Research into the classification of time series has made enormous progress in the last decade. The UCR time series archive has played a significant role in challenging and guiding the development of new learners for time series classification. The largest dataset in the UCR archive holds 10 thousand time series only; which may explain why the primary research focus has been on creating algorithms that have high accuracy on relatively small datasets.This paper introduces Proximity Forest, an algorithm that learns accurate models from datasets with millions of time series, and classifies a time series in milliseconds. The models are ensembles of highly randomized Proximity Trees. Whereas conventional decision trees branch on attribute values (and usually perform poorly on time series), Proximity Trees branch on the proximity of time series to one exemplar time series or another; allowing us to leverage the decades of work into developing relevant measures for time series. Proximity Forest gains both efficiency and accuracy by stochastic selection of both exemplars and similarity measures.Our work is motivated by recent time series applications that provide orders of magnitude more time series than the UCR benchmarks. Our experiments demonstrate that Proximity Forest is highly competitive on the UCR archive: it ranks among the most accurate classifiers while being significantly faster. We demonstrate on a 1M time series Earth observation dataset that Proximity Forest retains this accuracy on datasets that are many orders of magnitude greater than those in the UCR repository, while learning its models at least 100,000 times faster than current state of the art models Elastic Ensemble and COTE.

Financial risk management avoids losses and maximizes profits, and hence is vital to most businesses. As the task relies heavily on information-driven decision making, machine learning is a promising source for new methods and technologies. In recent years, we have seen increasing adoption of machine learning methods for various risk management tasks. Machine-learning researchers, however, often struggle to navigate the vast and complex domain knowledge and the fast-evolving literature. This paper fills this gap, by providing a systematic survey of the rapidly growing literature of machine learning research for financial risk management. The contributions of the paper are four-folds: First, we present a taxonomy of financial-risk-management tasks and connect them with relevant machine learning methods. Secondly, we highlight significant publications in the past decade. Thirdly, we identify major challenges being faced by researchers in this area. And finally, we point out emerging trends and promising research directions.

Abstract-We propose an alternative parameterization of Logistic Regression (LR) for the categorical data, multi-class setting. LR optimizes the conditional log-likelihood over the training data and is based on an iterative optimization procedure to tune this objective function. The optimization procedure employed may be sensitive to scale and hence an effective pre-conditioning method is recommended. Many problems in machine learning involve arbitrary scales or categorical data (where simple standardization of features is not applicable). The problem can be alleviated by using optimization routines that are invariant to scale such as (second-order) Newton methods. However, computing and inverting the Hessian is a costly procedure and not feasible for big data. Thus one must often rely on first-order methods such as gradient descent (GD), stochastic gradient descent (SGD) or approximate secondorder such as quasi-Newton (QN) routines, which are not invariant to scale. This paper proposes a simple yet effective pre-conditioner for speeding-up LR based on naive Bayes conditional probability estimates. The idea is to scale each attribute by the log of the conditional probability of that attribute given the class. This formulation substantially speedsup LR's convergence. It also provides a weighted naive Bayes formulation which yields an effective framework for hybrid generative-discriminative classification.

This paper introduces a novel parameter estimation method for the probability tables of Bayesian network classifiers (BNCs), using hierarchical Dirichlet processes (HDPs). The main result of this paper is to show that improved parameter estimation allows BNCs to outperform leading learning methods such as Random Forest for both 0-1 loss and RMSE, albeit just on categorical datasets.As data assets become larger, entering the hyped world of "big", efficient accurate classification requires three main elements: (1) classifiers with low-bias that can capture the fine-detail of large datasets (2) out-of-core learners that can learn from data without having to hold it all in main memory and (3) models that can classify new data very efficiently.The latest Bayesian network classifiers (BNCs) satisfy these requirements. Their bias can be controlled easily by increasing the number of parents of the nodes in the graph. Their structure can be learned out of core with a limited number of passes over the data. However, as the bias is made lower to accurately model classification tasks, so is the accuracy of their parameters' estimates, as each parameter is estimated from ever decreasing quantities of data. In this paper, we introduce the use of Hierarchical Dirichlet Processes for accurate BNC parameter estimation even with lower bias.We conduct an extensive set of experiments on 68 standard datasets and demonstrate that our resulting classifiers perform very competitively with Random Forest in terms of prediction, while keeping the out-of-core capability and superior classification time.

Recent advances have demonstrated substantial benefits from learning with both generative and discriminative parameters. On the one hand, generative approaches address the estimation of the parameters of the joint distribution-P(y, x), which for most network types is very computationally efficient (a notable exception to this are Markov networks) and on the other hand, discriminative approaches address the estimation of the parameters of the posterior distribution-and, are more effective for classification, since they fit P(y|x) directly. However, discriminative approaches are less computationally efficient as the normalization factor in the conditional log-likelihood precludes the derivation of closed-form estimation of parameters. This paper introduces a new discriminative parameter learning method for Bayesian network classifiers that combines in an elegant fashion parameters learned using Editors: Thomas Gärtner, Mirco Nanni, Andrea Passerini, and Celine Robardet. Learn (2017Learn ( ) 106:1289Learn ( -1329 both generative and discriminative methods. The proposed method is discriminative in nature, but uses estimates of generative probabilities to speed-up the optimization process. A second contribution is to propose a simple framework to characterize the parameter learning task for Bayesian network classifiers. We conduct an extensive set of experiments on 72 standard datasets and demonstrate that our proposed discriminative parameterization provides an efficient alternative to other state-of-the-art parameterizations.