林海onrush (2024-04-02 00:39):
#paper, Curriculum Learning and Imitation Learning for Model-free Control on Financial Time-series, doi:https://doi.org/10.48550/arXiv.2311.13326,这篇论文针对金融时间序列的无模型控制问题,提出了一种新颖的解决思路。传统的强化学习方法在这一领域面临训练数据有限且噪声大的挑战。为此,本文探索了将课程学习和模仿学习这两种在机器人领域已有成功应用的范式引入到金融问题中。通过在两个代表性的数据集上的大量实证实验,论文发现课程学习能够显著提升强化学习算法在复杂金融时间序列决策中的表现,优于所有baseline方法。课程学习通过数据增强逐步提高训练任务的难度,体现了 "由易到难" 的学习策略。实验表明,这种适度的数据平滑可以有效降低数据中的噪声,使得强化学习算法更好地捕捉到真实的市场信号。 相比之下,直接应用模仿学习的效果并不理想。进一步的分析表明,这可能是由于模仿学习在去除噪声的同时,也丢失了部分关键的市场信号。从统计学的角度看,模仿学习实现了噪声和信号的分解,但过度的去噪反而损害了策略学习的效果。 本文的理论贡献在于提出了一个信号噪声分解的统计框架,用于解释课程学习和模仿学习在金融时间序列问题上的效果差异。这一框架也为算法的改进提供了新的思路。此外,论文还讨论了一些有待未来进一步探索的方向,包括考察信号噪声分解的非平稳特性,探索其他形式的数据平滑方法,以及将课程学习拓展应用到其他类型的高噪声时间序列学习任务中。
Curriculum Learning and Imitation Learning for Model-free Control on Financial Time-series
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Abstract:
Curriculum learning and imitation learning have been leveraged extensively inthe robotics domain. However, minimal research has been done on leveragingthese ideas on control tasks over highly stochastic time-series data. Here, wetheoretically and empirically explore these approaches in a representativecontrol task over complex time-series data. We implement the fundamental ideasof curriculum learning via data augmentation, while imitation learning isimplemented via policy distillation from an oracle. Our findings reveal thatcurriculum learning should be considered a novel direction in improvingcontrol-task performance over complex time-series. Our ample random-seedout-sample empirics and ablation studies are highly encouraging for curriculumlearning for time-series control. These findings are especially encouraging aswe tune all overlapping hyperparameters on the baseline -- giving an advantageto the baseline. On the other hand, we find that imitation learning should beused with caution.
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