Xiaoyu Chen

Chuheng Zhang, Yitong Duan, Xiaoyu Chen et al.

Optimized trade execution is to sell (or buy) a given amount of assets in a given time with the lowest possible trading cost. Recently, reinforcement learning (RL) has been applied to optimized trade execution to learn smarter policies from market data. However, we find that many existing RL methods exhibit considerable overfitting which prevents them from real deployment. In this paper, we provide an extensive study on the overfitting problem in optimized trade execution. First, we model the optimized trade execution as offline RL with dynamic context (ORDC), where the context represents market variables that cannot be influenced by the trading policy and are collected in an offline manner. Under this framework, we derive the generalization bound and find that the overfitting issue is caused by large context space and limited context samples in the offline setting. Accordingly, we propose to learn compact representations for context to address the overfitting problem, either by leveraging prior knowledge or in an end-to-end manner. To evaluate our algorithms, we also implement a carefully designed simulator based on historical limit order book (LOB) data to provide a high-fidelity benchmark for different algorithms. Our experiments on the high-fidelity simulator demonstrate that our algorithms can effectively alleviate overfitting and achieve better performance.

Xiaoyu Chen, Chi Zhang, Guosheng Lin et al.

Point cloud segmentation is a fundamental visual understanding task in 3D vision. A fully supervised point cloud segmentation network often requires a large amount of data with point-wise annotations, which is expensive to obtain. In this work, we present the Compositional Prototype Network that can undertake point cloud segmentation with only a few labeled training data. Inspired by the few-shot learning literature in images, our network directly transfers label information from the limited training data to unlabeled test data for prediction. The network decomposes the representations of complex point cloud data into a set of local regional representations and utilizes them to calculate the compositional prototypes of a visual concept. Our network includes a key Multi-View Comparison Component that exploits the redundant views of the support set. To evaluate the proposed method, we create a new segmentation benchmark dataset, ScanNet-$6^i$, which is built upon ScanNet dataset. Extensive experiments show that our method outperforms baselines with a significant advantage. Moreover, when we use our network to handle the long-tail problem in a fully supervised point cloud segmentation dataset, it can also effectively boost the performance of the few-shot classes.