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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.

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48 results for Boltzmann entropy

We present a new statistical learning paradigm for Boltzmann machines based on a new inference principle we have proposed: the latent maximum entropy principle (LME). LME is different both from Jaynes maximum entropy principle and from standard maximum likelihood estimation.We demonstrate the LME principle BY deriving …

2012-10-19abs ↗pdf ↗

We study a Boltzmann's type entropy functional (which appeared in existing literature) defined on Kähler metrics of a fixed Kähler class. The critical points of this functional are gradient Kähler-Ricci solitons, and the functional was known to be monotonically increasing along the Kähler-Ricci flow in the canonical cl…

2016-05-25abs ↗pdf ↗

The notion of utility maximising entropy (u-entropy) of a probability density, which was introduced and studied by Slomczynski and Zastawniak (Ann. Prob 32 (2004) 2261-2285, arXiv:math.PR/0410115 v1), is extended in two directions. First, the relative u-entropy of two probability measures in arbitrary probability space…

2007-09-09abs ↗pdf ↗

In this note we determine the first two derivatives of the classical Boltzmann-Shannon entropy of the conjugate heat equation on general evolving manifolds. Based on the second derivative of the Boltzmann-Shannon entropy, we construct Perelman's F and W entropy in abstract geometric flows. Monotonicity of the entropies…

2013-05-02abs ↗pdf ↗

We give a notion of entropy for general gemetric structures, which generalizes well-known notions of topological entropy of vector fields and geometric entropy of foliations, and which can also be applied to singular objects, e.g. singular foliations, singular distributions, and Poisson structures. We show some basic p…

2011-09-24abs ↗pdf ↗

The paper applies math and physics to language models, introducing entropy and geometric concepts.

problem Understanding and improving language models to approximate intelligent language.
method Formal definitions, functional analysis, topology, thermodynamics, and set theory.
result Entropy function reveals key obstacles for LLMs and offers insights into language models.

Rate GENERIC extends thermodynamics principles to non-equilibrium systems.

problem Understanding non-equilibrium thermodynamics and its relation to equilibrium thermodynamics.
method Developed a geometrical framework for rate GENERIC, extending Onsager's variational principle.
result Rate GENERIC structure provides a new perspective on thermodynamics in non-equilibrium systems.

The study analyzes the evolution of Gaussian measures under a specific gradient flow.

problem Analyzing the evolution of Gaussian measures under a specific gradient flow.
method Derives ordinary differential equations governing the evolution of mean, covariance, and mass under the HK-Boltzmann gradient flow.
result Exponential convergence to equilibrium demonstrated through Polyak-Lojasiewicz-type inequalities.

We prove the eventological HH-theorem that complements the Boltzmann H-theorem from statistical mechanics and serves as a mathematical excuse (mathematically no less convincing than the Boltzmann H-theorem for the second law of thermodynamics) for what can be called "the second law of eventology", which justifies the …

2018-09-19abs ↗pdf ↗

Researchers use Gaussian processes to approximate Lagrange multipliers for Maximum-Entropy distributions.

problem Finding Lagrange multipliers for Maximum-Entropy distributions is computationally challenging.
method Employed Gaussian processes to approximate the Lagrange multipliers as a map of moments. Optimized hyperparameters by maximizing log-likelihood.
result Data-driven Maximum-Entropy closure performs well in approximating non-equilibrium distributions.

We introduce the notions of `super-Ricci flows' and `Ricci flows' for time-dependent families of metric measure spaces (X,dt,mt)tI(X,d_t,m_t)_{t\in I}. The former property is proven to be stable under suitable space-time versions of mGH-convergence. Uniformly bounded families of super-Ricci flows are compact. In the spirit of t…

2016-03-07abs ↗pdf ↗

Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmetries for a explanation of this fact. Kelly's approach allows for an interesting financial interpretation of the Boltzmann/Shannon entropy. A…

2006-07-18abs ↗pdf ↗

We review some approaches to the understanding of fluctuations in some models used to describe socio and economic systems. Our approach builds on the development of a simple Langevin equation that characterises stochastic processes. This provides a unifying approach that allows first a straightforward description of th…

2003-09-17abs ↗pdf ↗

Restricted Boltzmann machines (RBMs) are a powerful class of generative models, but their training requires computing a gradient that, unlike supervised backpropagation on typical loss functions, is notoriously difficult even to approximate. Here, we show that properly combining standard gradient updates with an off-gr…

2020-01-15abs ↗pdf ↗

The paper extends entropy maximization to multiscale settings and applies it to neural networks.

problem Achieving optimal risk bounds in neural networks using multiscale entropy.
method Generalizing maximum entropy to multiscale settings and applying it to neural networks.
result The multiscale Gibbs posterior can achieve a smaller excess risk than the single-scale Gibbs posterior in a teacher-student scenario.

In this paper, we propose a novel maximum causal Tsallis entropy (MCTE) framework for imitation learning which can efficiently learn a sparse multi-modal policy distribution from demonstrations. We provide the full mathematical analysis of the proposed framework. First, the optimal solution of an MCTE problem is shown …

2018-05-22abs ↗pdf ↗

The cornerstone of Boltzmann-Gibbs (BGBG) statistical mechanics is the Boltzmann-Gibbs-Jaynes-Shannon entropy SBGkdxf(x)lnf(x)S_{BG} \equiv -k\int dx f(x)\ln f(x), where kk is a positive constant and f(x)f(x) a probability density function. This theory has exibited, along more than one century, great success in the treatment of syste…

2005-03-02abs ↗pdf ↗

Statistical mechanics explains income and wealth distribution in developed economies.

problem Understanding the distribution of income and wealth in developed economies.
method Derive the distribution from firm dynamics using maximum entropy and mixture aggregation.
result Derive the robust two-class structure of income and wealth distribution.

Modified Gibbs-Helmholtz equation geometric models for thermodynamics.

problem Geometric interpretation of Gibbs-Helmholtz equation in thermodynamics.
method Developed new holonomic and non-holonomic geometric models associated to Gibbs-Helmholtz equation.
result Characterized equivalence between Gibbs-Helmholtz entropy and other entropies.

We analyze a simple asset transfer model in which the transfer amount is a fixed fraction ff of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, solving it analytically and numerically for the steady-state distribution, and exploring the solutions for various values o…

2010-04-29abs ↗pdf ↗

The paper introduces a new price model based on entropy that better fits high-frequency market data.

problem Understanding fair prices in high-frequency markets with bid-ask imbalance.
method A parametrized family of prices derived from the Maximum Entropy Principle, minimizing bias given volume imbalance.
result The model can generate higher kurtosis and heavy-tailed distributions compared to standard models.

The restricted Boltzmann machine (RBM) is one of the fundamental building blocks of deep learning. RBM finds wide applications in dimensional reduction, feature extraction, and recommender systems via modeling the probability distributions of a variety of input data including natural images, speech signals, and custome…

2017-01-17abs ↗pdf ↗

We present transductive Boltzmann machines (TBMs), which firstly achieve transductive learning of the Gibbs distribution. While exact learning of the Gibbs distribution is impossible by the family of existing Boltzmann machines due to combinatorial explosion of the sample space, TBMs overcome the problem by adaptively …

2018-05-21abs ↗pdf ↗

Quantum Boltzmann Machines trained on quantum annealers produce noisy synthetic data.

problem Training quantum Boltzmann machines on quantum annealers for financial data generation.
method Used D-Wave Advantage 4.1 quantum annealer to train QBMs and compare with classical RBMs.
result Quantum Boltzmann Machines trained on quantum annealers are noisier and less effective than classical RBMs.

We introduce a new method for training deep Boltzmann machines jointly. Prior methods require an initial learning pass that trains the deep Boltzmann machine greedily, one layer at a time, or do not perform well on classifi- cation tasks.

2012-12-12abs ↗pdf ↗

RBM and DBM are represented as 2D tensor networks, revealing their expressive power and efficiency.

problem Understanding and optimizing RBM and DBM models.
method Representing RBM and DBM as 2D tensor networks and developing an efficient tensor network contraction algorithm.
result The proposed algorithm for computing partition functions is more accurate than state-of-the-art methods.

A new method speeds up sampling of Boltzmann distribution in high-dimensional systems.

problem High computational cost of obtaining Jacobian of flow-based models in high dimensions.
method Flow perturbation method that incorporates stochastic perturbations and reweighting.
result Achieves unbiased sampling of Boltzmann distribution with orders of magnitude speedup.

We show that deep narrow Boltzmann machines are universal approximators of probability distributions on the activities of their visible units, provided they have sufficiently many hidden layers, each containing the same number of units as the visible layer. We show that, within certain parameter domains, deep Boltzmann…

2014-11-14abs ↗pdf ↗

A new machine learning model uses score matching to estimate probability densities efficiently.

problem Estimating probability density functions is challenging.
method Introduced a product Jacobi-Theta Boltzmann machine (pJTBM) and used score matching for efficient fitting.
result The pJTBM can fit probability densities more efficiently than the RTBM using score matching.