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Massive samples of event sequences data occur in various domains, including e-commerce, healthcare, and finance. There are two main challenges regarding inference of such data: computational and methodological. The amount of available data and the length of event sequences per client are typically large, thus it requires long-term modelling. Moreover, this data is often sparse and non-uniform, making classic approaches for time series processing inapplicable. Existing solutions include recurrent and transformer architectures in such cases. To allow continuous time, the authors introduce specific parametric intensity functions defined at each moment on top of existing models. Due to the parametric nature, these intensities represent only a limited class of event sequences. We propose the COTIC method based on a continuous convolution neural network suitable for non-uniform occurrence of events in time. In COTIC, dilations and multi-layer architecture efficiently handle dependencies between events. Furthermore, the model provides general intensity dynamics in continuous time - including self-excitement encountered in practice. The COTIC model outperforms existing approaches on majority of the considered datasets, producing embeddings for an event sequence that can be used to solve downstream tasks - e.g. predicting next event type and return time. The code of the proposed method can be found in the GitHub repository (https://github.com/VladislavZh/COTIC)., Comment: 9 pages, 3 figures

Given a graph $G=(V,E)$ with costs on its edges, the minimum-cost edge cover problem consists of finding a subset of $E$ covering all vertices in $V$ at minimum cost. If $G$ is bipartite, this problem can be solved in time $O(|V|^3)$ via a well-known reduction to a maximum-cost matching problem on $G$. If in addition $V$ is a set of points on the Euclidean line, Collanino et al. showed that the problem can be solved in time $O(|V| \log |V|)$ and asked whether it can be solved in time $o(|V|^3)$ if $V$ is a set of points on the Euclidean plane. We answer this in the affirmative, giving an $O(|V|^{2.5} \log |V|)$ algorithm based on the Hungarian method using weighted Voronoi diagrams. We also propose some 2-approximation algorithms and give experimental results of our implementations., Comment: Shortly after the submission to arXiv, we found that the main result was surpassed by recent results from other authors

Modelling and simulation of complex systems is key to exploring and understanding social processes, benefiting from formal mechanisms to derive global-level properties from local-level interactions. In this paper we extend the body of knowledge on formal methods in complex systems by applying EB-DEVS, a novel formalism tailored for the modelling, simulation and live identification of emergent properties. We guide the reader through the implementation of different classical models for varied social systems to introduce good modelling practices and showcase the advantages and limitations of modelling emergence with EB-DEVS, in particular through its live emergence detection capability. This work provides case study-driven evidence for the neatness and compactness of the approach to modelling communication structures that can be explicit or implicit, static or dynamic, with or without multilevel interactions, and with weak or strong emergent behaviour. Throughout examples we show that EB-DEVS permits conceptualising the analysed societies by incorporating emergent behaviour when required, namely by integrating as a macro-level aggregate the Gini index in the Sugarscape model, Fads and Fashion in the Dissemination of Culture model, size-biased degree distribution in a Preferential Attachment model, happiness index in the Segregation model and quarantines in the SIR epidemic model. In each example we discuss the role of communication structures in the development of multilevel simulation models, and illustrate how micro-macro feedback loops enable the modelling of macro-level properties. Our results stress the relevance of multilevel features to support a robust approach in the modelling and simulation of complex systems.

Agricultural systems experience land-use changes that are driven by population growth and intensification of technological inputs. This results in land-use and cover change (LUCC) dynamics representing a complex landscape transformation process. In order to study the LUCC process we developed a spatially explicit agent-based model in the form of a Cellular Automata implemented with the Cell-DEVS formalism. The resulting model called AgroDEVS is used for predicting LUCC dynamics along with their associated economic and environmental changes. AgroDEVS is structured using behavioral rules and functions representing a) crop yields, b) weather conditions, c) economic profit, d) farmer preferences, e) technology level adoption and f) natural resources consumption based on embodied energy accounting. Using data from a typical location of the Pampa region (Argentina) for the 1988-2015 period, simulation exercises showed that the economic goals were achieved, on average, each 6 out of 10 years, but the environmental thresholds were only achieved in 1.9 out of 10 years. In a set of 50-years simulations, LUCC patterns quickly converge towards the most profitable crop sequences, with no noticeable tradeoff between the economic and environmental conditions.

Machine learning models using transaction records as inputs are popular among financial institutions. The most efficient models use deep-learning architectures similar to those in the NLP community, posing a challenge due to their tremendous number of parameters and limited robustness. In particular, deep-learning models are vulnerable to adversarial attacks: a little change in the input harms the model's output. In this work, we examine adversarial attacks on transaction records data and defences from these attacks. The transaction records data have a different structure than the canonical NLP or time series data, as neighbouring records are less connected than words in sentences, and each record consists of both discrete merchant code and continuous transaction amount. We consider a black-box attack scenario, where the attack doesn't know the true decision model, and pay special attention to adding transaction tokens to the end of a sequence. These limitations provide more realistic scenario, previously unexplored in NLP world. The proposed adversarial attacks and the respective defences demonstrate remarkable performance using relevant datasets from the financial industry. Our results show that a couple of generated transactions are sufficient to fool a deep-learning model. Further, we improve model robustness via adversarial training or separate adversarial examples detection. This work shows that embedding protection from adversarial attacks improves model robustness, allowing a wider adoption of deep models for transaction records in banking and finance.

Cohort analysis is a pervasive activity in web analytics. One divides users into groups according to specific criteria and tracks their behavior over time. Despite its extensive use, academic circles do not discuss cohort analysis to evaluate user behavior online. This work introduces an unsupervised non-parametric approach to group Internet users based on their activities. In comparison, canonical methods in marketing and engineering-based techniques underperform. COHORTNEY is the first machine learning-based cohort analysis algorithm with a robust theoretical explanation., Comment: 18 pages

This work is devoted to a comprehensive analysis of topological data analysis fortime series classification. Previous works have significant shortcomings, such aslack of large-scale benchmarking or missing state-of-the-art methods. In this work,we propose TOTOPO for extracting topological descriptors from different types ofpersistence diagrams. The results suggest that TOTOPO significantly outperformsexisting baselines in terms of accuracy. TOTOPO is also competitive with thestate-of-the-art, being the best on 20% of univariate and 40% of multivariate timeseries datasets. This work validates the hypothesis that TDA-based approaches arerobust to small perturbations in data and are useful for cases where periodicity andshape help discriminate between classes.

Emergent behavior is a key feature defining a system under study as a complex system. Simulation has been recognized as the only way to deal with the study of the emergency of properties (at a macroscopic level) among groups of system components (at a microscopic level), for the manifestations of emergent structures cannot be deduced from analysing components in isolation. A systems-oriented generalisation must consider the presence of feedback loops (micro components react to macro properties), interaction among components of different classes (modular composition) and layered interaction of subsystems operating at different spatio-temporal scales (hierarchical organisation). In this work we introduce Emergent Behavior-DEVS (EB-DEVS) a Modeling and Simulation (M&S) formalism that permits reasoning about complex systems where emergent behavior is placed at the forefront of the analysis activity. EB-DEVS builds on the DEVS formalism, adding upward/downward communication channels to well-established capabilities for modular and hierarchical M&S of heterogeneous multi-formalism systems. EB-DEVS takes a minimalist stance on expressiveness, introducing a small set of extensions on Classic DEVS that can cope with emergent behavior, and making both formalisms interoperable (the modeler decides which subsystems deserve to be expressed via micro-macro dynamics). We present three case studies: flocks of birds with learning, population epidemics with vaccination and sub-cellular dynamics with homeostasis, through which we showcase how EB-DEVS performs by placing emergent properties at the center of the M&S process., Comment: 38 page document with: original content 25 pages, references 3 pages, appendices 10 pages

This research article suggests that there are significant benefits in exposing demand planners to forecasting methods using matrix completion techniques. This study aims to contribute to a better understanding of the field of forecasting with multivariate time series prediction by focusing on the dimension of large commercial data sets with hierarchies. This research highlights that there has neither been sufficient academic research in this sub-field nor dissemination among practitioners in the business sector. This study seeks to innovate by presenting a matrix completion method for short-term demand forecast of time series data on relevant commercial problems. Albeit computing intensive, this method outperforms the state of the art while remaining accessible to business users. The object of research is matrix completion for time series in a big data context within the industry. The subject of the research is forecasting product demand using techniques for multivariate hierarchical time series prediction that are both precise and accessible to non-technical business experts. Apart from a methodological innovation, this research seeks to introduce practitioners to novel methods for hierarchical multivariate time series prediction. The research outcome is of interest for organizations requiring precise forecasts yet lacking the appropriate human capital to develop them., Comment: Journal of Physics: Conference Series, 2018

Topological Data Analysis (TDA) is a recent approach to analyze data sets from the perspective of their topological structure. Its use for time series data has been limited. In this work, a system developed for a leading provider of cloud computing combining both user segmentation and demand forecasting is presented. It consists of a TDA-based clustering method for time series inspired by a popular managerial framework for customer segmentation and extended to the case of clusterwise regression using matrix factorization methods to forecast demand. Increasing customer loyalty and producing accurate forecasts remain active topics of discussion both for researchers and managers. Using a public and a novel proprietary data set of commercial data, this research shows that the proposed system enables analysts to both cluster their user base and plan demand at a granular level with significantly higher accuracy than a state of the art baseline. This work thus seeks to introduce TDA-based clustering of time series and clusterwise regression with matrix factorization methods as viable tools for the practitioner.

Time series prediction aims to predict future values to help stakeholders make proper strategic decisions. This problem is relevant in all industries and areas, ranging from financial data to demand to forecast. However, it remains challenging for practitioners to select the appropriate model to use for forecasting tasks. With this in mind, we present a model architecture based on Graph Neural Networks to provide model recommendations for time series forecasting. We validate our approach on three relevant datasets and compare it against more than sixteen techniques. Our study shows that the proposed method performs better than target baselines and state of the art, including meta-learning. The results show the relevancy and suitability of GNN as methods for model recommendations in time series forecasting.

Recommender systems have become an essential instrument in a wide range of industries to personalize the user experience. A significant issue that has captured both researchers' and industry experts' attention is the cold start problem for new items. In this work, we present a graph neural network recommender system using item hierarchy graphs and a bespoke architecture to handle the cold start case for items. The experimental study on multiple datasets and millions of users and interactions indicates that our method achieves better forecasting quality than the state-of-the-art with a comparable computational time., Comment: V2 with multiple changes

Portfolio management is essential for any investment decision. Yet, traditional methods in the literature are ill-suited for the characteristics and dynamics of cryptocurrencies. This work presents a method to build an investment portfolio consisting of more than 1500 cryptocurrencies covering 6 years of market data. It is centred around Topological Data Analysis (TDA), a recent approach to analyze data sets from the perspective of their topological structure. This publication proposes a system combining persistence landscapes to identify suitable investment opportunities in cryptocurrencies. Using a novel and comprehensive data set of cryptocurrency prices, this research shows that the proposed system enables analysts to outperform a classic method from the literature without requiring any feature engineering or domain knowledge in TDA. This work thus introduces TDA-based portfolio management of cryptocurrencies as a viable tool for the practitioner.

Demand forecasting of hierarchical components is essential in manufacturing. However, its discussion in the machine-learning literature has been limited, and judgemental forecasts remain pervasive in the industry. Demand planners require easy-to-understand tools capable of delivering state-of-the-art results. This work presents an industry case of demand forecasting at one of the largest manufacturers of electronics in the world. It seeks to support practitioners with five contributions: (1) A benchmark of fourteen demand forecast methods applied to a relevant data set, (2) A data transformation technique yielding comparable results with state of the art, (3) An alternative to ARIMA based on matrix factorization, (4) A model selection technique based on topological data analysis for time series and (5) A novel data set. Organizations seeking to up-skill existing personnel and increase forecast accuracy will find value in this work.

This work proposes DeepFolio, a new model for deep portfolio management based on data from limit order books (LOB). DeepFolio solves problems found in the state-of-the-art for LOB data to predict price movements. Our evaluation consists of two scenarios using a large dataset of millions of time series. The improvements deliver superior results both in cases of abundant as well as scarce data. The experiments show that DeepFolio outperforms the state-of-the-art on the benchmark FI-2010 LOB. Further, we use DeepFolio for optimal portfolio allocation of crypto-assets with rebalancing. For this purpose, we use two loss-functions - Sharpe ratio loss and minimum volatility risk. We show that DeepFolio outperforms widely used portfolio allocation techniques in the literature.

This work presents retQSS, a novel methodology for efficient modeling and simulation of particle systems in reticulated meshed geometries. On the simulation side, retQSS profits from the discrete-event nature of Quantized State System (QSS) methods, which enable efficient particle tracking algorithms that are agnostic of the application domain. On the modeling side, retQSS relies on the standardized Modelica modeling language, yielding compact and elegant specifications of hybrid (continuous/discrete) dynamic systems. Combined together, these features offer a sound, general-purpose framework for modeling and simulation of particle systems. We show how the state-events that arise when particles interact with a reticulated mesh are seamlessly translated into easily tractable time-events. The latter can substantially improve simulation performance in scenarios where discontinuities dominate the computational demand. We showcase the flexibility of our approach by addressing four case studies arising from different application domains. Performance studies revealed that retQSS can perform similarly to, and even outperform, well-known domain-specific particle simulation toolkits while offering a clear and sound accuracy control interface., Comment: Accepted for publication in Computer Physics Communications

This work presents novel discrete event-based simulation algorithms based on the Quantized State System (QSS) numerical methods. QSS provides attractive features for particle transportation processes, in particular a very efficient handling of discontinuities in the simulation of continuous systems. We focus on High Energy Physics (HEP) particle tracking applications that typically rely on discrete time-based methods, and study the advantages of adopting a discrete event-based numerical approach that resolves efficiently the crossing of geometry boundaries by a traveling particle. For this purpose we follow two complementary strategies. First, a new co-simulation technique connects the Geant4 simulation toolkit with a standalone QSS solver. Second, a new native QSS numerical stepper is embedded into Geant4. We compare both approaches against the latest Geant4 default steppers in different HEP setups, including a complex real scenario (the CMS particle detector at CERN). Our techniques achieve relevant simulation speedups in a wide range of scenarios, particularly when the intensity of discrete-event handling dominates performance in the solving of the continuous laws of particle motion., Comment: Accepted for publication in Computer Physics Communications

Topological Data Analysis (TDA) is a recent approach to analyze data sets from the perspective of their topological structure. Its use for time series data has been limited to the field of financial time series primarily and as a method for feature generation in machine learning applications. In this work, TDA is presented as a technique to gain additional understanding of the customers' loyalty for business-to-business customer relationship management. Increasing loyalty and strengthening relationships with key accounts remain an active topic of discussion both for researchers and managers. Using two public and two proprietary data sets of commercial data, this research shows that the technique enables analysts to better understand their customer base and identify prospective opportunities. In addition, the approach can be used as a clustering method to increase the accuracy of a predictive model for loyalty scoring. This work thus seeks to introduce TDA as a viable tool for data analysis to the quantitate marketing practitioner., Comment: 9 pages, 2 figures, 1 table

Build-to-order (BTO) supply chains have become common-place in industries such as electronics, automotive and fashion. They enable building products based on individual requirements with a short lead time and minimum inventory and production costs. Due to their nature, they differ significantly from traditional supply chains. However, there have not been studies dedicated to demand forecasting methods for this type of setting. This work makes two contributions. First, it presents a new and unique data set from a manufacturer in the BTO sector. Second, it proposes a novel data transformation technique for demand forecasting of BTO products. Results from thirteen forecasting methods show that the approach compares well to the state-of-the-art while being easy to implement and to explain to decision-makers., Comment: 10 pages, 2 figures