A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Constructs Lie-Rinehart algebra for Einstein's equations.
The goal of this note is to give a brief overview of the BV-BFV formalism developed by the first two authors and Reshetikhin in [arXiv:1201.0290], [arXiv:1507.01221] in order to perform perturbative quantisation of Lagrangian field theories on manifolds with boundary, and present a special case of Chern-Simons theory a…
Extended equivariant BV formalism to manifolds with boundaries.
This paper introduces a general perturbative quantization scheme for gauge theories on manifolds with boundary, compatible with cutting and gluing, in the cohomological symplectic (BV-BFV) formalism. Explicit examples, like abelian BF theory and its perturbations, including nontopological ones, are presented.
We observe that a system of irreducible, fiber-linear, first class constraints on T*M is equivalent to the definition of a foliation Lie algebroid over M. The BFV formulation of the constrained system is given by the Hamiltonian lift of the Vaintrob description (E[1],Q) of the Lie algebroid to its cotangent bundle T*E[…
Geometric approach combines asset returns and investor views for better portfolio optimization.
Paper proposes an alternative method to price American options using HJM approach.
We study inference and learning based on a sparse coding model with `spike-and-slab' prior. As in standard sparse coding, the model used assumes independent latent sources that linearly combine to generate data points. However, instead of using a standard sparse prior such as a Laplace distribution, we study the applic…
Quantum machine learning: Adiabatic quantum SVM outperforms classical methods.
We develop a semi-analytic approach to the valuation of auto-callable structures with accrual features subject to barrier conditions. Our approach is based on recent studies of multi-assed binaries, present in the literature. We extend these studies to the case of time-dependent parameters. We compare numerically the s…
Two ML approaches learn local volatility surfaces from option prices, with GP being arbitrage-free.
This paper critiques the Standardized Measurement Approach (SMA) for operational risk and recommends maintaining Advanced Measurement Approach (AMA).
Distributed Acoustic Sensing (DAS) using fiber optic cables is a promising new technology for pipeline monitoring and protection. In this work, we applied and compared two approaches for event detection using DAS: Classic machine learning approach and the approach based on image processing and deep learning. Although w…
A new Euclidean approach reveals the pentagram map's beauty.
Two approaches extend knowledge distillation to Gaussian Processes, showing relationships to existing methods.
We discuss the relative merits of optimistic and randomized approaches to exploration in reinforcement learning. Optimistic approaches presented in the literature apply an optimistic boost to the value estimate at each state-action pair and select actions that are greedy with respect to the resulting optimistic value f…
Classical approaches for approximate inference depend on cleverly designed variational distributions and bounds. Modern approaches employ amortized variational inference, which uses a neural network to approximate any posterior without leveraging the structures of the generative models. In this paper, we propose Amorti…
Online boosting method improves weak to strong learner.
Predicting potential credit default accounts in advance is challenging. Traditional statistical techniques typically cannot handle large amounts of data and the dynamic nature of fraud and humans. To tackle this problem, recent research has focused on artificial and computational intelligence based approaches. In this …
In this paper, we present a new wrapper feature selection approach based on Jensen-Shannon (JS) divergence, termed feature selection with maximum JS-divergence (FSMJ), for text categorization. Unlike most existing feature selection approaches, the proposed FSMJ approach is based on real-valued features which provide mo…
Two new methods for option pricing without or with a riskless asset.
An integrated and extendable approach for stress-testing loan portfolios
Bayesian symbolic regression automates model discovery from data.
Common Representation Learning (CRL), wherein different descriptions (or views) of the data are embedded in a common subspace, is receiving a lot of attention recently. Two popular paradigms here are Canonical Correlation Analysis (CCA) based approaches and Autoencoder (AE) based approaches. CCA based approaches learn …
Two approaches detect EV charging patterns at stations.
Recently, Nyström method has proved its prominence empirically and theoretically in speeding up the training of kernel machines while retaining satisfactory performances and accuracy. So far, there are several different approaches proposed to exploit Nyström method in scaling up kernel machines. However, there is no co…
The floating body approach to affine surface area is adapted to a holomorphic context providing an alternate approach to Fefferman's invariant hypersurface measure.
We review classical approaches to the problem of isometrically embedding a Riemannian surface into Euclidean 3-space, including coordinate-based approaches exposited by Darboux and Eisenhart, as well as the moving-frames based approaches advocated by Cartan. In particular, the first approach involves reducing the probl…
Paper evaluates CNN-based facial landmark detection methods.
This paper provides a comprehensive benchmark and taxonomy for certifiably robust DNN defenses.
Saliency maps are often used in computer vision to provide intuitive interpretations of what input regions a model has used to produce a specific prediction. A number of approaches to saliency map generation are available, but most require access to model parameters. This work proposes an approach for saliency map gene…
VB approach for dynamic network models improves efficiency and accuracy.
New approach for prudent risk evaluation using model aggregation.
Study proposes a new approach for deep hedging using artificial market simulations.
Some of recent developments, including recent results, ideas, techniques, and approaches, in the study of degenerate partial differential equations are surveyed and analyzed. Several examples of nonlinear degenerate, even mixed, partial differential equations, are presented, which arise naturally in some longstanding, …
We compare several approaches to learn an Optimal Map, represented as a neural network, between probability distributions. The approaches fall into two categories: ``Heuristics'' and approaches with a more sound mathematical justification, motivated by the dual of the Kantorovitch problem. Among the algorithms we consi…
This paper examines how optimization methods affect the reliability of detecting inputs outside a model's training distribution.
Deep Neural Networks have shown tremendous success in the area of object recognition, image classification and natural language processing. However, designing optimal Neural Network architectures that can learn and output arbitrary graphs is an ongoing research problem. The objective of this survey is to summarize and …
In this paper, we propose three approaches for the estimation of the Tucker decomposition of multi-way arrays (tensors) from partial observations. All approaches are formulated as convex minimization problems. Therefore, the minimum is guaranteed to be unique. The proposed approaches can automatically estimate the numb…
Optimal sample complexity analysis for plug-in approach in average-reward MDPs.
We devise a one-shot approach to distributed sparse regression in the high-dimensional setting. The key idea is to average "debiased" or "desparsified" lasso estimators. We show the approach converges at the same rate as the lasso as long as the dataset is not split across too many machines. We also extend the approach…
We introduce a fully stochastic gradient based approach to Bayesian optimal experimental design (BOED). Our approach utilizes variational lower bounds on the expected information gain (EIG) of an experiment that can be simultaneously optimized with respect to both the variational and design parameters. This allows the …
Recent success in deep reinforcement learning for continuous control has been dominated by model-free approaches which, unlike model-based approaches, do not suffer from representational limitations in making assumptions about the world dynamics and model errors inevitable in complex domains. However, they require a lo…
Active learning is a machine learning approach for reducing the data labeling effort. Given a pool of unlabeled samples, it tries to select the most useful ones to label so that a model built from them can achieve the best possible performance. This paper focuses on pool-based sequential active learning for regression …
Study systemic risk measures and capital allocation rules, showing commonalities.
New approach transfers rewards learned in one environment to reinforcement learning in a new environment.
This paper reviews and proposes a new approach for evaluating internal cluster validation indices.
A new method for incorporating preferences in multi-objective Bayesian optimization.