes a two-stage solution based on latent variable models: an …
A Unified Model For Topics, Events And Users On Twitter, Qiming Diao, Jing Jiang
A Unified Model For Topics, Events And Users On Twitter, Qiming Diao, Jing Jiang
Research Collection School Of Computing and Information Systems
With the rapid growth of social media, Twitter has become one of the most widely adopted platforms for people to post short and instant message. On the one hand, people tweets about their daily lives, and on the other hand, when major events happen, people also follow and tweet about them. Moreover, people’s posting behaviors on events are often closely tied to their personal interests. In this paper, we try to model topics, events and users on Twitter in a unified way. We propose a model which combines an LDA-like topic model and the Recurrent Chinese Restaurant Process to capture …
Learning Topics And Positions From Debatepedia, Swapna Gottopati, Minghui Qiu, Yanchuan Sim, Jing Jiang, Noah Smith
Learning Topics And Positions From Debatepedia, Swapna Gottopati, Minghui Qiu, Yanchuan Sim, Jing Jiang, Noah Smith
Research Collection School Of Computing and Information Systems
We explore Debatepedia, a communityauthored encyclopedia of sociopolitical debates, as evidence for inferring a lowdimensional, human-interpretable representation in the domain of issues and positions. We introduce a generative model positing latent topics and cross-cutting positions that gives special treatment to person mentions and opinion words. We evaluate the resulting representation’s usefulness in attaching opinionated documents to arguments and its consistency with human judgments about positions.
Online Multi-Task Collaborative Filtering For On-The-Fly Recommender Systems, Jialei Wang, Steven C. H. Hoi, Peilin Zhao, Zhi-Yong Liu
Online Multi-Task Collaborative Filtering For On-The-Fly Recommender Systems, Jialei Wang, Steven C. H. Hoi, Peilin Zhao, Zhi-Yong Liu
Research Collection School Of Computing and Information Systems
Traditional batch model-based Collaborative Filtering (CF) approaches typically assume a collection of users' rating data is given a priori for training the model. They suffer from a common yet critical drawback, i.e., the model has to be re-trained completely from scratch whenever new training data arrives, which is clearly non-scalable for large real recommender systems where users' rating data often arrives sequentially and frequently. In this paper, we investigate a novel efficient and scalable online collaborative filtering technique for on-the-fly recommender systems, which is able to effectively online update the recommendation model from a sequence of rating observations. Specifically, we …
Merged Aggregate Nearest Neighbor Query Processing In Road Networks, Weiwei Sun, Chong Chen, Baihua Zheng, Chunan Chen, Liang Zhu
Merged Aggregate Nearest Neighbor Query Processing In Road Networks, Weiwei Sun, Chong Chen, Baihua Zheng, Chunan Chen, Liang Zhu
Research Collection School Of Computing and Information Systems
Aggregate nearest neighbor query, which returns a common interesting point that minimizes the aggregate distance for a given query point set, is one of the most important operations in spatial databases and their application domains. This paper addresses the problem of finding the aggregate nearest neighbor for a merged set that consists of the given query point set and multiple points needed to be selected from a candidate set, which we name as merged aggregate nearest neighbor(MANN) query. This paper proposes an effective algorithm to process MANN query in road networks based on our pruning strategies. Extensive experiments are conducted …
Online Multimodal Distance Metric Learning With Application To Image Retrieval, Pengcheng Wu, Steven C. H. Hoi, Hao Xia, Peilin Zhao, Dayong Wang, Chunyan Miao
Online Multimodal Distance Metric Learning With Application To Image Retrieval, Pengcheng Wu, Steven C. H. Hoi, Hao Xia, Peilin Zhao, Dayong Wang, Chunyan Miao
Research Collection School Of Computing and Information Systems
Recent years have witnessed extensive studies on distance metric learning (DML) for improving similarity search in multimedia information retrieval tasks. Despite their successes, most existing DML methods suffer from two critical limitations: (i) they typically attempt to learn a linear distance function on the input feature space, in which the assumption of linearity limits their capacity of measuring the similarity on complex patterns in real-world applications; (ii) they are often designed for learning distance metrics on uni-modal data, which may not effectively handle the similarity measures for multimedia objects with multimodal representations. To address these limitations, in this paper, we …
An Analysis Of Post-Selection In Automatic Configuration, Zhi Yuan, Thomas St\303\274tzle, Marco A. Montes De Oca, Hoong Chuin Lau, Mauro Birattari
An Analysis Of Post-Selection In Automatic Configuration, Zhi Yuan, Thomas St\303\274tzle, Marco A. Montes De Oca, Hoong Chuin Lau, Mauro Birattari
Research Collection School Of Computing and Information Systems
Automated algorithm configuration methods have proven to be instrumental in deriving high-performing algorithms and such methods are increasingly often used to configure evolutionary algorithms. One major challenge in devising automatic algorithm configuration techniques is to handle the inherent stochasticity in the configuration problems. This article analyses a post-selection mechanism that can also be used for this task. The central idea of the post-selection mechanism is to generate in a first phase a set of high-quality candidate algorithm configurations and then to select in a second phase from this candidate set the (statistically) best configuration. Our analysis of this mechanism indicates …
Generative Models For Item Adoptions Using Social Correlation, Freddy Chong Tat Chua, Hady Wirawan Lauw, Ee Peng Lim
Generative Models For Item Adoptions Using Social Correlation, Freddy Chong Tat Chua, Hady Wirawan Lauw, Ee Peng Lim
Research Collection School Of Computing and Information Systems
Users face many choices on the Web when it comes to choosing which product to buy, which video to watch, etc. In making adoption decisions, users rely not only on their own preferences, but also on friends. We call the latter social correlation which may be caused by the homophily and social influence effects. In this paper, we focus on modeling social correlation on users’ item adoptions. Given a user-user social graph and an item-user adoption graph, our research seeks to answer the following questions: whether the items adopted by a user correlate to items adopted by her friends, and …
Incremental And Accuracy-Aware Personalized Pagerank Through Scheduled Approximation, Fanwei Zhu, Yuan Fang, Kevin Chen-Chuan Chang, Jing Ying
Incremental And Accuracy-Aware Personalized Pagerank Through Scheduled Approximation, Fanwei Zhu, Yuan Fang, Kevin Chen-Chuan Chang, Jing Ying
Research Collection School Of Computing and Information Systems
As Personalized PageRank has been widely leveraged for ranking on a graph, the efficient computation of Personalized PageRank Vector (PPV) becomes a prominent issue. In this paper, we propose FastPPV, an approximate PPV computation algorithm that is incremental and accuracy-aware. Our approach hinges on a novel paradigm of scheduled approximation: the computation is partitioned and scheduled for processing in an "organized" way, such that we can gradually improve our PPV estimation in an incremental manner, and quantify the accuracy of our approximation at query time. Guided by this principle, we develop an efficient hub based realization, where we adopt the …
How Many Researchers Does It Take To Make Impact? Mining Software Engineering Publication Data For Collaboration Insights, Subhajit Datta, Santonu Sarkar, Sajeev A. S. M., Nishant Kumar
How Many Researchers Does It Take To Make Impact? Mining Software Engineering Publication Data For Collaboration Insights, Subhajit Datta, Santonu Sarkar, Sajeev A. S. M., Nishant Kumar
Research Collection School Of Computing and Information Systems
In the three and half decades since the inception of organized research publication in software engineering, the discipline has gained a significant maturity. This journey to maturity has been guided by the synergy of ideas, individuals and interactions. In this journey software engineering has evolved into an increasingly empirical discipline. Empirical sciences involve significant collaboration, leading to large teams working on research problems. In this paper we analyze a corpus of 19,000+ papers, written by 21,000+ authors from 16 publication venues between 1975 to 2010, to understand what is the ideal team size that has produced maximum impact in software …
An Agent-Based Network Analytic Perspective On The Evolution Of Complex Adaptive Supply Chain Networks, Loganathan Ponnanbalam, A. Tan, Xiuju Fu, Xiaofeng Yin, Zhaoxia Wang, Rick S. M. Goh
An Agent-Based Network Analytic Perspective On The Evolution Of Complex Adaptive Supply Chain Networks, Loganathan Ponnanbalam, A. Tan, Xiuju Fu, Xiaofeng Yin, Zhaoxia Wang, Rick S. M. Goh
Research Collection School Of Computing and Information Systems
Supply chain networks of modern era are complex adaptive systems that are dynamic and highly interdependent in nature. Business continuity of these complex systems depend vastly on understanding as to how the supply chain network evolves over time (based on the policies it adapts), and identifying the susceptibility of the evolved networks to external disruptions. The objective of this article is to illustrate as to how an agent-based network analytic perspective can aid this understanding on the network-evolution dynamics, and identification of disruption effects on the evolved networks. To this end, we developed a 4-tier agent based supply chain model …
Politics, Sharing And Emotion In Microblogs, Tuan-Anh Hoang, William Cohen, Ee Peng Lim, Doug Pierce, David Redlawsk
Politics, Sharing And Emotion In Microblogs, Tuan-Anh Hoang, William Cohen, Ee Peng Lim, Doug Pierce, David Redlawsk
Research Collection School Of Computing and Information Systems
In political contexts, it is known that people act as "motivated reasoners", i.e., information is evaluated first for emotional affect, and this emotional reaction influences later deliberative reasoning steps. As social media becomes a more and more prevalent way of receiving political information, it becomes important to understand more completely the interaction between information, emotion, social community, and information-sharing behavior. In this paper, we describe a high-precision classifier for politically-oriented tweets, and an accurate classifier of a Twitter user's political affiliation. Coupled with existing sentiment-analysis tools for microblogs, these methods enable us to systematically study the interaction of emotion and …
Best Upgrade Plans For Large Road Networks, Yimin Lin, Kyriakos Mouratidis
Best Upgrade Plans For Large Road Networks, Yimin Lin, Kyriakos Mouratidis
Research Collection School Of Computing and Information Systems
In this paper, we consider a new problem in the context of road network databases, named Resource Constrained Best Upgrade Plan computation (BUP, for short). Consider a transportation network (weighted graph) G where a subset of the edges are upgradable, i.e., for each such edge there is a cost, which if spent, the weight of the edge can be reduced to a specific new value. Given a source and a destination in G, and a budget (resource constraint) B, the BUP problem is to identify which upgradable edges should be upgraded so that the shortest path distance between source and …
Computing Immutable Regions For Subspace Top-K Queries, Kyriakos Mouratidis, Hwee Hwa Pang
Computing Immutable Regions For Subspace Top-K Queries, Kyriakos Mouratidis, Hwee Hwa Pang
Research Collection School Of Computing and Information Systems
Given a high-dimensional dataset, a top-k query can be used to shortlist the k tuples that best match the user’s preferences. Typically, these preferences regard a subset of the available dimensions (i.e., attributes) whose relative significance is expressed by user-specified weights. Along with the query result, we propose to compute for each involved dimension the maximal deviation to the corresponding weight for which the query result remains valid. The derived weight ranges, called immutable regions, are useful for performing sensitivity analysis, for finetuning the query weights, etc. In this paper, we focus on top-k queries with linear preference functions over …
Delayflow Centrality For Identifying Critical Nodes In Transportation Networks, Yew-Yih Cheng, Roy Ka Wei Lee, Ee-Peng Lim, Feida Zhu
Delayflow Centrality For Identifying Critical Nodes In Transportation Networks, Yew-Yih Cheng, Roy Ka Wei Lee, Ee-Peng Lim, Feida Zhu
Research Collection School Of Computing and Information Systems
In an urban city, its transportation network supports efficient flow of people between different parts of the city. Failures in the network can cause major disruptions to commuter and business activities which can result in both significant economic and time losses. In this paper, we investigate the use of centrality measures to determine critical nodes in a transportation network so as to improve the design of the network as well as to devise plans for coping with network failures. Most centrality measures in social network analysis research unfortunately consider only topological structure of the network and are oblivious of transportation …
Large Scale Online Kernel Classification, Jialei Wang, Peilin Zhao, Steven C. H. Hoi, Jinfeng Zhuang, Zhi-Yong Liu
Large Scale Online Kernel Classification, Jialei Wang, Peilin Zhao, Steven C. H. Hoi, Jinfeng Zhuang, Zhi-Yong Liu
Research Collection School Of Computing and Information Systems
In this work, we present a new framework for large scale online kernel classification, making kernel methods efficient and scalable for large-scale online learning tasks. Unlike the regular budget kernel online learning scheme that usually uses different strategies to bound the number of support vectors, our framework explores a functional approximation approach to approximating a kernel function/matrix in order to make the subsequent online learning task efficient and scalable. Specifically, we present two different online kernel machine learning algorithms: (i) the Fourier Online Gradient Descent (FOGD) algorithm that applies the random Fourier features for approximating kernel functions; and (ii) the …
Learning To Name Faces: A Multimodal Learning Scheme For Search-Based Face Annotation, Dayong Wang, Steven C. H. Hoi, Pengcheng Wu, Jianke Zhu, Ying He, Chunyan Miao
Learning To Name Faces: A Multimodal Learning Scheme For Search-Based Face Annotation, Dayong Wang, Steven C. H. Hoi, Pengcheng Wu, Jianke Zhu, Ying He, Chunyan Miao
Research Collection School Of Computing and Information Systems
Automated face annotation aims to automatically detect human faces from a photo and further name the faces with the corresponding human names. In this paper, we tackle this open problem by investigating a search-based face annotation (SBFA) paradigm for mining large amounts of web facial images freely available on the WWW. Given a query facial image for annotation, the idea of SBFA is to first search for top-n similar facial images from a web facial image database and then exploit these top-ranked similar facial images and their weak labels for naming the query facial image. To fully mine those information, …
Robust Median Reversion Strategy For On-Line Portfolio Selection, Dingjiang Huang, Junlong Zhou, Bin Li, Steven Hoi, Shuigeng Zhou
Robust Median Reversion Strategy For On-Line Portfolio Selection, Dingjiang Huang, Junlong Zhou, Bin Li, Steven Hoi, Shuigeng Zhou
Research Collection School Of Computing and Information Systems
On-line portfolio selection has been attracting increasing interests from artificial intelligence community in recent decades. Mean reversion, as one most frequent pattern in financial markets, plays an important role in some state-of-the-art strategies. Though successful in certain datasets, existing mean reversion strategies do not fully consider noises and outliers in the data, leading to estimation error and thus non-optimal portfolios, which results in poor performance in practice. To overcome the limitation, we propose to exploit the reversion phenomenon by robust L1-median estimator, and design a novel on-line portfolio selection strategy named "Robust Median Reversion" (RMR), which makes optimal …