A novel multi-agent dynamic portfolio optimization learning system based on hierarchical deep reinforcement learning

Deep Reinforcement Learning (DRL) has been extensively used to address portfolio optimization problems. The DRL agents acquire knowledge and make decisions through unsupervised interactions with their environment without requiring explicit knowledge of the joint dynamics of portfolio assets. Among these DRL algorithms, the combination of actor-critic algorithms and deep function approximators is the most widely used DRL algorithm. Here, we find that training the DRL agent using the actor-critic algorithm and deep function approximators may lead to scenarios where the improvement in the DRL agent's risk-adjusted profitability is not significant. We propose that such situations primarily arise from the following two problems: sparsity in positive reward and the curse of dimensionality. These limitations prevent DRL agents from comprehensively learning asset price change patterns in the training environment. As a result, the DRL agents cannot explore the dynamic portfolio optimization policy to improve the risk-adjusted profitability in the training process. To address these problems, we propose a novel multi-agent Hierarchical Deep Reinforcement Learning (HDRL) algorithmic framework in this research. Under this framework, the agents work together as a learning system for portfolio optimization. Specifically, by designing an auxiliary agent that works together with the executive agent for optimal policy exploration, the learning system can focus on exploring the policy with higher risk-adjusted return in the action space with positive return and low variance. In this way, we can overcome the issue of the curse of dimensionality and improve the training efficiency in the positive reward sparse environment.

CathAction: A Benchmark for Endovascular Intervention Understanding

Real-time visual feedback from catheterization analysis is crucial for enhancing surgical safety and efficiency during endovascular interventions. However, existing datasets are often limited to specific tasks, small scale, and lack the comprehensive annotations necessary for broader endovascular intervention understanding. To tackle these limitations, we introduce CathAction, a large-scale dataset for catheterization understanding. Our CathAction dataset encompasses approximately 500,000 annotated frames for catheterization action understanding and collision detection, and 25,000 ground truth masks for catheter and guidewire segmentation. For each task, we benchmark recent related works in the field. We further discuss the challenges of endovascular intentions compared to traditional computer vision tasks and point out open research questions. We hope that CathAction will facilitate the development of endovascular intervention understanding methods that can be applied to real-world applications. The dataset is available at https://airvlab.github.io/cathdata/.

Contrastive Learning Via Equivariant Representation

Invariant-based Contrastive Learning (ICL) methods have achieved impressive performance across various domains. However, the absence of latent space representation for distortion (augmentation)-related information in the latent space makes ICL sub-optimal regarding training efficiency and robustness in downstream tasks. Recent studies suggest that introducing equivariance into Contrastive Learning (CL) can improve overall performance. In this paper, we rethink the roles of augmentation strategies and equivariance in improving CL efficacy. We propose a novel Equivariant-based Contrastive Learning (ECL) framework, CLeVER (Contrastive Learning Via Equivariant Representation), compatible with augmentation strategies of arbitrary complexity for various mainstream CL methods and model frameworks. Experimental results demonstrate that CLeVER effectively extracts and incorporates equivariant information from data, thereby improving the training efficiency and robustness of baseline models in downstream tasks.

Combining Transformer based Deep Reinforcement Learning with Black-Litterman Model for Portfolio Optimization

As a model-free algorithm, deep reinforcement learning (DRL) agent learns and makes decisions by interacting with the environment in an unsupervised way. In recent years, DRL algorithms have been widely applied by scholars for portfolio optimization in consecutive trading periods, since the DRL agent can dynamically adapt to market changes and does not rely on the specification of the joint dynamics across the assets. However, typical DRL agents for portfolio optimization cannot learn a policy that is aware of the dynamic correlation between portfolio asset returns. Since the dynamic correlations among portfolio assets are crucial in optimizing the portfolio, the lack of such knowledge makes it difficult for the DRL agent to maximize the return per unit of risk, especially when the target market permits short selling (i.e., the US stock market). In this research, we propose a hybrid portfolio optimization model combining the DRL agent and the Black-Litterman (BL) model to enable the DRL agent to learn the dynamic correlation between the portfolio asset returns and implement an efficacious long/short strategy based on the correlation. Essentially, the DRL agent is trained to learn the policy to apply the BL model to determine the target portfolio weights. To test our DRL agent, we construct the portfolio based on all the Dow Jones Industrial Average constitute stocks. Empirical results of the experiments conducted on real-world United States stock market data demonstrate that our DRL agent significantly outperforms various comparison portfolio choice strategies and alternative DRL frameworks by at least 42% in terms of accumulated return. In terms of the return per unit of risk, our DRL agent significantly outperforms various comparative portfolio choice strategies and alternative strategies based on other machine learning frameworks.

Atrial Septal Defect Detection in Children Based on Ultrasound Video Using Multiple Instances Learning

Purpose: Congenital heart defect (CHD) is the most common birth defect. Thoracic echocardiography (TTE) can provide sufficient cardiac structure information, evaluate hemodynamics and cardiac function, and is an effective method for atrial septal defect (ASD) examination. This paper aims to study a deep learning method based on cardiac ultrasound video to assist in ASD diagnosis. Materials and methods: We select two standard views of the atrial septum (subAS) and low parasternal four-compartment view (LPS4C) as the two views to identify ASD. We enlist data from 300 children patients as part of a double-blind experiment for five-fold cross-validation to verify the performance of our model. In addition, data from 30 children patients (15 positives and 15 negatives) are collected for clinician testing and compared to our model test results (these 30 samples do not participate in model training). We propose an echocardiography video-based atrial septal defect diagnosis system. In our model, we present a block random selection, maximal agreement decision and frame sampling strategy for training and testing respectively, resNet18 and r3D networks are used to extract the frame features and aggregate them to build a rich video-level representation. Results: We validate our model using our private dataset by five-cross validation. For ASD detection, we achieve 89.33 AUC, 84.95 accuracy, 85.70 sensitivity, 81.51 specificity and 81.99 F1 score. Conclusion: The proposed model is multiple instances learning-based deep learning model for video atrial septal defect detection which effectively improves ASD detection accuracy when compared to the performances of previous networks and clinical doctors.