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.
Study compares CDS databases and finds discrepancies due to various factors.
The study compares different models for predicting factor premiums and finds neural networks perform better but have unstable weights.
This paper compares two stock factor models in China's A-share market.
This tutorial introduces the CMA Evolution Strategy (ES), where CMA stands for Covariance Matrix Adaptation. The CMA-ES is a stochastic, or randomized, method for real-parameter (continuous domain) optimization of non-linear, non-convex functions. We try to motivate and derive the algorithm from intuitive concepts and …
This paper introduces a novel theoretically sound approach for the celebrated CMA-ES algorithm. Assuming the parameters of the multi variate normal distribution for the minimum follow a conjugate prior distribution, we derive their optimal update at each iteration step. Not only provides this Bayesian framework a justi…
CMA-ME combines CMA-ES and MAP-Elites for better quality and diversity in continuous domains.
Bayesian model averaging (BMA) is the state of the art approach for overcoming model uncertainty. Yet, especially on small data sets, the results yielded by BMA might be sensitive to the prior over the models. Credal Model Averaging (CMA) addresses this problem by substituting the single prior over the models by a set …
Contextual policy search (CPS) is a class of multi-task reinforcement learning algorithms that is particularly useful for robotic applications. A recent state-of-the-art method is Contextual Covariance Matrix Adaptation Evolution Strategies (C-CMA-ES). It is based on the standard black-box optimization algorithm CMA-ES…
Proximal Policy Optimization (PPO) is a highly popular model-free reinforcement learning (RL) approach. However, we observe that in a continuous action space, PPO can prematurely shrink the exploration variance, which leads to slow progress and may make the algorithm prone to getting stuck in local optima. Drawing insp…
This paper diagnoses factor-model pricing errors using a new method.
We present a scalable, black box, perception-in-the-loop technique to find adversarial examples for deep neural network classifiers. Black box means that our procedure only has input-output access to the classifier, and not to the internal structure, parameters, or intermediate confidence values. Perception-in-the-loop…
The paper diagnoses factor models using characteristic axes and zero-curve restrictions.
The paper diagnoses factor-model pricing errors using characteristic axes and bridge-alpha curves.
New method handles indirect mediators in CMA for complex scenarios.
Real-world optimization problems often have expensive objective functions in terms of cost and time. It is desirable to find near-optimal solutions with very few function evaluations. Surrogate-assisted optimizers tend to reduce the required number of function evaluations by replacing the real function with an efficien…
This paper revisits the Bayesian CMA-ES and provides updates for normal Wishart. It emphasizes the difference between a normal and normal inverse Wishart prior. After some computation, we prove that the only difference relies surprisingly in the expected covariance. We prove that the expected covariance should be lower…
Modern machine learning uses more and more advanced optimization techniques to find optimal hyper parameters. Whenever the objective function is non-convex, non continuous and with potentially multiple local minima, standard gradient descent optimization methods fail. A last resource and very different method is to ass…
Novel method for high-dimensional BO using CMA to define local regions.
This paper investigates the control of an ML component within the Covariance Matrix Adaptation Evolution Strategy (CMA-ES) devoted to black-box optimization. The known CMA-ES weakness is its sample complexity, the number of evaluations of the objective function needed to approximate the global optimum. This weakness is…
Black-box optimization is primarily important for many compute-intensive applications, including reinforcement learning (RL), robot control, etc. This paper presents a novel theoretical framework for black-box optimization, in which our method performs stochastic update with the implicit natural gradient of an exponent…
New method finds better loss functions for neural nets.
LLMs struggle to optimize hyperparameters efficiently, but hybrid methods can improve performance.
The MAP-Elites algorithm produces a set of high-performing solutions that vary according to features defined by the user. This technique has the potential to be a powerful tool for design space exploration, but is limited by the need for numerous evaluations. The Surrogate-Assisted Illumination algorithm (SAIL), introd…
We examine several recently suggested methods for the detection of long-range correlations in data series based on similar ideas as the well-established Detrended Fluctuation Analysis (DFA). In particular, we present a detailed comparison between the regular DFA and two recently suggested methods: the Centered Moving A…
CR-FM-NES improves NES for high-dimensional optimization.
In this paper, we will provide an introduction to the derivative-free optimization algorithms which can be potentially applied to train deep learning models. Existing deep learning model training is mostly based on the back propagation algorithm, which updates the model variables layers by layers with the gradient desc…
In this paper, we will provide an introduction to the derivative-free optimization algorithms which can be potentially applied to train deep learning models. Existing deep learning model training is mostly based on the back propagation algorithm, which updates the model variables layers by layers with the gradient desc…
Proposes new method to handle hidden confounders in causal mediation analysis.
Study compares high-dimensional BO algorithms on 24 functions.
This paper improves compression of large NLP models using doped Kronecker Products.
Gradients help find global optima in complex functions.
Quantum neural networks improve causal inference in biomedical studies, especially for small samples.
Unified approach to domain generalization by aligning gradients and Hessians.
In this paper, we show that along -Fano fibration, when general fibres, base and central fiber (with at worst Kawamata log terminal singularities)are K-poly stable then there exists a relative Kähler-Einstein metric. We introduce the fiberwise Kähler-Einstein foliation and we mention that the main difficulty…
We propose a new class of structured methods for Monte Carlo (MC) sampling, called DPPMC, designed for high-dimensional nonisotropic distributions where samples are correlated to reduce the variance of the estimator via determinantal point processes. We successfully apply DPPMCs to problems involving nonisotropic distr…
New deep learning model optimizes energy use in buildings.
Derives a method to optimize high-dimensional functions on low-dimensional manifolds.
For projective varieties with definite first Chern class we have one type of canonical metric which is called Kähler-Einstein metric. But for varieties with an intermidiate Kodaira dimension we can have several different types of canonical metrics. In this paper we introduce a new notion of canonical metric for varieti…
We study geometric properties of the Lagrangian self-shrinking tori in . When the area is bounded above uniformly, we prove that the entropy for the Lagrangian self-shrinking tori can only take finitely many values; this is done by deriving a Łojasiewicz-Simon type gradient inequality for the branched conf…
As the complexity of neural network models has grown, it has become increasingly important to optimize their design automatically through metalearning. Methods for discovering hyperparameters, topologies, and learning rate schedules have lead to significant increases in performance. This paper shows that loss functions…
Design optimization techniques are often used at the beginning of the design process to explore the space of possible designs. In these domains illumination algorithms, such as MAP-Elites, are promising alternatives to classic optimization algorithms because they produce diverse, high-quality solutions in a single run,…
We present an off-policy actor-critic algorithm for Reinforcement Learning (RL) that combines ideas from gradient-free optimization via stochastic search with learned action-value function. The result is a simple procedure consisting of three steps: i) policy evaluation by estimating a parametric action-value function;…
Information-Geometric Optimization (IGO) is a unified framework of stochastic algorithms for optimization problems. Given a family of probability distributions, IGO turns the original optimization problem into a new maximization problem on the parameter space of the probability distributions. IGO updates the parameter …
In this paper, we revisit the Kalman filter theory. After giving the intuition on a simplified financial markets example, we revisit the maths underlying it. We then show that Kalman filter can be presented in a very different fashion using graphical models. This enables us to establish the connection between Kalman fi…
The most data-efficient algorithms for reinforcement learning in robotics are model-based policy search algorithms, which alternate between learning a dynamical model of the robot and optimizing a policy to maximize the expected return given the model and its uncertainties. However, the current algorithms lack an effec…
In statistical modelling the biggest threat is concept drift which makes the model gradually showing deteriorating performance over time. There are state of the art methodologies to detect the impact of concept drift, however general strategy considered to overcome the issue in performance is to rebuild or re-calibrate…
In this paper, we revisit the parameter learning problem, namely the estimation of model parameters for Dynamic Bayesian Networks (DBNs). DBNs are directed graphical models of stochastic processes that encompasses and generalize Hidden Markov models (HMMs) and Linear Dynamical Systems (LDSs). Whenever we apply these mo…
In this study, we perform a novel analysis of the 2015 financial bubble in the Chinese stock market by calibrating the Log Periodic Power Law Singularity (LPPLS) model to two important Chinese stock indices, SSEC and SZSC, from early 2014 to June 2015. The back tests of the 2015 Chinese stock market bubbles indicates t…