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.
The paper tackles finding optimal treatment sequences in continuous state spaces.
problem Finding counterfactually optimal action sequences in continuous state spaces.
method Formalizes the problem using finite horizon Markov decision processes and structural causal models. Develops a search method based on the A* algorithm.
result The method can find optimal action sequences in polynomial time under certain conditions.
Bayesian decision theory outlines a rigorous framework for making optimal decisions based on maximizing expected utility over a model posterior. However, practitioners often do not have access to the full posterior and resort to approximate inference strategies. In such cases, taking the eventual decision-making task i…
SMART combines decision trees and MARS for better regression modeling.
problem High variance in decision trees for continuous relationships, poor performance in MARS for discontinuities.
method SMART uses a decision tree to identify subsets with distinct continuous relationships, then applies MARS to fit these relationships independently.
result SMART improves regression performance over state-of-the-art methods in capturing discontinuities and continuous relationships.
We consider the optimization of an uncertain objective over continuous and multi-dimensional decision spaces in problems in which we are only provided with observational data. We propose a novel algorithmic framework that is tractable, asymptotically consistent, and superior to comparable methods on example problems. O…
POWSS simplifies Q-value estimation in POMDPs with continuous observations.
problem Lack of theoretical justification for online sampling-based algorithms in POMDPs with continuous observation spaces.
method Developed POWSS, a simplified algorithm that estimates Q-values accurately with high probability and can approach optimality with increased computational power.
result POWSS provides formal theoretical guarantees for Q-value estimation in POMDPs with continuous observations.
Stochastic domains often involve risk-averse decision makers. While recent work has focused on how to model risk in Markov decision processes using risk measures, it has not addressed the problem of solving large risk-averse formulations. In this paper, we propose and analyze a new method for solving large risk-averse …
Investment decisions can benefit from incorporating an accumulated knowledge of the past to drive future decision making. We introduce Continual Learning Augmentation (CLA) which is based on an explicit memory structure and a feed forward neural network (FFNN) base model and used to drive long term financial investment…
We present the first PAC optimal algorithm for Bayes-Adaptive Markov Decision Processes (BAMDPs) in continuous state and action spaces, to the best of our knowledge. The BAMDP framework elegantly addresses model uncertainty by incorporating Bayesian belief updates into long-term expected return. However, computing an e…
In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real stock markets. Each trader has a unique decision function, which allows him/ her t…
The study examines robust decision-making in volatile financial markets, finding action robustness is more impactful than uncertainty tolerance.
problem Sequential decision making in high-frequency markets under evolving uncertainty.
method Analyzes two dimensions of robustness: uncertainty tolerance and action robustness, using simulations and empirical evidence.
result Action robustness has a larger impact on profitability than uncertainty tolerance, and excessive robustness can reduce profitability in illiquid markets.
We show that for neural network functions that have width less or equal to the input dimension all connected components of decision regions are unbounded. The result holds for continuous and strictly monotonic activation functions as well as for the ReLU activation function. This complements recent results on approxima…
Recently proposed budding tree is a decision tree algorithm in which every node is part internal node and part leaf. This allows representing every decision tree in a continuous parameter space, and therefore a budding tree can be jointly trained with backpropagation, like a neural network. Even though this continuity …
We present SplineNets, a practical and novel approach for using conditioning in convolutional neural networks (CNNs). SplineNets are continuous generalizations of neural decision graphs, and they can dramatically reduce runtime complexity and computation costs of CNNs, while maintaining or even increasing accuracy. Fun…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a significant departure from existing continuous time modeling because it cannot be d…
This study analyzes convergence and stability of reinforcement learning algorithms.
problem Understanding the conditions under which reinforcement learning algorithms converge and remain stable.
method Theoretical analysis of convergence and stability of Episodic Upside-Down Reinforcement Learning, Goal-Conditioned Supervised Learning, and Online Decision Transformers.
result The algorithms can achieve near-optimal behavior if the transition kernel is close to a deterministic kernel.