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Title: Symphony in the Latent Space: Provably Integrating High-dimensional Techniques with Non-linear Machine Learning Models
This paper revisits building machine learning algorithms that involve interactions between entities, such as those between financial assets in an actively managed portfolio, or interac- tions between users in a social network. Our goal is to forecast the future evolution of ensembles of multivariate time series in such applications (e.g., the future return of a financial asset or the future popularity of a Twitter account). Designing ML algorithms for such systems requires addressing the challenges of high-dimensional interactions and non-linearity. Existing approaches usually adopt an ad-hoc approach to integrating high-dimensional techniques into non-linear models and re- cent studies have shown these approaches have questionable efficacy in time-evolving interacting systems. To this end, we propose a novel framework, which we dub as the additive influence model. Under our modeling assump- tion, we show that it is possible to decouple the learning of high-dimensional interactions from the learning of non-linear feature interactions. To learn the high-dimensional interac- tions, we leverage kernel-based techniques, with provable guarantees, to embed the entities in a low-dimensional latent space. To learn the non-linear feature-response interactions, we generalize prominent machine learning techniques, includ- ing designing a new statistically sound non-parametric method and an ensemble learning algorithm optimized for vector re- gressions. Extensive experiments on two common applica- tions demonstrate that our new algorithms deliver significantly stronger forecasting power compared to standard and recently proposed methods.  more » « less
Award ID(s):
1835821 2008557
PAR ID:
10395442
Author(s) / Creator(s):
; ; ; ;
Date Published:
Journal Name:
Proceedings of the AAAI Conference on Artificial Intelligence
ISSN:
2374-3468
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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