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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.

169,291 papers · 148 categories

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48 results for Markov chain choice model

Study identifies Markov chain model parameters from small assortments.

problem Identifying parameters of Markov chain choice models from large assortments.
method Simple and efficient algorithm to recover parameters from assortments of sizes two and three.
result Parameters of the Markov chain choice model can be identified from assortments of sizes two and three.

As datasets capturing human choices grow in richness and scale -- particularly in online domains -- there is an increasing need for choice models that escape traditional choice-theoretic axioms such as regularity, stochastic transitivity, and Luce's choice axiom. In this work we introduce the Pairwise Choice Markov Cha…

2016-03-08abs ↗pdf ↗

Proposes new methods for Markov chain choice models with panel data.

problem Dependence among transactions for the same customer in historical data.
method Expectation-maximization (EM) algorithms incorporating partial-ordering preference information.
result EM algorithms outperform traditional methods on synthetic and real datasets.

Paper generalizes Markov chain model to handle dynamic preferences and choice overload.

problem Modeling dynamic customer substitution behavior in assortment optimization.
method Generalizes Markov chain model to account for choice overload.
result Proposes a Markov chain model that reduces to a generalized MNL model with assortment-dependent no-purchase attractions.

Optimizes control of hybrid systems with multiple switching processes.

problem Optimal control of hybrid systems with multiple Markov switching processes.
method Combines two separate Markov chains into one synthetic chain, derives HJB equations, and solves the portfolio choice problem.
result Derives explicit solutions and value functions for the optimal control problem.

PCMC-Net uses neural networks to estimate transition rates in choice models, improving accuracy over traditional methods.

problem Inference limitations of traditional PCMC models when examples are scarce or new alternatives are observed.
method Amortized inference approach embedding PCMC definition into a neural network.
result Neural network outperforms feature engineered and machine learning models in airline booking prediction.

This paper introduces a new method for optimizing large-scale problems using Markov chain block updates.

problem Optimizing large-scale problems with efficient and natural block selection.
method Markov chain block coordinate descent (BCD) for optimization.
result The method converges for minimizing Lipschitz differentiable functions, with sublinear and linear convergence rates for convex and strongly convex functions, respectively.

Discrete choice models are commonly used by applied statisticians in numerous fields, such as marketing, economics, finance, and operations research. When agents in discrete choice models are assumed to have differing preferences, exact inference is often intractable. Markov chain Monte Carlo techniques make approximat…

2007-12-15abs ↗pdf ↗

Estimates transition rates of continuous-time Markov chains using imprecise probabilistic methods.

problem Estimating transition rate matrix from a finite-duration process.
method Imprecise probabilistic framework with conjugate priors and discrete-time analysis for hyperparameter determination.
result Continuous-time estimator with simple closed-form expression derived from discrete-time model.

Bayesian neural networks' performance varies with prior choice, affecting their ability to identify unknowns.

problem The impact of prior choice on Bayesian neural networks' ability to identify unknowns.
method Evaluation of different prior distributions on classification tasks using BNNs and NNs with Monte Carlo dropout.
result Prior choice significantly impacts BNNs' ability to identify unknowns, affecting true and false positive rates.

The study uses Markov chains to forecast cryptocurrency market dynamics.

problem Forecasting and understanding market fluctuations in cryptocurrencies.
method Markov chains of orders one to eight were used to forecast intra-day returns of three major cryptocurrencies.
result Predictions from empirical probabilities outperform random choices.

In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The three models are: a simple semi-Markov chain model, an indexed semi-Markov chain model and a weighted indexed semi-Markov chain model. We show…

2013-12-13abs ↗pdf ↗

Improved VAEs by using undirected graphical models as approximate posteriors.

problem Mismatch between approximate and true posterior in VAEs.
method Trained undirected graphical models using backpropagation through Markov chain Monte Carlo updates.
result Undirected models outperform directed models in VAEs.

This paper models time-series data with a mixture of Markov chains, automatically determining the number of components.

problem Tackles the inability of common Markov state modeling frameworks to discern heterogeneities in complex data.
method Uses a mixture of Markov chains and variational expectation-maximization algorithm for automatic component selection.
result Achieves performance consistent with theoretically optimal error scaling, identifying meaningful heterogeneities in various data sets.

This study evaluates different normalizing flow architectures for MCMC.

problem Lack of systematic comparison of normalizing flow architectures in MCMC.
method Extensive evaluation of various normalizing flow architectures on different MCMC methods and target distributions.
result Contractive residual flows are the best general-purpose models for MCMC.

New method improves convergence of gradient descent for non-convex, non-reversible Markov chains.

problem Improving convergence of gradient descent for non-convex, non-reversible Markov chains.
method Introducing a new technique that varies the mixing levels of the Markov chains to establish non-ergodic convergence under wider step sizes.
result Established non-ergodic convergence for non-convex problems and non-reversible finite-state Markov chains.

Improved Metropolized HMC mixing time with multi-step gradients.

problem Improving the efficiency of sampling from complex probability distributions.
method Analyzing Metropolized HMC with multi-step integrators and applying sharpening techniques.
result Non-asymptotic upper bound on mixing time for Metropolized HMC with explicit step-size and leapfrog steps.

One of the most popular copulas for modeling dependence structures is t-copula. Recently the grouped t-copula was generalized to allow each group to have one member only, so that a priori grouping is not required and the dependence modeling is more flexible. This paper describes a Markov chain Monte Carlo (MCMC) method…

2011-03-03abs ↗pdf ↗

Paper proposes a new method to avoid overfitting in Bayesian network models.

problem Overfitting in Bayesian network models with limited data.
method Uses Monte Carlo Markov chain model choice (MC3) to learn and present reasonably supported networks.
result Flexible structural MC3 method reduces overfitting and presents all possible arcs with their support.

Method reconstructs hidden Markov chains from insurance data.

problem Recovering hidden Markov chains from incomplete insurance data.
method Neural architecture to explicitly provide transition probabilities.
result Neural model successfully validates decompression of insurance information.

The paper provides concentration inequalities for Markov chain variance estimators.

problem Estimating the variance of Markov chains with concentration properties.
method Martingale decomposition method for uniformly geometrically ergodic Markov chains.
result Explicit control of the p-th moment of the OBM estimator difference and dependence on p and mixing time.

We present a new family of models that is based on graphs that may have undirected, directed and bidirected edges. We name these new models marginal AMP (MAMP) chain graphs because each of them is Markov equivalent to some AMP chain graph under marginalization of some of its nodes. However, MAMP chain graphs do not onl…

2013-05-03abs ↗pdf ↗

Reduces identity testing of reversible Markov chains to simpler symmetric chain tests.

problem Testing identity of reversible Markov chains from a single trajectory.
method Using lumping-congruent Markov embeddings, the problem is simplified to testing symmetric chains over a larger state space.
result Achieves state-of-the-art sample complexity for identity testing.

New method adds user constraints to Markov chains for better data reduction.

problem No systematic framework to impose user-defined constraints on Markov chains.
method Path entropy maximization to derive transition probabilities with user constraints.
result Improved nonlinear dimensionality reduction with user-prescribed constraints.

Study shows how certain stochastic models reach a steady state over time.

problem Understanding long-term behavior of stochastic volatility models.
method Novel coupling technique for Markov chains, applicable to random environments.
result Convergence to an invariant measure for multidimensional fractional models.

Study nonparametric estimator for Markov chain transition matrices in offline setting.

problem Estimating transition matrices of finite controlled Markov chains from logged data.
method Developed sample complexity bounds and conditions for minimaxity.
result Achieving certain statistical risk requires balancing mixing properties and sample size.

A new MCMC method for GPs tackles computational burden and intractable likelihoods.

problem High computational burden and intractable likelihoods in Gaussian process models.
method Combines variationally sparse Gaussian processes with pseudo-marginal MCMC.
result Asymptotically exact inference with computational gains for large datasets.