Modern Data Mining Algorithms in C++ and Cuda C

1) Introduction 7
2) Forward Selection Component Analysis 11 A) Introduction to Forward Selection Component Analysis 12 B) The Mathematics and Code Examples 16 Maximizing the Explained Variance 18 Code for the Variance Maximization Criterion 20 Backward Refinement 24 Multi-Threading Backward Refinement 28 Orthogonalizing Ordered Components 36 C) Putting It All Together 39 Components From a Forward-Only Subset 44 Components From a Backward Refined Subset 46 D) An Example With Contrived Variables 48
3) Local Feature Selection 53 A) Intuitive Overview of the Algorithm 54 What This Algorithm Reports 60 B) A Brief Detour: the Simplex Algorithm 62 The Linear Programming Problem 63 Interfacing to the Simplex Class 64 A Little More Detail 67 C) A More Rigorous Approach to LFS 69 Intra-Class and Inter-Class Separation 73 Computing the Weights 77 Maximizing Inter-Class Separation 81 Minimizing Intra-Class Separation 86 Testing a Trial Beta 88 A Quick Note on Threads 93 D) CUDA Computation of Weights 94 Integrating the CUDA Code Into the Algorithm 95 Initializing the CUDA Hardware 97 Computing Differences from the Current Case 100 Computing the Distance Matrix 102 Computing the Minimum Distances 104 Computing the Terms for the Weight Equation 112 Transposing the Term Matrix 113 Summing the Terms For the Weights 114 Moving the Weights to the Host 116 E) An Example of Local Feature Selection 117 F) A Note on Run Time 118
4) Memory in Time Series Features 119 A) A Gentle Mathematical Overview 122 The Forward Algorithm 123 The Backward Algorithm 128 Correct Alpha and Beta, For Those Who Care 131 B) Some Mundane Computations 136 Means and Covariances 136 Densities 138 The Multivariate Normal Density Function 139 C) Starting Parameters 141 Outline of the Initialization Algorithm 141 Perturbing Means 142 Perturbing Covariances 143 Perturbing Transition Probabilities 144 A Note on Random Number Generators 145 D) The Complete Optimization Algorithm 146 Computing State Probabilities 147 Updating the Means and Covariances 151 Updating Initial and Transition Probabilities 153 E) Assessing HMM Memory in a Time Series 159 F) Linking Features to a Target 164 Linking HMM States to the Target 173 A Contrived and Inappropriate Example 183 A Sensible and Practical Example 186
5) Stepwise Selection on Steroids 189 A) The Feature Evaluation Model 192 Code For the Foundation Model 193 B) The Cross-Validated Performance Measure 198 C) The Stepwise Algorithm 201 Finding the First Variable 207 Adding a Variable to an Existing Model 210 D) Demonstrating the Algorithm Three Ways 214
6) Nominal-to-Ordinal Conversion 217 A) Implementation Overview 221 B) Testing For a Legitimate Relationship 222 C) An Example From Equity Price Changes 223 D) Code for Nominal-to-Ordinal Conversion 227 The Constructor 228 Printing the Table of Counts 232 Computing the Mapping Function 234 Monte-Carlo Permutation Tests 237
7) Index 353

About the Author: Timothy Masters has a PhD in statistics and is an experienced programmer. His dissertation was in image analysis. His career moved in the direction of signal processing, and for the last 25 years he's been involved in the development of automated trading systems in various financial markets.