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Institute
Machine Learning (ML) is so pervasive in our todays life that we don't even realise that, more often than expected, we are using systems based on it. It is also evolving faster than ever before. When deploying ML systems that make decisions on their own, we need to think about their ignorance of our uncertain world. The uncertainty might arise due to scarcity of the data, the bias of the data or even a mismatch between the real world and the ML-model. Given all these uncertainties, we need to think about how to build systems that are not totally ignorant thereof. Bayesian ML can to some extent deal with these problems. The specification of the model using probabilities provides a convenient way to quantify uncertainties, which can then be included in the decision making process.
In this thesis, we introduce the Bayesian ansatz to modeling and apply Bayesian ML models in finance and economics. Especially, we will dig deeper into Gaussian processes (GP) and Gaussian process latent variable model (GPLVM). Applied to the returns of several assets, GPLVM provides the covariance structure and also a latent space embedding thereof. Several financial applications can be build upon the output of the GPLVM. To demonstrate this, we build an automated asset allocation system, a predictor for missing asset prices and identify other structure in financial data.
It turns out that the GPLVM exhibits a rotational symmetry in the latent space, which makes it harder to fit. Our second publication reports, how to deal with that symmetry. We propose another parameterization of the model using Householder transformations, by which the symmetry is broken. Bayesian models are changed by reparameterization, if the prior is not changed accordingly. We provide the correct prior distribution of the new parameters, such that the model, i.e. the data density, is not changed under the reparameterization. After applying the reparametrization on Bayesian PCA, we show that the symmetry of nonlinear models can also be broken in the same way.
In our last project, we propose a new method for matching quantile observations, which uses order statistics. The use of order statistics as the likelihood, instead of a Gaussian likelihood, has several advantages. We compare these two models and highlight their advantages and disadvantages. To demonstrate our method, we fit quantiled salary data of several European countries. Given several candidate models for the fit, our method also provides a metric to choose the best option.
We hope that this thesis illustrates some benefits of Bayesian modeling (especially Gaussian processes) in finance and economics and its usage when uncertainties are to be quantified.
Space optimizations in deterministic and concurrent call-by-need functional programming languages
(2020)
In this thesis the space consumption and runtime of lazy-evaluating functional programming languages are analyzed.
The typed and extended lambda-calculi LRP and CHF* as core languages for Haskell and Concurrent Haskell are used. For each LRP and CHF* compatible abstract machines are introduced.
Too lower the distortion of space measurement a classical implementable garbage collector is applied after each LRP reduction step. Die size of expressions and the space measure spmax as maximal size of all garbage-free expressions during an LRP-evaluation, are defined.
Program-Transformations are considered as code-to-code transformations. The notions Space Improvement and Space Equivalence as properties of transformations are defined. A Space Improvement does neither change the semantics nor it increases the needed space consumption, for a space equivalence the space consumption is required to remain the same. Several transformations are shown as Space Improvements and Equivalences.
An abstract machine for space measurements is introduced. An implementation of this machine is used for more complex space- and runtime-analyses.
Total Garbage Collection replaces subexpressions by a non-terminating constant with size zero, if the overall termination is not affected. Thereby the notion of improvement is more independent from the used garbage collector.
Analogous to Space Improvements and Equivalences the notions Total Space Improvement and Total Space Equivalence are defined, which use Total Garbage Collection during the space measurement. Several Total Space Improvements and Equivalences are shown.
Space measures for CHF* are defined, that are compatible to the space measure of LRP. An algorithm with sort-complexity is developed, that calculates the required space of independent processes that all start and end together. If a constant amount of synchronization restrictions is added and a constant number of processors is used, the runtime is polynomial, if arbitrary synchronizations are used, then the problem is NP-complete.
Abstract machines for space- and time-analyses in CHF* are developed and implementations of these are used for space and runtime analyses.