Multitrend Conditional Value at Risk for Portfolio Optimization.

Trend representation has been attracting more and more attention recently in portfolio optimization (PO) via machine learning methods. It adopts concepts and phenomena from the field of empirical and behavioral finance when little prior knowledge is obtained or strict statistical assumptions cannot be guaranteed. It is used mostly in estimating the expected asset returns, but hardly in measuring risk. To fill this gap, we propose a novel multitrend conditional value at risk (MT-CVaR), which embeds multiple trends and their influences in CVaR. Besides, we propose a novel PO model with this MT-CVaR as the risk metric and then design a solving algorithm based on the interior point method to compute the portfolio. Extensive experiments on six benchmark datasets from diverse financial markets with different frequencies show that MT-CVaR achieves the state-of-the-art investing performance and risk management.

Hyperspectral Image Classification via Discriminant Gabor Ensemble Filter.

For a broad range of applications, hyperspectral image (HSI) classification is a hot topic in remote sensing, and convolutional neural network (CNN)-based methods are drawing increasing attention. However, to train millions of parameters in CNN requires a large number of labeled training samples, which are difficult to collect. A conventional Gabor filter can effectively extract spatial information with different scales and orientations without training, but it may be missing some important discriminative information. In this article, we propose the Gabor ensemble filter (GEF), a new convolutional filter to extract deep features for HSI with fewer trainable parameters. GEF filters each input channel by some fixed Gabor filters and learnable filters simultaneously, then reduces the dimensions by some learnable 1×1 filters to generate the output channels. The fixed Gabor filters can extract common features with different scales and orientations, while the learnable filters can learn some complementary features that Gabor filters cannot extract. Based on GEF, we design a network architecture for HSI classification, which extracts deep features and can learn from limited training samples. In order to simultaneously learn more discriminative features and an end-to-end system, we propose to introduce the local discriminant structure for cross-entropy loss by combining the triplet hard loss. Results of experiments on three HSI datasets show that the proposed method has significantly higher classification accuracy than other state-of-the-art methods. Moreover, the proposed method is speedy for both training and testing.

Radial Basis Functions With Adaptive Input and Composite Trend Representation for Portfolio Selection.

We propose a set of novel radial basis functions with adaptive input and composite trend representation (AICTR) for portfolio selection (PS). Trend representation of asset price is one of the main information to be exploited in PS. However, most state-of-the-art trend representation-based systems exploit only one kind of trend information and lack effective mechanisms to construct a composite trend representation. The proposed system exploits a set of RBFs with multiple trend representations, which improves the effectiveness and robustness in price prediction. Moreover, the input of the RBFs automatically switches to the best trend representation according to the recent investing performance of different price predictions. We also propose a novel objective to combine these RBFs and select the portfolio. Extensive experiments on six benchmark data sets (including a new challenging data set that we propose) from different real-world stock markets indicate that the proposed RBFs effectively combine different trend representations and AICTR achieves state-of-the-art investing performance and risk control. Besides, AICTR withstands the reasonable transaction costs and runs fast; hence, it is applicable to real-world financial environments.

A Peak Price Tracking-Based Learning System for Portfolio Selection.

We propose a novel linear learning system based on the peak price tracking (PPT) strategy for portfolio selection (PS). Recently, the topic of tracking control attracts intensive attention and some novel models are proposed based on backstepping methods, such that the system output tracks a desired trajectory. The proposed system has a similar evolution with a transform function that aggressively tracks the increasing power of different assets. As a result, the better performing assets will receive more investment. The proposed PPT objective can be formulated as a fast backpropagation algorithm, which is suitable for large-scale and time-limited applications, such as high-frequency trading. Extensive experiments on several benchmark data sets from diverse real financial markets show that PPT outperforms other state-of-the-art systems in computational time, cumulative wealth, and risk-adjusted metrics. It suggests that PPT is effective and even more robust than some defensive systems in PS.

Learning Kernel Extended Dictionary for Face Recognition.

A sparse representation classifier (SRC) and a kernel discriminant analysis (KDA) are two successful methods for face recognition. An SRC is good at dealing with occlusion, while a KDA does well in suppressing intraclass variations. In this paper, we propose kernel extended dictionary (KED) for face recognition, which provides an efficient way for combining KDA and SRC. We first learn several kernel principal components of occlusion variations as an occlusion model, which can represent the possible occlusion variations efficiently. Then, the occlusion model is projected by KDA to get the KED, which can be computed via the same kernel trick as new testing samples. Finally, we use structured SRC for classification, which is fast as only a small number of atoms are appended to the basic dictionary, and the feature dimension is low. We also extend KED to multikernel space to fuse different types of features at kernel level. Experiments are done on several large-scale data sets, demonstrating that not only does KED get impressive results for nonoccluded samples, but it also handles the occlusion well without overfitting, even with a single gallery sample per subject.

Multiscale logarithm difference edgemaps for face recognition against varying lighting conditions.

Lambertian model is a classical illumination model consisting of a surface albedo component and a light intensity component. Some previous researches assume that the light intensity component mainly lies in the large-scale features. They adopt holistic image decompositions to separate it out, but it is difficult to decide the separating point between large-scale and small-scale features. In this paper, we propose to take a logarithm transform, which can change the multiplication of surface albedo and light intensity into an additive model. Then, a difference (substraction) between two pixels in a neighborhood can eliminate most of the light intensity component. By dividing a neighborhood into subregions, edgemaps of multiple scales can be obtained. Then, each edgemap is multiplied by a weight that can be determined by an independent training scheme. Finally, all the weighted edgemaps are combined to form a robust holistic feature map. Extensive experiments on four benchmark data sets in controlled and uncontrolled lighting conditions show that the proposed method has promising results, especially in uncontrolled lighting conditions, even mixed with other complicated variations.

Discriminative and Compact Coding for Robust Face Recognition.

In this paper, we propose a novel discriminative and compact coding (DCC) for robust face recognition. It introduces multiple error measurements into regression model. They collaborate to tune regression codes of different properties (sparsity, compactness, high discriminating ability, etc.), to further improve robustness and adaptivity of the regression model. We propose two types of coding models: 1) multiscale error measurements that produces sparse and highly discriminative codes and 2) inspires within-class collaborative representation that produces sparse and compact codes. The update of codes and the combination of different errors are automatically processed. DCC is also robust to the choice of parameters, producing stable regression residuals which are crucial to classification. Extensive experiments on benchmark datasets show that DCC has promising performance and outperforms other state-of-the-art regression models.

Transfer learning of structured representation for face recognition.

Face recognition under uncontrolled conditions, e.g., complex backgrounds and variable resolutions, is still challenging in image processing and computer vision. Although many methods have been proved well-performed in the controlled settings, they are usually of weak generality across different data sets. Meanwhile, several properties of the source domain, such as background and the size of subjects, play an important role in determining the final classification results. A transferrable representation learning model is proposed in this paper to enhance the recognition performance. To deeply exploit the discriminant information from the source domain and the target domain, the bioinspired face representation is modeled as structured and approximately stable characterization for the commonality between different domains. The method outputs a grouped boost of the features, and presents a reasonable manner for highlighting and sharing discriminant orientations and scales. Notice that the method can be viewed as a framework, since other feature generation operators and classification metrics can be embedded therein, and then, it can be applied to more general problems, such as low-resolution face recognition, object detection and categorization, and so forth. Experiments on the benchmark databases, including uncontrolled Face Recognition Grand Challenge v2.0 and Labeled Faces in the Wild show the efficacy of the proposed transfer learning algorithm.

Multilayer surface albedo for face recognition with reference images in bad lighting conditions.

In this paper, we propose a multilayer surface albedo (MLSA) model to tackle face recognition in bad lighting conditions, especially with reference images in bad lighting conditions. Some previous researches conclude that illumination variations mainly lie in the large-scale features of an image and extract small-scale features in the surface albedo (or surface texture). However, this surface albedo is not robust enough, which still contains some detrimental sharp features. To improve robustness of the surface albedo, MLSA further decomposes it as a linear sum of several detailed layers, to separate and represent features of different scales in a more specific way. Then, the layers are adjusted by separate weights, which are global parameters and selected for only once. A criterion function is developed to select these layer weights with an independent training set. Despite controlled illumination variations, MLSA is also effective to uncontrolled illumination variations, even mixed with other complicated variations (expression, pose, occlusion, and so on). Extensive experiments on four benchmark data sets show that MLSA has good receiver operating characteristic curve and statistical discriminating capability. The refined albedo improves recognition performance, especially with reference images in bad lighting conditions.

Band-Reweighed Gabor Kernel Embedding for Face Image Representation and Recognition.

Face recognition with illumination or pose variation is a challenging problem in image processing and pattern recognition. A novel algorithm using band-reweighed Gabor kernel embedding to deal with the problem is proposed in this paper. For a given image, it is first transformed by a group of Gabor filters, which output Gabor features using different orientation and scale parameters. Fisher scoring function is used to measure the importance of features in each band, and then, the features with the largest scores are preserved for saving memory requirements. The reduced bands are combined by a vector, which is determined by a weighted kernel discriminant criterion and solved by a constrained quadratic programming method, and then, the weighted sum of these nonlinear bands is defined as the similarity between two images. Compared with existing concatenation-based Gabor feature representation and the uniformly weighted similarity calculation approaches, our method provides a new way to use Gabor features for face recognition and presents a reasonable interpretation for highlighting discriminant orientations and scales. The minimum Mahalanobis distance considering the spatial correlations within the data is exploited for feature matching, and the graphical lasso is used therein for directly estimating the sparse inverse covariance matrix. Experiments using benchmark databases show that our new algorithm improves the recognition results and obtains competitive performance.