Solves portfolio optimization with costs using numerical methods.
problem Dynamic portfolio optimization with transaction costs and constraints.
method Numerical dynamic programming techniques.
result Problems can now be solved tractably.
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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 “Dynamic Problems”
Machine learning infers time-reversible dynamics from data.
problem Learn time-reversible dynamics constrained by initial and final conditions.
method Machine learning algorithms solve boundary value problems for deterministic and stochastic dynamics.
result Inferred time-reversible dynamics for various types of systems.
Researchers tackle the globalization problem of locally cosymplectic Hamiltonian dynamics.
problem Globalization problem of locally cosymplectic Hamiltonian dynamics.
method Investigate the geometry of locally conformally cosymplectic manifolds and provide a geometric Hamilton-Jacobi theory.
result Provide a geometric Hamilton-Jacobi theory on locally conformally cosymplectic manifolds.
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem is then approached using the method of dynamic programming. Dynamic programming m…
Reinforcement learning would enjoy better success on real-world problems if domain knowledge could be imparted to the algorithm by the modelers. Most problems have both hidden state and unknown dynamics. Partially observable Markov decision processes (POMDPs) allow for the modeling of both. Unfortunately, they do not p…
Paper models non-linear dynamics from time series data.
problem Modeling non-linear dynamical systems from time series data.
method Introduces latent state modeling and a novel alternating minimization algorithm.
result LaNoLem achieves competitive performance in dynamics estimation and prediction.
We introduce a dynamical-systems approach for the study of the Sard problem in sub-Riemannian Carnot groups. We show that singular curves can be obtained by concatenating trajectories of suitable dynamical systems. As an applications, we positively answer the Sard problem in some classes of Carnot groups.
Develops a new method for risk diversification using dynamic risk measures.
problem Dynamic risk diversification in investment portfolios.
method Introduces dynamic risk contributions and a recursive optimization approach for coherent dynamic distortion risk measures.
result Dynamic risk budgeting strategies can be solved using deep learning.
Dynamic characterization of barycentric optimal transport problems and their martingale relaxationmath.PR
Extends optimal transport to dynamic and martingale settings.
problem Dynamic and martingale relaxation of optimal transport problems.
method Extends Benamou-Brenier formula to weak optimal transport and introduces barycentric optimal transport.
result Relates barycentric optimal transport to martingale Benamou-Brenier formula.
Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in Mathematical Finance and is referred to as the dynamic Markowitz problem (when the risk is measured by variance) or more generally, the dynamic mean-risk problem. I…
New algorithm improves convergence for non-convex problems with boundaries.
problem Optimizing non-convex problems with constraints.
method Reflected Gradient Langevin Dynamics with probabilistic representation.
result Promising convergence rates, faster than existing methods.
A Deep Reinforcement Learning Algorithm Using Dynamic Attention Model for Vehicle Routing Problemscs.LG
A new dynamic attention model improves vehicle routing problem solutions.
problem Vehicle routing problems (VRP) are NP-hard and challenging to solve.
method Dynamic attention model with a dynamic encoder-decoder architecture.
result The model outperforms previous methods and shows good generalization.
Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharingq-fin.RM
In this paper we analyze a dynamic recursive extension of the (static) notion of a deviation measure and its properties. We study distribution invariant deviation measures and show that the only dynamic deviation measure which is law invariant and recursive is the variance. We also solve the problem of optimal risk-sha…
Paper analyzes convergence of dynamic policy gradient for MDPs, improving performance in finite-time problems.
problem Optimal policies in finite-time MDPs are not stationary and require epoch-specific training.
method Introduces dynamic policy gradient combining dynamic programming and policy gradient, analyzes convergence for softmax parametrisation.
result Dynamic policy gradient training exploits finite-time structure, leading to better convergence bounds.
Paper unifies subspace identification and DMD for dynamical systems.
problem Estimating dynamical models from data.
method Unified optimization and regression problems for SID and DMD.
result Proves equivalence of SID and DMD for optimal model construction.
This paper addresses the problem of learning the optimal control policy for a nonlinear stochastic dynamical system with continuous state space, continuous action space and unknown dynamics. This class of problems are typically addressed in stochastic adaptive control and reinforcement learning literature using model-b…
Equivalence of convex optimization, saddle-point problems, and variational inequalities is a well-established concept. The variational inequality (VI) is a static problem which is studied under dynamical settings using a framework called the projected dynamical system, whose stationary points coincide with the static s…
New machine learning pipeline solves dynamic vehicle routing problems efficiently.
problem Efficiently handling same day deliveries in e-commerce logistics.
method Combination of machine learning and combinatorial optimization.
result Ranked first in the EURO Meets NeurIPS Vehicle Routing Competition.
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor shall decide on reallocation of the portfolio. At each moment of time, the prices…
Two heuristics solve dynamic multiple travelling salesmen problems.
problem Dynamic routing with unknown customers.
method Balanced dynamic closest vehicle heuristic and balanced dynamic assignment vehicle heuristic.
result Continuous approximation models for strategic dynamic routing.
Community-based system dynamics improves ML fairness by involving excluded stakeholders.
problem Bias in ML system development during problem formulation.
method Community-based system dynamics (CBSD) for stakeholder participation.
result CBSD facilitates deeper problem understanding and bias mitigation.
Universal online optimization for dynamic environments using uniclass prediction.
problem Online optimization in changing environments with dynamic regret.
method Reduces dynamic online optimization to uniclass prediction problem, allowing control over dynamic regret bounds.
result First paper with state-of-the-art dynamic regret guarantees for general convex cost functions.
HRM-Agent: Training a recurrent reasoning model in dynamic environments using reinforcement learningcs.AI
HRM-Agent learns to navigate dynamic mazes using reinforcement learning.
problem Training HRM in dynamic, uncertain, partially observable environments.
method Reinforcement learning to train HRM-Agent.
result HRM-Agent successfully learns to navigate dynamic mazes.
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
Study minimax rates for online learning with time-varying dynamics.
problem Online learning with time-varying state and cost dynamics.
method Non-constructive upper and lower bounds, complexity and stability terms.
result Characterization of minimax rates and necessary conditions for learnability.
Efficiently tunes hyperparameters with dynamic accuracy method.
problem Optimizing machine learning hyperparameters with inexact evaluations.
method Dynamic accuracy derivative-free optimization for hyperparameter tuning.
result Demonstrates robust and efficient hyperparameter tuning compared to fixed accuracy methods.
Algorithm selects best model based on state, reducing costs.
problem Choosing the best model among many in different states of the world.
method Reinforcement learning algorithm to estimate optimal policy.
result Algorithm consistently selects optimal model based on covariates.
Model dynamic customer sensitivities across categories.
problem Dynamic heterogeneity in customer sensitivities to marketing elements.
method Hierarchical dynamic factor model with Bayesian nonparametric Gaussian processes.
result Dynamic heterogeneity can be explained by a few global trends.
Parametric identification of the dynamics of inter-sectoral balance: modelling and forecastingmath.DS
This work is devoted to modelling and identification of the dynamics of the inter-sectoral balance of a macroeconomic system. An approach to the problem of specification and identification of a weakly formalized dynamical system is developed. A matching procedure for parameters of a linear stationary Cauchy problem wit…
New algorithm adapts to unknown demand smoothness for dynamic pricing.
problem Dynamic pricing with unknown Hölder smoothness of demand function.
method Self-similarity condition and adaptive algorithm.
result Adaptive algorithm achieves minimax optimal regret without prior knowledge of smoothness.
Problem of global integration of geometric structures arising in the theory of dynamical systems admitting the normal shift is considered. In the case when such integration is possible the problem of globalization for shift maps is studied.
DPDP combines neural heuristics with DP for vehicle routing problems.
problem Vehicle routing problems with large scale.
method Deep Policy Dynamic Programming (DPDP) that uses a neural network policy to prioritize and restrict the DP state space.
result DPDP improves upon classical DP algorithms and outperforms neural approaches for TSP, VRP, and TSPTW.
MaxCOSD algorithm tackles non-i.i.d. demands and stateful dynamics in online inventory control.
problem Managing inventory with non-i.i.d. demands and stateful dynamics.
method MaxCOSD, an online algorithm with provable guarantees for non-degeneracy assumptions.
result MaxCOSD achieves optimal performance for non-i.i.d. demands and stateful dynamics.
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an initial condition and view the problem as a stochastic control problem; we esta…
Algorithm learns dynamics from past observations.
problem Learning a nonlinear dynamical system.
method Spectral filtering, online convex optimization.
result Vanishing prediction error for marginally stable systems.
We consider the -means clustering problem in the dynamic streaming setting, where points from a discrete Euclidean space can be dynamically inserted to or deleted from the dataset. For this problem, we provide a one-pass coreset construction algorithm using space $\tilde{O}(k\cdot \mathrm{pol…
Geometric Hydrodynamics tackles open problems in fluid dynamics.
problem Open problems in fluid dynamics and invariant metrics.
method Variational settings, models for invariant metrics, Cauchy and boundary value problems.
result New constructions and recent developments in fluid dynamics.
Model stock price dynamics using semi-Markov processes.
problem Model stock price dynamics through a semi-Markov process.
method Use semi-Markov process with Poisson random measure, establish existence and uniqueness of solution, derive HJB equation.
result Obtain expressions for optimal controls and value function using HJB equation.
A dynamical neural network consists of a set of interconnected neurons that interact over time continuously. It can exhibit computational properties in the sense that the dynamical system's evolution and/or limit points in the associated state space can correspond to numerical solutions to certain mathematical optimiza…
The regression of multiple inter-connected sequence data is a problem in various disciplines. Formally, we name the regression problem of multiple inter-connected data entities as the "dynamic network regression" in this paper. Within the problem of stock forecasting or traffic speed prediction, we need to consider bot…
New algorithm reduces performance loss in IRL with mismatched transition dynamics.
problem Performance degradation in inverse reinforcement learning due to mismatched transition dynamics.
method Proposed a robust Maximum Causal Entropy (MCE) IRL algorithm leveraging robust reinforcement learning insights.
result Empirically demonstrated stable performance improvement under transition dynamics mismatches.
New estimator learns symmetric dynamics from few observations.
problem Learning parameters of stochastic linear dynamics from limited data.
method Method of moments estimator using observations.
result Achieves small maximum element-wise error on symmetric matrices.
A neural network approach solves dynamic portfolio optimization without dynamic programming.
problem Dynamic portfolio optimization with multiple constraints and high rebalancing frequency.
method Parsimonious neural network without dynamic programming, avoiding high-dimensional expectations.
result Proves convergence to theoretical optimal solution under general conditions.
Formula for the force field of Newtonian dynamical systems admitting the normal shift of hypersurfaces in Riemannian manifolds is considered. Problem of globalization for geometric structures associated with this formula is studied.
Deep learning solves dynamic programming with recursive utility.
problem Challenges in solving high-dimensional discrete-time dynamic programming problems with recursive utility.
method Certainty Equivalent Learning (CEL) algorithm that learns certainty-equivalent value directly with neural networks.
result Accurate value and policy approximations in high-dimensional problems, comparable to VFI in some cases.
New model predicts dynamic volatility in uncertain financial markets.
problem Predicting dynamic volatility in financial markets with uncertainty.
method Generalized Barndorff-Nielsen and Shephard (BN-S) model considering delay and fuzziness.
result Effective prediction of dynamic volatility with improved performance.
Dynamic reinsurance aims to minimize surplus risk using martingale transport.
problem Minimizing surplus risk in dynamic reinsurance.
method Martingale optimal transport techniques.
result A tractable solution analogous to the Bass martingale is found.
Paper adds Fisher Information to mean field optimization for faster convergence.
problem Mean field optimization in neural networks training.
method Developed energy-dissipation method and gradient flow on probability space.
result Marginal distributions converge exponentially to minimizer.