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.
In recent years, we have witnessed an increased interest in temporal modeling of patient records from large scale Electronic Health Records (EHR). While simpler RNN models have been used for such problems, memory networks, which in other domains were found to generalize well, are underutilized. Traditional memory netwo…
We investigate the robustness properties of image recognition models equipped with two features inspired by human vision, an explicit episodic memory and a shape bias, at the ImageNet scale. As reported in previous work, we show that an explicit episodic memory improves the robustness of image recognition models agains…
Memory networks are neural networks with an explicit memory component that can be both read and written to by the network. The memory is often addressed in a soft way using a softmax function, making end-to-end training with backpropagation possible. However, this is not computationally scalable for applications which …
We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in relationship with stochastic volatility models.
We give explicit representation formulas for marginally trapped submanifolds of co-dimension two in pseudo-Riemannian spaces with arbitrary signature and constant sectional curvature. This paper is dedicated to the memory of Franki Dillen, 1963-2013.
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…
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with memory as e.g. a Lévy semi-stationary process. Moreover a risk premium \r{ho} representing storage costs, illiquidity, convenience yield or…
Personalized predictive medicine necessitates the modeling of patient illness and care processes, which inherently have long-term temporal dependencies. Healthcare observations, recorded in electronic medical records, are episodic and irregular in time. We introduce DeepCare, an end-to-end deep dynamic neural network t…
Deep reinforcement learning algorithms have recently been used to train multiple interacting agents in a centralised manner whilst keeping their execution decentralised. When the agents can only acquire partial observations and are faced with tasks requiring coordination and synchronisation skills, inter-agent communic…
Adaptive beamforming collapses in highly non-stationary environments, but the Universal Switching Beamformer resolves this by dynamically adjusting memory length.
problem Adaptive beamforming performance degrades in highly non-stationary environments.
method Integrating sequential prediction into the beamforming architecture.
result The USB achieves agility and precision in tracking highly non-stationary scenes.
The Sinkhorn "distance", a variant of the Wasserstein distance with entropic regularization, is an increasingly popular tool in machine learning and statistical inference. However, the time and memory requirements of standard algorithms for computing this distance grow quadratically with the size of the data, making th…
Recurrent neural networks (RNNs) have drawn interest from machine learning researchers because of their effectiveness at preserving past inputs for time-varying data processing tasks. To understand the success and limitations of RNNs, it is critical that we advance our analysis of their fundamental memory properties. W…
Modern deep learning-based recommendation systems exploit hundreds to thousands of different categorical features, each with millions of different categories ranging from clicks to posts. To respect the natural diversity within the categorical data, embeddings map each category to a unique dense representation within a…
In model-based reinforcement learning, generative and temporal models of environments can be leveraged to boost agent performance, either by tuning the agent's representations during training or via use as part of an explicit planning mechanism. However, their application in practice has been limited to simplistic envi…
Kernel approximation methods create explicit, low-dimensional kernel feature maps to deal with the high computational and memory complexity of standard techniques. This work studies a supervised kernel learning methodology to optimize such mappings. We utilize the Discriminant Information criterion, a measure of class …
In this paper, we propose a dual memory structure for reinforcement learning algorithms with replay memory. The dual memory consists of a main memory that stores various data and a cache memory that manages the data and trains the reinforcement learning agent efficiently. Experimental results show that the dual memory …
Study optimal policy regret in partially observable Markov games with adaptive opponents.
problem Optimal sequential decision-making in partially observable environments against strategic, adaptive opponents.
method An epoch-based optimistic maximum-likelihood algorithm that selects one policy per epoch using confidence sets built cumulatively from past data.
result Achieves ildeO(T) policy regret for fixed problem parameters, with explicit dependence on horizon, adversary memory, confidence radius, and aggregate Eluder dimension.