Black's intuition is supported: prices are roughly twice value over years.
problem Understanding market trends and mean-reversion over different time frames.
method Analyzing medium-term and long-term market behavior through trend-following and fundamentalist behaviors.
result Prices tend to be off by a factor of 2 over years, with mean-reversion tempering market exuberance.
Recent work in model-agnostic explanations of black-box machine learning has demonstrated that interpretability of complex models does not have to come at the cost of accuracy or model flexibility. However, it is not clear what kind of explanations, such as linear models, decision trees, and rule lists, are the appropr…
Principal component analysis (PCA) is a mainstay of modern data analysis - a black box that is widely used but (sometimes) poorly understood. The goal of this paper is to dispel the magic behind this black box. This manuscript focuses on building a solid intuition for how and why principal component analysis works. Thi…
Importance sampling is widely used in machine learning and statistics, but its power is limited by the restriction of using simple proposals for which the importance weights can be tractably calculated. We address this problem by studying black-box importance sampling methods that calculate importance weights for sampl…
Bayesian optimisation generates saliency maps for black-box models.
problem Generating saliency maps for models without access to parameters.
method Bayesian optimisation sampling method to find global salient regions.
result Approach outperforms grid-based methods and performs similarly to gradient-based methods.
Develops causal explanations for black-box classifiers.
problem Creating understandable explanations for complex models.
method Generative model with information-theoretic measures of causal influence.
result Learned latent factors influence classifier outputs.
New method tests black box models for important features.
problem Control false discoveries in high-stakes model interpretations.
method Reframe interpretability as hypothesis testing, propose two testing methods.
result Tests control false discovery rate and select intuitive features.
Concepts simplify complex models for better understanding.
problem Difficulty in generating understandable explanations for high-dimensional tabular datasets with correlated variables.
method Introduces concepts as groupings of correlated variables and embeds them in a surrogate decision tree.
result Improvement in human interpretability of surrogates without sacrificing accuracy and fidelity.
This paper reviews zeroth-order optimization in signal processing and machine learning.
problem Optimization problems without gradient information.
method Iterative steps: gradient estimation, descent direction computation, solution update.
result Demonstrates applications in robustness evaluation and black-box model explanations.
PredDiff measures prediction changes while marginalizing features, offering new insights into interaction effects.
problem Understanding interaction effects in black-box models.
method Model-agnostic, local attribution method based on probability theory.
result Introduced a new measure for interaction effects between arbitrary feature subsets.
In this work, we present an application of Locally Interpretable Machine-Agnostic Explanations to 2-D chemical structures. Using this framework we are able to provide a structural interpretation for an existing black-box model for classifying biologically produced fuel compounds with regard to Research Octane Number. T…
Explains classic quantitative strategies and their workings.
problem Debunking the magic behind black-box quantitative strategies.
method Derives from simple intuitions and mathematics, addressing both formal and informal aspects.
result Provides a deeper understanding of quantitative strategies.
Improves reliability of BBVI optimization methods.
problem Reliability issues and expertise required for BBVI optimization.
method RABVI framework with automated learning rate adjustment and KL divergence estimation.
result RABVI detects inaccurate variational approximations and optimizes reliability.
The paper compares various portfolio construction methods and their impacts on allocation, performance, and stability.
problem Investment portfolio optimization and allocation under different constraints and models.
method Comparison of mean-variance optimization, constrained optimization, Fama French five factor regression, Monte Carlo simulation, and Black-Litterman model.
result Black-Litterman model produces more stable and economically intuitive allocations compared to standard mean-variance optimization.
EBLIME enhances model explanations using Bayesian ridge regression.
problem Improving model explanations for black-box machine learning models.
method EBLIME uses Bayesian ridge regression to explain feature importance.
result EBLIME provides more intuitive and accurate feature importance rankings.
Neural network models have a reputation for being black boxes. We propose to monitor the features at every layer of a model and measure how suitable they are for classification. We use linear classifiers, which we refer to as "probes", trained entirely independently of the model itself. This helps us better understand …
Meta-ANOVA simplifies complex models for better interpretability.
problem Complex models are hard to interpret, limiting their use in fields needing accountability.
method Transforms black-box models into interpretable ANOVA models by screening unnecessary interactions.
result Meta-ANOVA provides an interpretable model for any prediction model, proving asymptotic consistency.
ProtoryNet interprets text sequences using prototype trajectories for better understanding.
problem Improving text classification interpretability and accuracy.
method ProtoryNet uses prototype trajectories to interpret text sequences, with prototype pruning for better interpretability.
result ProtoryNet outperforms baseline models and reduces performance gap compared to black-box models.
Adapts IG for better feature attributions and robustness.
problem Reliability concerns in feature attributions for deep learning models.
method Adaptation of path-based feature attribution to Riemannian geometry of data manifolds.
result IG along geodesics generates more intuitive and robust explanations.
Adaptive algorithm for multi-objective optimization with binary constraints.
problem Optimization of black-box problems with binary constraints.
method Bayesian optimization using regression and classification models.
result Significantly faster expected hypervolume calculation.
Bayesian Optimization with a Prior for the Optimum (BOPrO) improves efficiency and accuracy.
problem Bayesian Optimization's standard priors are not intuitive for domain experts.
method BOPrO injects expert knowledge into the optimization process using priors about the optimum.
result BOPrO is 6.67x faster than state-of-the-art methods and achieves new state-of-the-art performance.
Latent variable time-series models are among the most heavily used tools from machine learning and applied statistics. These models have the advantage of learning latent structure both from noisy observations and from the temporal ordering in the data, where it is assumed that meaningful correlation structure exists ac…
ALICE combines feature selection and inter-rater agreeability for ML model insights.
problem Improving interpretability of black box machine learning models.
method Integrates feature selection and inter-rater agreeability into a user-friendly Python library.
result Initial experiments on customer churn modeling show promising insights.
DELIP learns accurate POMDP models for data-efficient control.
problem Learning accurate models for complex POMDP tasks.
method Amortized structured variational inference.
result DELIP leads to effective control strategies in complex environments.
We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was constructed by Sottinen and named fractional binary markets. Since, in the frictionless case, these markets admit arbitrage, we aim …
A new method uses conformal prediction to create reliable confidence masks for image super-resolution.
problem Uncertainty quantification in image super-resolution using generative models.
method Conformal prediction techniques applied to a confidence mask for reliable uncertainty communication.
result Strong theoretical guarantees and empirical solid performance in image super-resolution.
LCBM model improves image classification without human supervision.
problem Improving interpretability and generalization of unsupervised concept-based models.
method LCBM models concepts as random variables in a Bernoulli latent space, reducing the number of concepts without sacrificing performance.
result LCBM outperforms existing models in generalization and interpretability.
Visualization aids but distorts intuitive understanding of machine learning models.
problem The intuitive notion of interpretability in machine learning is flawed.
method Analysis of visualization techniques and their impact on interpretability.
result Visualization can both facilitate and hinder intuitive understanding of machine learning models.
Proposes CPO framework for robust decision-making with explainable uncertainty regions.
problem Overly conservative uncertainty regions in data-driven optimization lead to suboptimal decisions.
method Conformal-Predict-Then-Optimize (CPO) framework using conditional generative models and visual summaries.
result Demonstrates improved robustness and explainability in decision-making.
Graphical physics network learns intuitive physics using deep reinforcement learning with intrinsic motivation.
problem Teaching intuitive physics to AI agents.
method Integrates deep reinforcement learning with intrinsic reward normalization for efficient learning.
result Agent effectively learns object positions and velocities using intrinsic motivation.
Estimates overlap in observational studies for causal effect estimation.
problem Overlap between treatment groups is crucial for causal effect estimation.
method Formalizes overlap estimation as a binary classification problem with Boolean rule classifiers.
result Rules provide interpretable explanations for causal conclusions.
A new method combines variational inference and MCMC for efficient data subsampling.
problem Combining variational inference and MCMC for data subsampling.
method Introduces a surrogate likelihood to learn jointly with variational parameters.
result Permits an intuitive trade-off between inference fidelity and computational cost.
Kernel methods' derivatives make complex models more interpretable.
problem Interpreting complex kernel models.
method Deriving kernel functions' derivatives and applying them to various kernel methods.
result Derivatives of kernel functions can be computed and applied to improve model interpretation.
Mass algorithm predicts M&A deals from patent data.
problem Hard to automatically predict M&A deals due to complex human skills.
method Machine learning-based similarity measure (MASS) applied to patent data.
result MASS outperforms LightGCN in forecasting M&A deals.
Adaptive online learning algorithm improves history forgetting in nonstationary environments.
problem Adversarial nonstationary environments where future data can be very different from past data.
method Discounted regret in online convex optimization, FTRL-based algorithm, adaptive learning rate.
result Improves classical gradient descent with constant learning rate in online convex optimization.
Introduces triangular transport for uncertain data.
problem Uncertainty in complex systems without known probabilistic representations.
method Characterizes and manipulates unknown probability distributions using triangular transport maps.
result Triangular transport guarantees desirable mathematical and computational properties.
Understanding why machine learning models behave the way they do empowers both system designers and end-users in many ways: in model selection, feature engineering, in order to trust and act upon the predictions, and in more intuitive user interfaces. Thus, interpretability has become a vital concern in machine learnin…
PHOENICS optimizes complex functions efficiently, outperforming traditional methods.
problem Optimizing complex, non-convex functions with varying domains.
method Combines Bayesian optimization and kernel density estimation with an acquisition function.
result PHOENICS outperforms Gaussian processes and random forests in multidimensional optimization.
Study compares neural networks for age and gender recognition, revealing feature importance and robustness.
problem Understanding which facial features are used and how preprocessing affects deep neural networks for age and gender recognition.
method Compared four neural network architectures, evaluated preprocessing robustness, visualized prediction strategies.
result Suitable parameter initialization improves holistic perception of input, leading to state-of-the-art performance in gender recognition.
FlipTest detects discrimination in classifiers using optimal transport.
problem Detecting discrimination in classifiers without causal information.
method Optimal transport to match individuals in different protected groups, creating similar pairs of in-distribution samples.
result FlipTest identifies subgroups that may be harmed by model discrimination, even when the model satisfies group fairness criteria.
New method in Bayesian optimization finds optimal inputs knowing the optimal outputs.
problem Finding optimal inputs when the optimal outputs are known in advance.
method Transform Gaussian process surrogate using known optimum output; propose two acquisition functions.
result Our approaches give quantitatively better performance than standard BO methods.
LemonadeBench evaluates LLMs' economic intuition through a simulated lemonade stand.
problem Evaluating LLMs' economic understanding and decision-making in simple markets.
method Simulated lemonade stand business to test LLMs' long-term planning and profit maximization.
result Models achieve profitability but exhibit local rather than global optimization.
A new batch Bayesian optimization method for less expensive functions.
problem Traditional BO approaches are not suitable for less expensive functions due to high computational costs.
method Introduces a new exploration strategy using geometric distance and Sobol sequence to guide batch optimization.
result Demonstrates superior performance compared to existing methods when function evaluations are less expensive.
Active inference uses machine learning to prioritize data labeling for more efficient statistical inference.
problem Efficiently collecting data points for statistical inference with limited labels.
method A machine learning-assisted approach that identifies uncertain data points for labeling.
result Achieves the same level of accuracy with fewer samples, resulting in smaller confidence intervals and more powerful p-values.
Robust PDE method for path-dependent Asian-style options using MPDATA.
problem Valuation of path-dependent Asian-style options.
method Non-oscillatory forward-in-time second-order MPDATA finite-difference scheme for solving 2D PDEs.
result MPDATA scheme improves solution over first-order upwind step, highlighting its importance.
We construct new classes of exact solutions of the 4D vacuum Einstein equations which describe ellipsoidal black holes, black tori and combined black hole -- black tori configurations. The solutions can be static or with anisotropic polarizations and running constants. They are defined by off--diagonal metric ansatz wh…
Using black-hole inequalities and the increase of the horizon's areas, we show that there are arbitrarily small electro-vacuum perturbations of the standard initial data of the extreme Reissner-Nordstrom black-hole that, (by contradiction), cannot decay in time into any extreme Kerr-Newman black-hole. This proves the e…
Over the past three decades, black holes have played an important role in quantum gravity, mathematical physics, numerical relativity and gravitational wave phenomenology. However, conceptual settings and mathematical models used to discuss them have varied considerably from one area to another. Over the last five year…