Ke Lü

Ziye Yang, Ke Lu, Yang Wang et al.

Modern portfolio construction demands robust methods for integrating data-driven insights into asset allocation. The Black-Litterman model offers a powerful Bayesian approach to adjust equilibrium returns using investor views to form a posterior expectation along with market priors. Mainstream research mainly generates subjective views through statistical models or machine learning methods, among which hybrid models combined with decomposition algorithms perform well. However, most hybrid models do not pay enough attention to noise, and time series decomposition methods based on single variables make it difficult to fully utilize information between multiple variables. Multivariate decomposition also has problems of low efficiency and poor component quality. In this study, we propose a novel hybrid forecasting model SSA-MAEMD-TCN to automate and improve the view generation process. The proposed model combines Singular Spectrum Analysis (SSA) for denoising, Multivariate Aligned Empirical Mode Decomposition (MA-EMD) for frequency-aligned decomposition, and Temporal Convolutional Networks (TCNs) for deep sequence learning to capture complex temporal patterns across multiple financial indicators. Empirical tests on the Nasdaq 100 Index stocks show a significant improvement in forecasting performance compared to baseline models based on MAEMD and MEMD. The optimized portfolio performs well, with annualized returns and Sharpe ratios far exceeding those of the traditional portfolio over a short holding period, even after accounting for transaction costs.

Wei Gan, Jian Xue, Ke Lu et al.

Nearly all existing Facial Action Coding System-based datasets that include facial action unit (AU) intensity information annotate the intensity values hierarchically using A--E levels. However, facial expressions change continuously and shift smoothly from one state to another. Therefore, it is more effective to regress the intensity value of local facial AUs to represent whole facial expression changes, particularly in the fields of expression transfer and facial animation. We introduce an extension of FEAFA in combination with the relabeled DISFA database, which is available at https://www.iiplab.net/feafa+/ now. Extended FEAFA (FEAFA+) includes 150 video sequences from FEAFA and DISFA, with a total of 230,184 frames being manually annotated on floating-point intensity value of 24 redefined AUs using the Expression Quantitative Tool. We also list crude numerical results for posed and spontaneous subsets and provide a baseline comparison for the AU intensity regression task.

Ji Gan, Weiqiang Wang, Ke Lu

Chinese is one of the most widely used languages in the world, yet online handwritten Chinese character recognition (OLHCCR) remains challenging. To recognize Chinese characters, one popular choice is to adopt the 2D convolutional neural network (2D-CNN) on the extracted feature images, and another one is to employ the recurrent neural network (RNN) or 1D-CNN on the time-series features. Instead of viewing characters as either static images or temporal trajectories, here we propose to represent characters as geometric graphs, retaining both spatial structures and temporal orders. Accordingly, we propose a novel spatial graph convolution network (SGCN) to effectively classify those character graphs for the first time. Specifically, our SGCN incorporates the local neighbourhood information via spatial graph convolutions and further learns the global shape properties with a hierarchical residual structure. Experiments on IAHCC-UCAS2016, ICDAR-2013, and UNIPEN datasets demonstrate that the SGCN can achieve comparable recognition performance with the state-of-the-art methods for character recognition.

Yanfu Yan, Ke Lu, Jian Xue et al.

Facial expression analysis based on machine learning requires large number of well-annotated data to reflect different changes in facial motion. Publicly available datasets truly help to accelerate research in this area by providing a benchmark resource, but all of these datasets, to the best of our knowledge, are limited to rough annotations for action units, including only their absence, presence, or a five-level intensity according to the Facial Action Coding System. To meet the need for videos labeled in great detail, we present a well-annotated dataset named FEAFA for Facial Expression Analysis and 3D Facial Animation. One hundred and twenty-two participants, including children, young adults and elderly people, were recorded in real-world conditions. In addition, 99,356 frames were manually labeled using Expression Quantitative Tool developed by us to quantify 9 symmetrical FACS action units, 10 asymmetrical (unilateral) FACS action units, 2 symmetrical FACS action descriptors and 2 asymmetrical FACS action descriptors, and each action unit or action descriptor is well-annotated with a floating point number between 0 and 1. To provide a baseline for use in future research, a benchmark for the regression of action unit values based on Convolutional Neural Networks are presented. We also demonstrate the potential of our FEAFA dataset for 3D facial animation. Almost all state-of-the-art algorithms for facial animation are achieved based on 3D face reconstruction. We hence propose a novel method that drives virtual characters only based on action unit value regression of the 2D video frames of source actors.

W. Liu, H. Zhang, D. Tao et al.

Principal component analysis (PCA) is a statistical technique commonly used in multivariate data analysis. However, PCA can be difficult to interpret and explain since the principal components (PCs) are linear combinations of the original variables. Sparse PCA (SPCA) aims to balance statistical fidelity and interpretability by approximating sparse PCs whose projections capture the maximal variance of original data. In this paper we present an efficient and paralleled method of SPCA using graphics processing units (GPUs), which can process large blocks of data in parallel. Specifically, we construct parallel implementations of the four optimization formulations of the generalized power method of SPCA (GP-SPCA), one of the most efficient and effective SPCA approaches, on a GPU. The parallel GPU implementation of GP-SPCA (using CUBLAS) is up to eleven times faster than the corresponding CPU implementation (using CBLAS), and up to 107 times faster than a MatLab implementation. Extensive comparative experiments in several real-world datasets confirm that SPCA offers a practical advantage.

W. Liu, H. Liu, D. Tao et al.

With the rapid advance of Internet technology and smart devices, users often need to manage large amounts of multimedia information using smart devices, such as personal image and video accessing and browsing. These requirements heavily rely on the success of image (video) annotation, and thus large scale image annotation through innovative machine learning methods has attracted intensive attention in recent years. One representative work is support vector machine (SVM). Although it works well in binary classification, SVM has a non-smooth loss function and can not naturally cover multi-class case. In this paper, we propose manifold regularized kernel logistic regression (KLR) for web image annotation. Compared to SVM, KLR has the following advantages: (1) the KLR has a smooth loss function; (2) the KLR produces an explicit estimate of the probability instead of class label; and (3) the KLR can naturally be generalized to the multi-class case. We carefully conduct experiments on MIR FLICKR dataset and demonstrate the effectiveness of manifold regularized kernel logistic regression for image annotation.