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.
We address the online linear optimization problem with bandit feedback. Our contribution is twofold. First, we provide an algorithm (based on exponential weights) with a regret of order dnlogN for any finite action set with N actions, under the assumption that the instantaneous loss is bounded by 1. This…
Prompted by a recent experiment by Victor Haghani and Richard Dewey, this note generalises the Kelly strategy (optimal for simple investment games with log utility) to a large class of practical utility functions and including the effect of extraneous wealth. A counterintuitive result is proved : for any continuous, co…
Despite its omnipresence in robotics application, the nature of spatial knowledge and the mechanisms that underlie its emergence in autonomous agents are still poorly understood. Recent theoretical work suggests that the concept of space can be grounded by capturing invariants induced by the structure of space in an ag…
We consider the problem of precision matrix estimation where, due to extraneous confounding of the underlying precision matrix, the data are independent but not identically distributed. While such confounding occurs in many scientific problems, our approach is inspired by recent neuroscientific research suggesting that…
Curating labeled training data has become the primary bottleneck in machine learning. Recent frameworks address this bottleneck with generative models to synthesize labels at scale from weak supervision sources. The generative model's dependency structure directly affects the quality of the estimated labels, but select…
Gaussian processes are rich distributions over functions, with generalization properties determined by a kernel function. When used for long-range extrapolation, predictions are particularly sensitive to the choice of kernel parameters. It is therefore critical to account for kernel uncertainty in our predictive distri…
Cluster analysis is a field of data analysis that extracts underlying patterns in data. One application of cluster analysis is in text-mining, the analysis of large collections of text to find similarities between documents. We used a collection of about 30,000 tweets extracted from Twitter just before the World Cup st…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access t…
We propose a novel technique for analyzing adaptive sampling called the {\em Simulator}. Our approach differs from the existing methods by considering not how much information could be gathered by any fixed sampling strategy, but how difficult it is to distinguish a good sampling strategy from a bad one given the limit…
The Gaussian curvature of a two-dimensional Riemannian manifold is uniquely determined by the choice of the metric. The formulas for computing the curvature in terms of components of the metric, in isothermal coordinates, involve the Laplacian operator and therefore, the problem of finding a Riemannian metric for a giv…
There has been great interest recently in applying nonparametric kernel mixtures in a hierarchical manner to model multiple related data samples jointly. In such settings several data features are commonly present: (i) the related samples often share some, if not all, of the mixture components but with differing weight…
Statistical inference is considered for variables of interest, called primary variables, when auxiliary variables are observed along with the primary variables. We consider the setting of incomplete data analysis, where some primary variables are not observed. Utilizing a parametric model of joint distribution of prima…
In this paper, we propose multi-variable LSTM capable of accurate forecasting and variable importance interpretation for time series with exogenous variables. Current attention mechanism in recurrent neural networks mostly focuses on the temporal aspect of data and falls short of characterizing variable importance. To …
Variable importance is central to scientific studies, including the social sciences and causal inference, healthcare, and other domains. However, current notions of variable importance are often tied to a specific predictive model. This is problematic: what if there were multiple well-performing predictive models, and …
Unified Bayesian Optimisation for mixed variables improves performance.
problem Efficient optimisation of problems with both categorical and continuous variables.
method Derive value proposals from the Expected Improvement criterion to optimise both categorical and continuous variables under a single acquisition metric.
result Unified approach significantly outperforms existing methods across mixed-variable tasks.
In this paper, we propose an interpretable LSTM recurrent neural network, i.e., multi-variable LSTM for time series with exogenous variables. Currently, widely used attention mechanism in recurrent neural networks mostly focuses on the temporal aspect of data and falls short of characterizing variable importance. To th…
Variable selection for Gaussian process models is often done using automatic relevance determination, which uses the inverse length-scale parameter of each input variable as a proxy for variable relevance. This implicitly determined relevance has several drawbacks that prevent the selection of optimal input variables i…
A serious problem in learning probabilistic models is the presence of hidden variables. These variables are not observed, yet interact with several of the observed variables. Detecting hidden variables poses two problems: determining the relations to other variables in the model and determining the number of states of …