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arXiv research

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.

168,695 papers · 148 categories

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48 results for Bayesian surprise

Surprise-based learning allows agents to rapidly adapt to non-stationary stochastic environments characterized by sudden changes. We show that exact Bayesian inference in a hierarchical model gives rise to a surprise-modulated trade-off between forgetting old observations and integrating them with the new ones. The mod…

2019-07-05abs ↗pdf ↗

Bayesian model averaging fails under covariate shift, affecting neural networks' performance.

problem Bayesian model averaging's failure in neural networks under covariate shift.
method Explained the issue and proposed novel priors to improve robustness.
result Bayesian model averaging is problematic under covariate shift, especially with linear feature dependencies.

Auto-Surprise automates recommender system selection and optimization.

problem Finding the best algorithm and hyperparameters for recommender systems.
method Extends Surprise library with TPE optimization for algorithm selection and hyperparameter tuning.
result Significantly faster in finding optimal hyperparameters compared to grid search.

Surprise describes a range of phenomena from unexpected events to behavioral responses. We propose a measure of surprise and use it for surprise-driven learning. Our surprise measure takes into account data likelihood as well as the degree of commitment to a belief via the entropy of the belief distribution. We find th…

2016-06-17abs ↗pdf ↗

DG separates successes and failures by gating updates with advantage and surprisal.

problem Negative learning from surprising data in distributed reinforcement learning.
method DG gates each update with the product of advantage and surprisal, suppressing failures and preserving successes.
result DG outperforms other methods in various challenging reinforcement learning tasks.

Chance-constrained ActInf allows for small violations of constraints to drive goal-directed behavior.

problem Goal-directed behavior constrained by prior beliefs.
method Introducing chance constraints to ActInf, allowing for small violations of constraints.
result Chance-constrained ActInf allows for a trade-off between robust control and chance constraint violation.

Agents learn and control complex mechanical systems through shared memories.

problem Controlling multi-joint dynamical systems.
method Coupled autoregressive active inference agents using Bayesian filtering and minimizing expected free energy.
result Demonstrated learning and control of a double mass-spring-damper system.

Revises Bayesian model averaging for foundation models.

problem Ensemble pre-trained and lightly-finetuned foundation models for improved classification performance.
method Introduces trainable linear classifiers and computationally cheaper model averaging scheme (OMA).
result Ensembled models can better predict on various datasets.

Study the distribution for low-rank matrix learning, improving inference methods.

problem Lack of understanding of underlying probability distributions in low-rank matrix learning.
method Analyze the distribution f(X)eλXf(X)\propto e^{-λ\Vert X\Vert_*}, using differential geometry to design an improved MCMC algorithm and learn penalty parameter λ.
result Improved MCMC algorithm and penalty parameter learning for low-rank Bayesian inference.

EMIX minimizes surprise in multi-agent reinforcement learning.

problem Surprise and approximation bias in multi-agent reinforcement learning.
method Energy-based MIXer (EMIX) for minimizing surprise across multiple agents.
result EMIX demonstrates consistent stable performance in challenging StarCraft II scenarios.

Proposes a new algorithm for Sparse Bayesian Learning connected to Stepwise Regression.

problem Sparse Bayesian Learning for probabilistic models.
method Coordinate ascent algorithm (RMP) for SBL, showing connection to Stepwise Regression.
result RMP's noise variance parameter limit connects to Stepwise Regression, with derived guarantees.

Unified notation simplifies information-theoretic concepts in machine learning.

problem Opaque notation for information-theoretic quantities in machine learning.
method Proposed a practical and unified notation for information-theoretic quantities.
result Unified notation facilitates new intuitions and rederivations in machine learning.

A new predictive coding algorithm improves machine learning performance.

problem Improving performance of variational inference algorithms in high-dimensional, structured problems.
method Divide-and-Conquer Predictive Coding (DCPC) that respects generative model correlation structure and performs maximum-likelihood updates.
result DCPC achieves better numerical performance and accurate inference in structured generative models.

The Surprise index assesses autonomous systems' competency in uncertain environments.

problem Evaluating competency of autonomous systems in dynamic, uncertain environments.
method Surprise index, a measure that quantifies system performance based on available data.
result The Surprise index can be computed for dynamic systems with Gaussian marginal distributions.

DE is a new exploration method that limits resource usage based on expected improvement and surprise.

problem Limited exploration in large action spaces when resources are scarce.
method Delight-gated exploration (DE) that limits exploration actions based on a gate price set by the product of expected improvement and surprise.
result DE outperforms ε\varepsilon-greedy and Thompson Sampling in terms of regret across various bandit and MDP settings.

Study reveals efficient recovery of multi-modal signals via Bayesian methods and sequential learning.

problem Recovering multiple high-dimensional signals from correlated modalities.
method Bayesian Approximate Message Passing and Sequential Curriculum Learning.
result Sequential learning strategy optimally recovers weak signals in multi-modal settings.

This work tackles online memory selection in continual learning using information theory.

problem Online selection of a representative replay memory from data streams.
method Information-theoretic criteria (surprise, learnability) and Bayesian model for efficient computation.
result InfoRS improves robustness against data imbalance compared to reservoir sampling.

We show that reinforcement learning agents that learn by surprise (surprisal) get stuck at abrupt environmental transition boundaries because these transitions are difficult to learn. We propose a counter-intuitive solution that we call Mutual Information Minimising Exploration (MIME) where an agent learns a latent rep…

2020-01-16abs ↗pdf ↗

TradeR uses RL to execute trades in real markets, minimizing surprise and catastrophe.

problem Minimizing surprise and catastrophe in high-frequency trading.
method Hierarchical RL with energy-based surprise value function.
result TradeR outperforms in abrupt price changes and maintains profitability.

In this paper, we describe a new surprising example of a fibration of the Clifford torus S3 x S3 in the 7-sphere by great 3-spheres, which is fiberwise homogeneous but whose fibers are not parallel to one another. In particular it is not part of a Hopf fibration. A fibration is fiberwise homogeneous when for any two fi…

2014-07-17abs ↗pdf ↗

The purpose of the present paper is to introduce and explore two surprises that arise when we apply a standard procedure to study the number of finite type invariants of 3-manifolds introduced independently by M. Goussarov and K. Habiro based on surgery on claspers, Y-graphs or clovers, \cite{Gu,Ha,GGP}. One surprise i…

2000-06-06abs ↗pdf ↗

Bayesian methods detect and forecast inclinometer anomalies in UK rail data.

problem Detecting and predicting dangerous movements in earthwork slopes.
method Bayesian UQ techniques applied to latent Markov process and non-linear Bayesian filter.
result Anomaly detection and forecasting demonstrated on large real-world data.

SAE-FiRE extracts key financial info from long documents, improving earnings surprise predictions.

problem Predicting earnings surprises from long, redundant financial documents.
method Sparse Autoencoder feature selection to filter out noise and identify key dimensions.
result SAE-FiRE significantly outperforms baseline approaches in financial datasets.

Paper proposes optimal investment and reinsurance strategies considering financial and insurance risks dependence.

problem Optimal investment and reinsurance strategies under dependent financial and insurance risks.
method Stochastic control approach to maximize expected exponential utility of terminal wealth.
result Minimal dependence between financial and insurance risks significantly impacts investment and reinsurance strategies.

A model simulates how different types of traders react to macroeconomic news.

problem Understanding how various market participants respond to macroeconomic surprises.
method Developed a calibrated data generation process (DGP) with four trader archetypes and a Monte Carlo simulation.
result Higher information and lower risk-averse traders take larger positions and achieve higher average wealth.

We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day, leading to a smaller relative dispersion between stocks. Somewhat paradoxically, t…

2010-09-24abs ↗pdf ↗

New framework detects near vs. far out-of-distribution samples for AI safety.

problem Binary OOD detection fails to distinguish between semantically close and distant unknown risks.
method Ternary classification based on Low-Entropy Semantic Manifolds and Semantic Surprise Vector.
result Framework achieves state-of-the-art performance on ternary OOD detection task.

We consider the problem of predicting as well as the best linear combination of d given functions in least squares regression, and variants of this problem including constraints on the parameters of the linear combination. When the input distribution is known, there already exists an algorithm having an expected excess…

2009-02-10abs ↗pdf ↗