Rebuilding the limit order book: Sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world's most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges. © 2013 © 2013 Taylor & Francis.

On-line policy optimisation of Bayesian spoken dialogue systems via human interaction

A partially observable Markov decision process has been proposed as a dialogue model that enables robustness to speech recognition errors and automatic policy optimisation using reinforcement learning (RL). However, conventional RL algorithms require a very large number of dialogues, necessitating a user simulator. Recently, Gaussian processes have been shown to substantially speed up the optimisation, making it possible to learn directly from interaction with human users. However, early studies have been limited to very low dimensional spaces and the learning has exhibited convergence problems. Here we investigate learning from human interaction using the Bayesian Update of Dialogue State system. This dynamic Bayesian network based system has an optimisation space covering more than one hundred features, allowing a wide range of behaviours to be learned. Using an improved policy model and a more robust reward function, we show that stable learning can be achieved that significantly outperforms a simulator trained policy. © 2013 IEEE.

Automatic construction and natural-language description of nonparametric regression models

Copyright © 2014, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved. This paper presents the beginnings of an automatic statistician, focusing on regression problems. Our system explores an open-ended space of statistical models to discover a good explanation of a data set, and then produces a detailed report with figures and natural- language text. Our approach treats unknown regression functions non- parametrically using Gaussian processes, which has two important consequences. First, Gaussian processes can model functions in terms of high-level properties (e.g. smoothness, trends, periodicity, changepoints). Taken together with the compositional structure of our language of models this allows us to automatically describe functions in simple terms. Second, the use of flexible nonparametric models and a rich language for composing them in an open-ended manner also results in state- of-the-art extrapolation performance evaluated over 13 real time series data sets from various domains.

Bayesian mixed models and divergence time estimation of Chinese cavefishes (Cyprinidae : Sinocyclocheilus)

The genus Sinocyclocheilus is distributed in Yun-Gui Plateau and its surrounding region only, within more than 10 cave species showing different degrees of degeneration of eyes and pigmentation with wonderful adaptations. To present, published morphological and molecular phylogenetic hypotheses of Sinocyclocheilus from prior works are very different and the relationships within the genus are still far from clear. We obtained the sequences of cytochrome b (cyt b) and NADH dehydrogenase subunit 4 (ND4) of 34 species within Sinocyclocheilus, which represent the most dense taxon sampling to date. We performed Bayesian mixed models analyses with this data set. Under this phylogenetic framework, we estimated the divergence times of recovered clades using different methods under relaxed molecular clock. Our phyloegentic results supported the monophyly of Sinocyclocheilus and showed that this genus could be subdivided into 6 major clades. In addition, an earlier finding demonstrating the polyphyletic of cave species and the most basal position of S. jii was corroborated. Relaxed divergence-time estimation suggested that Sinocyclocheilus originated at the late Miocene, about 11 million years ago (Ma), which is older than what have been assumed.

Biogeography and molecular phylogeny of the genus Schizothorax (Teleostei : Cyprinidae) in China inferred from cytochrome b sequences

Aim: To test a vicariant speciation hypothesis derived from geological evidence of large-scale changes in drainage patterns in the late Miocene that affected the drainages in the south-eastern Tibetan Plateau. Location: The Tibetan Plateau and adjacent areas. Methods: The cytochrome b DNA sequences of 30 species of the genus Schizothorax from nine different river systems were analysed. These DNA sequences were analysed using parsimony, maximum likelihood and Bayesian methods. The approximately unbiased and Shimodaira-Hasegawa tests were applied to evaluate the statistical significance of the shortest trees relative to alternative hypotheses. Dates of divergences between lineages were estimated using the nonparametric rate smoothing method, and confidence intervals of dates were obtained by parametric bootstrapping. Results: The phylogenetic relationships recovered from molecular data were inconsistent with traditional taxonomy, but apparently reflected geographical associations with rivers. Within the genus Schizothorax, we observed a divergence between the lineages from the Irrawaddy-Lhuit and Tsangpo-Parlung rivers, and tentatively dated this vicariant event back to the late Miocene (7.3-6.8 Ma). We also observed approximately simultaneous geographical splits within drainages of the south-eastern Tibetan Plateau, the Irrawaddy, the Yangtze and the Mekong-Salween rivers in the late Miocene (7.1-6.2 Ma). Main conclusions: Our molecular evidence tentatively highlights the importance of palaeoriver connections and the uplift of the Tibetan Plateau in understanding the evolution of the genus Schizothorax. Molecular estimates of divergence times allowed us to date these vicariant scenarios back to the late Miocene, which agrees with geological suggestions for the separation of these drainages caused by tectonic uplift in south-eastern Tibet. Our results indicated the substantial role of vicariant-based speciation in shaping the current distribution pattern of the genus Schizothorax.

Single camera pose estimation using Bayesian filtering and Kinect motion priors

Traditional approaches to upper body pose estimation using monocular vision rely on complex body models and a large variety of geometric constraints. We argue that this is not ideal and somewhat inelegant as it results in large processing burdens, and instead attempt to incorporate these constraints through priors obtained directly from training data. A prior distribution covering the probability of a human pose occurring is used to incorporate likely human poses. This distribution is obtained offline, by fitting a Gaussian mixture model to a large dataset of recorded human body poses, tracked using a Kinect sensor. We combine this prior information with a random walk transition model to obtain an upper body model, suitable for use within a recursive Bayesian filtering framework. Our model can be viewed as a mixture of discrete Ornstein-Uhlenbeck processes, in that states behave as random walks, but drift towards a set of typically observed poses. This model is combined with measurements of the human head and hand positions, using recursive Bayesian estimation to incorporate temporal information. Measurements are obtained using face detection and a simple skin colour hand detector, trained using the detected face. The suggested model is designed with analytical tractability in mind and we show that the pose tracking can be Rao-Blackwellised using the mixture Kalman filter, allowing for computational efficiency while still incorporating bio-mechanical properties of the upper body. In addition, the use of the proposed upper body model allows reliable three-dimensional pose estimates to be obtained indirectly for a number of joints that are often difficult to detect using traditional object recognition strategies. Comparisons with Kinect sensor results and the state of the art in 2D pose estimation highlight the efficacy of the proposed approach.

Bayesian inference of plastosphere viscosities near the Kunlun Fault, northern Tibet

IEECAS SKLLQG

On the Dirichlet Prior and Bayesian Regularization

A common objective in learning a model from data is to recover its network structure, while the model parameters are of minor interest. For example, we may wish to recover regulatory networks from high-throughput data sources. In this paper we examine how Bayesian regularization using a Dirichlet prior over the model parameters affects the learned model structure in a domain with discrete variables. Surprisingly, a weak prior in the sense of smaller equivalent sample size leads to a strong regularization of the model structure (sparse graph) given a sufficiently large data set. In particular, the empty graph is obtained in the limit of a vanishing strength of prior belief. This is diametrically opposite to what one may expect in this limit, namely the complete graph from an (unregularized) maximum likelihood estimate. Since the prior affects the parameters as expected, the prior strength balances a "trade-off" between regularizing the parameters or the structure of the model. We demonstrate the benefits of optimizing this trade-off in the sense of predictive accuracy.

An in silico approach for screening flavonoids as P-glycoprotein inhibitors based on a Bayesian-regularized neural network

P-glycoprotein (P-gp), an ATP-binding cassette (ABC) transporter, functions as a biological barrier by extruding cytotoxic agents out of cells, resulting in an obstacle in chemotherapeutic treatment of cancer. In order to aid in the development of potential P-gp inhibitors, we constructed a quantitative structure-activity relationship (QSAR) model of flavonoids as P-gp inhibitors based on Bayesian-regularized neural network (BRNN). A dataset of 57 flavonoids collected from a literature binding to the C-terminal nucleotide-binding domain of mouse P-gp was compiled. The predictive ability of the model was assessed using a test set that was independent of the training set, which showed a standard error of prediction of 0.146 +/- 0.006 (data scaled from 0 to 1). Meanwhile, two other mathematical tools, back-propagation neural network (BPNN) and partial least squares (PLS) were also attempted to build QSAR models. The BRNN provided slightly better results for the test set compared to BPNN, but the difference was not significant according to F-statistic at p = 0.05. The PLS failed to build a reliable model in the present study. Our study indicates that the BRNN-based in silico model has good potential in facilitating the prediction of P-gp flavonoid inhibitors and might be applied in further drug design.

Methods to accelerate the learning of bayesian network structures

R. Daly and Q. Shen. Methods to accelerate the learning of bayesian network structures. Proceedings of the Proceedings of the 2007 UK Workshop on Computational Intelligence.

Speeding up the learning of equivalence classes of Bayesian network structures

R. Daly, Q. Shen and S. Aitken. Speeding up the learning of equivalence classes of Bayesian network structures. Proceedings of the 10th International Conference on Artificial Intelligence and Soft Computing, pages 34-39.

Using ant colony optimisation in learning Bayesian network equivalence classes

R. Daly, Q. Shen and S. Aitken. Using ant colony optimisation in learning Bayesian network equivalence classes. Proceedings of the 2006 UK Workshop on Computational Intelligence, pages 111-118.