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Cost-Sensitive Online Classification has drawn extensive attention in recent years, where the main approach is to directly online optimize two well-known cost-sensitive metrics: (i) weighted sum of sensitivity and specificity and (ii) weighted misclassification cost. However, previous existing methods only considered first-order information of data stream. It is insufficient in practice, since many recent studies have proved that incorporating second-order information enhances the prediction performance of classification models. Thus, we propose a family of cost-sensitive online classification algorithms with adaptive regularization in this paper. We theoretically analyze the proposed algorithms and empirically validate their effectiveness and properties in extensive experiments. Then, for better trade off between the performance and efficiency, we further introduce the sketching technique into our algorithms, which significantly accelerates the computational speed with quite slight performance loss. Finally, we apply our algorithms to tackle several online anomaly detection tasks from real world. Promising results prove that the proposed algorithms are effective and efficient in solving cost-sensitive online classification problems in various real-world domains. [ABSTRACT FROM AUTHOR]

Online portfolio selection has attracted increasing attention from data mining and machine learning communities in recent years. An important theory in financial markets is mean reversion, which plays a critical role in some state-of-the-art portfolio selection strategies. Although existing mean reversion strategies have been shown to achieve good empirical performance on certain datasets, they seldom carefully deal with noise and outliers in the data, leading to suboptimal portfolios, and consequently yielding poor performance in practice. In this paper, we propose to exploit the reversion phenomenon by using robust $L_1$ -median estimators, and design a novel online portfolio selection strategy named “Robust Median Reversion” (RMR), which constructs optimal portfolios based on the improved reversion estimator. We examine the performance of the proposed algorithms on various real markets with extensive experiments. Empirical results show that RMR can overcome the drawbacks of existing mean reversion algorithms and achieve significantly better results. Finally, RMR runs in linear time, and thus is suitable for large-scale real-time algorithmic trading applications. [ABSTRACT FROM PUBLISHER]

Distance metric learning (DML) is an important technique to improve similarity search in content-based image retrieval. Despite being studied extensively, most existing DML approaches typically adopt a single-modal learning framework that learns the distance metric on either a single feature type or a combined feature space where multiple types of features are simply concatenated. Such single-modal DML methods suffer from some critical limitations: (i) some type of features may significantly dominate the others in the DML task due to diverse feature representations; and (ii) learning a distance metric on the combined high-dimensional feature space can be extremely time-consuming using the naive feature concatenation approach. To address these limitations, in this paper, we investigate a novel scheme of online multi-modal distance metric learning (OMDML), which explores a unified two-level online learning scheme: (i) it learns to optimize a distance metric on each individual feature space; and (ii) then it learns to find the optimal combination of diverse types of features. To further reduce the expensive cost of DML on high-dimensional feature space, we propose a low-rank OMDML algorithm which not only significantly reduces the computational cost but also retains highly competing or even better learning accuracy. We conduct extensive experiments to evaluate the performance of the proposed algorithms for multi-modal image retrieval, in which encouraging results validate the effectiveness of the proposed technique. [ABSTRACT FROM AUTHOR]

Both cost-sensitive classification and online learning have been extensively studied in data mining and machine learning communities, respectively. However, very limited study addresses an important intersecting problem, that is, “Cost-Sensitive Online Classification”. In this paper, we formally study this problem, and propose a new framework for Cost-Sensitive Online Classification by directly optimizing cost-sensitive measures using online gradient descent techniques. Specifically, we propose two novel cost-sensitive online classification algorithms, which are designed to directly optimize two well-known cost-sensitive measures: (i) maximization of weighted sum of sensitivity and specificity, and (ii) minimization of weighted misclassification cost. We analyze the theoretical bounds of the cost-sensitive measures made by the proposed algorithms, and extensively examine their empirical performance on a variety of cost-sensitive online classification tasks. Finally, we demonstrate the application of the proposed technique for solving several online anomaly detection tasks, showing that the proposed technique could be a highly efficient and effective tool to tackle cost-sensitive online classification tasks in various application domains. [ABSTRACT FROM AUTHOR]

We study the problem of online multitask learning for solving multiple related classification tasks in parallel, aiming at classifying every sequence of data received by each task accurately and efficiently. One practical example of online multitask learning is the micro-blog sentiment detection on a group of users, which classifies micro-blog posts generated by each user into emotional or non-emotional categories. This particular online learning task is challenging for a number of reasons. First of all, to meet the critical requirements of online applications, a highly efficient and scalable classification solution that can make immediate predictions with low learning cost is needed. This requirement leaves conventional batch learning algorithms out of consideration. Second, classical classification methods, be it batch or online, often encounter a dilemma when applied to a group of tasks, i.e., on one hand, a single classification model trained on the entire collection of data from all tasks may fail to capture characteristics of individual task; on the other hand, a model trained independently on individual tasks may suffer from insufficient training data. To overcome these challenges, in this paper, we propose a collaborative online multitask learning method, which learns a global model over the entire data of all tasks. At the same time, individual models for multiple related tasks are jointly inferred by leveraging the global model through a collaborative online learning approach. We illustrate the efficacy of the proposed technique on a synthetic dataset. We also evaluate it on three real-life problems—spam email filtering, bioinformatics data classification, and micro-blog sentiment detection. Experimental results show that our method is effective and scalable at the online classification of multiple related tasks. [ABSTRACT FROM PUBLISHER]

Most machine learning tasks in data classification and information retrieval require manually labeled data examples in the training stage. The goal of active learning is to select the most informative examples for manual labeling in these learning tasks. Most of the previous studies in active learning have focused on selecting a single unlabeled example in each iteration. This could be inefficient, since the classification model has to be retrained for every acquired labeled example. It is also inappropriate for the setup of information retrieval tasks where the user's relevance feedback is often provided for the top K retrieved items. In this paper, we present a framework for batch mode active learning, which selects a number of informative examples for manual labeling in each iteration. The key feature of batch mode active learning is to reduce the redundancy among the selected examples such that each example provides unique information for model updating. To this end, we employ the Fisher information matrix as the measurement of model uncertainty, and choose the set of unlabeled examples that can efficiently reduce the Fisher information of the classification model. We apply our batch mode active learning framework to both text categorization and image retrieval. Promising results show that our algorithms are significantly more effective than the active learning approaches that select unlabeled examples based only on their informativeness for the classification model. [ABSTRACT FROM AUTHOR]

Relevance feedback has emerged as a powerful tool to boost the retrieval performance in content-based image retrieval (CBIR). In the past, most research efforts in this field have focused on designing effective algorithms for traditional relevance feedback. Given that a CBIR system can collect and store users' relevance feedback information in a history log, an image retrieval system should be able to take advantage of the log data of users' feedback to enhance its retrieval performance. In this paper, we propose a unified framework for log-based relevance feedback that integrates the log of feedback data into the traditional relevance feedback schemes to learn effectively the correlation between low-level image features and high-level concepts. Given the error-prone nature of log data, we present a novel learning technique, named Soft Label Support Vector Machine, to tackle the noisy data problem. Extensive experiments are designed and conducted to evaluate the proposed algorithms based on the COREL image data set. The promising experimental results validate the effectiveness of our log-based relevance feedback scheme empirically. [ABSTRACT FROM AUTHOR]