Sungchul Hong

Sungchul Hong, Yunjin Choi, Jong-June Jeon

Accurate forecasting of river water levels is vital for effectively managing traffic flow and mitigating the risks associated with natural disasters. This task presents challenges due to the intricate factors influencing the flow of a river. Recent advances in machine learning have introduced numerous effective forecasting methods. However, these methods lack interpretability due to their complex structure, resulting in limited reliability. Addressing this issue, this study proposes a deep learning model that quantifies interpretability, with an emphasis on water level forecasting. This model focuses on generating quantitative interpretability measurements, which align with the common knowledge embedded in the input data. This is facilitated by the utilization of a transformer architecture that is purposefully designed with masking, incorporating a multi-layer network that captures spatiotemporal causation. We perform a comparative analysis on the Han River dataset obtained from Seoul, South Korea, from 2016 to 2021. The results illustrate that our approach offers enhanced interpretability consistent with common knowledge, outperforming competing methods and also enhances robustness against distribution shift.

Sungchul Hong, Jong-June Jeon

The optimal allocation of assets has been widely discussed with the theoretical analysis of risk measures, and pessimism is one of the most attractive approaches beyond the conventional optimal portfolio model. The $α$-risk plays a crucial role in deriving a broad class of pessimistic optimal portfolios. However, estimating an optimal portfolio assessed by a pessimistic risk is still challenging due to the absence of a computationally tractable model. In this study, we propose an integral of $α$-risk called the \textit{uniform pessimistic risk} and the computational algorithm to obtain an optimal portfolio based on the risk. Further, we investigate the theoretical properties of the proposed risk in view of three different approaches: multiple quantile regression, the proper scoring rule, and distributionally robust optimization. Real data analysis of three stock datasets (S\&P500, CSI500, KOSPI200) demonstrates the usefulness of the proposed risk and portfolio model.

Jaesung Park, Sungchul Hong, Yoonseo Cho et al.

Sea ice at the North Pole is vital to global climate dynamics. However, accurately forecasting sea ice poses a significant challenge due to the intricate interaction among multiple variables. Leveraging the capability to integrate multiple inputs and powerful performances seamlessly, many studies have turned to neural networks for sea ice forecasting. This paper introduces a novel deep architecture named Unicorn, designed to forecast weekly sea ice. Our model integrates multiple time series images within its architecture to enhance its forecasting performance. Moreover, we incorporate a bottleneck layer within the U-Net architecture, serving as neural ordinary differential equations with convolution operations, to capture the spatiotemporal dynamics of latent variables. Through real data analysis with datasets spanning from 1998 to 2021, our proposed model demonstrates significant improvements over state-of-the-art models in the sea ice concentration forecasting task. It achieves an average MAE improvement of 12% compared to benchmark models. Additionally, our method outperforms existing approaches in sea ice extent forecasting, achieving a classification performance improvement of approximately 18%. These experimental results show the superiority of our proposed model.

Seunghwan An, Sungchul Hong, Jong-June Jeon

In the process of training a generative model, it becomes essential to measure the discrepancy between two high-dimensional probability distributions: the generative distribution and the ground-truth distribution of the observed dataset. Recently, there has been growing interest in an approach that involves slicing high-dimensional distributions, with the Cramer-Wold distance emerging as a promising method. However, we have identified that the Cramer-Wold distance primarily focuses on joint distributional learning, whereas understanding marginal distributional patterns is crucial for effective synthetic data generation. In this paper, we introduce a novel measure of dissimilarity, the mixture Cramer-Wold distance. This measure enables us to capture both marginal and joint distributional information simultaneously, as it incorporates a mixture measure with point masses on standard basis vectors. Building upon the mixture Cramer-Wold distance, we propose a new generative model called CWDAE (Cramer-Wold Distributional AutoEncoder), which shows remarkable performance in generating synthetic data when applied to real tabular datasets. Furthermore, our model offers the flexibility to adjust the level of data privacy with ease.