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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.

168,742 papers · 148 categories

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6.3%12.5%18.8%25.0% · Apr 199319922001200920172026
48 results for Multistage Stochastic Programming

Develops new optimization techniques for decision-making under uncertainty.

problem Decision-making under uncertainty with complex cost functions and nested expectations.
method Introduces Multistage Conditional Compositional Optimization (MCCO) and develops multilevel Monte Carlo techniques.
result New optimization techniques reduce scenario complexity from exponential to polynomial growth.

Paper tackles robust optimization under uncertainty using nested distance.

problem Optimizing under distributionally robust uncertainty with nested distance.
method Equivalent recursive and dynamic programming reformulations for tractable optimization.
result Optimal robust policies can be found efficiently using convex optimization.

Optimal multistage method solves noisy minimax problems.

problem Minimizing/maximizing in noisy conditions with smooth and strongly convex-strongly concave settings.
method Multistage Stochastic Gradient Descent Ascent (M-GDA) and Optimistic Gradient Descent Ascent (M-OGDA).
result Achieves optimal linear decay rate with respect to initial error and condition number.

A new method solves complex hydroelectricity planning problems.

problem Solving multistage stochastic linear programming for hydrothermal dispatch planning.
method Regularized Linear Decision Rules (AdaLASSO) to reduce overfitting and improve out-of-sample performance.
result Significant reductions in non-zero coefficients and improved spot-price profiles.

We study the problem of minimizing a strongly convex, smooth function when we have noisy estimates of its gradient. We propose a novel multistage accelerated algorithm that is universally optimal in the sense that it achieves the optimal rate both in the deterministic and stochastic case and operates without knowledge …

2019-01-23abs ↗pdf ↗

We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the multiperiod integrated chance constraint (MICC). As their names suggest, the OICC …

2015-03-18abs ↗pdf ↗

In this paper, we discuss the problem of minimizing the sum of two convex functions: a smooth function plus a non-smooth function. Further, the smooth part can be expressed by the average of a large number of smooth component functions, and the non-smooth part is equipped with a simple proximal mapping. We propose a pr…

2016-01-31abs ↗pdf ↗

Enhanced privacy, utility, and efficiency through MUST subsampling.

problem Balancing privacy, utility, and computational efficiency in data analysis.
method MUltistage Sampling Technique (MUST) for privacy amplification in differential privacy.
result MUST offers stronger privacy guarantees (ϵ\epsilon) than one-stage subsampling methods while maintaining similar utility and computational efficiency.

Bayesian optimization tackles expensive cascade processes.

problem Optimizing multistage decision-making processes with expensive costs.
method Formulated as Bayesian optimization framework with two types of acquisition functions.
result Demonstrated effectiveness through numerical experiments and a solar cell simulator application.

In this paper, we introduce a framework for solving finite-horizon multistage optimization problems under uncertainty in the presence of auxiliary data. We assume the joint distribution of the uncertain quantities is unknown, but noisy observations, along with observations of auxiliary covariates, are available. We uti…

2019-04-26abs ↗pdf ↗

Computational modeling of human multimodal language is an emerging research area in natural language processing spanning the language, visual and acoustic modalities. Comprehending multimodal language requires modeling not only the interactions within each modality (intra-modal interactions) but more importantly the in…

2018-08-12abs ↗pdf ↗

Deep structured-prediction energy-based models combine the expressive power of learned representations and the ability of embedding knowledge about the task at hand into the system. A common way to learn parameters of such models consists in a multistage procedure where different combinations of components are trained …

2019-02-28abs ↗pdf ↗

We extend probabilistic programming to handle conditioning on marginal distributions.

problem Conditioning probabilistic programs on marginal distributions of observable variables.
method We define and implement stochastic conditioning, allowing inference in probabilistic programs conditioned on marginal distributions.
result We demonstrate the effectiveness of stochastic conditioning in various real-life scenarios.

Paper uses Stochastic Mirror Descent for large-scale sparse recovery problems.

problem Statistical estimation of high-dimensional sparse parameters.
method Non-Euclidean Composite Stochastic Mirror Descent (CSMD) algorithm for solving penalized stochastic optimization problems.
result The proposed algorithm achieves optimal convergence in sparse Generalized Linear Regression problems.

A new method for efficient inference in probabilistic programs with mixed support.

problem Challenges in inference for programs with both continuous and discrete latent variables.
method Stochastic gradient Markov Chain Monte Carlo algorithms.
result Outperforms existing composing inference baselines and works almost as well as inference in marginalized versions.

Multistage Defer Trees improve model accuracy while maintaining interpretability.

problem Balancing model accuracy and interpretability, especially in noisy domains.
method A sequence of sparse decision trees that defer predictions to the next tree or a black box.
result Matches the performance of complex tree-based ensembles while using only one or a few sparse trees.

Method solves complex optimization problems with high probability bounds.

problem Nonlinear equality constrained stochastic optimization problems.
method Step-search sequential quadratic programming method.
result High-probability bound on iteration complexity for first-order stationarity.

Develops a two-level monotonic multistage recommender system for better user-specific prediction.

problem Leveraging user-item-stage dependencies in a monotonic chain of events for enhanced prediction accuracy.
method A multistage recommender system with a two-level monotonic property, using a large-margin classifier based on a nonnegative additive latent factor model.
result The proposed method outperforms existing methods in simulations and an article sharing dataset.

We present a new algorithm for approximate inference in probabilistic programs, based on a stochastic gradient for variational programs. This method is efficient without restrictions on the probabilistic program; it is particularly practical for distributions which are not analytically tractable, including highly struc…

2013-01-07abs ↗pdf ↗

Unified framework for learning flexible probabilistic programs using DPP and PAC-Bayes bounds.

problem Learning and generalizing from complex probabilistic models.
method Unified DPP representation and PAC-Bayes bounds for stochastic programs.
result Improved performance and generalization prediction using flexible DPP model representations and learned complexity measures.

Bayesian method approximates intractable stochastic programs with chance constraints.

problem Designing systems with stochastic constraints and chance constraints.
method Variational Bayesian approach to approximate posterior predictive integral.
result The solution set converges to the true solution set as the number of observations increases.

This research develops an evolutionary approach to discover non-Gaussian stochastic dynamical systems.

problem Discovering explicit governing equations of stochastic dynamical systems with Lévy noise from data.
method ESSR approach using genetic programming, sparse regression, and nonlocal Kramers-Moyal formulas.
result The approach effectively extracts non-Gaussian stochastic dynamical systems from sample path data.

New method solves optimization problems with stochastic objectives and constraints.

problem Optimization problems with stochastic objectives and deterministic constraints.
method Trust-region interior-point stochastic sequential quadratic programming (TR-IP-SSQP) method.
result Global almost-sure convergence to first-order stationary points under standard assumptions.

The study finds no evidence of stochastic arbitrage opportunities in S&P 500 index options.

problem Identifying arbitrage opportunities in S&P 500 index options.
method Developed linear and mixed-integer linear programs to compute the maximum option premium.
result No evidence of systematic stochastic arbitrage opportunities in S&P 500 index options.

Adaptive learning method for stochastic programs with latent uncertainty.

problem Stochastic programming problems with implicitly decision-dependent uncertainty.
method Adaptive learning-based surrogate method integrating simulation and statistical estimates.
result Established non-asymptotic convergence rate analysis for enhanced stability and efficiency.

New method solves constrained stochastic optimization problems efficiently.

problem Online statistical inference of constrained stochastic nonlinear optimization problems.
method Stochastic Sequential Quadratic Programming (StoSQP) with iterative sketching solver.
result The rescaled primal-dual sequence converges to a mean-zero Gaussian distribution.

Bayesian optimization tackles non-convex, two-stage stochastic problems efficiently.

problem Solving non-convex, two-stage stochastic optimization problems with expensive, black-box evaluations.
method Knowledge-gradient-based acquisition function for joint optimization of first- and second-stage variables.
result Comparable and superior empirical results compared to alternatives.

New algorithm solves stochastic optimization problems with unknown gradients.

problem Solving nonlinear optimization problems with stochastic objectives and deterministic constraints.
method Adaptive SQP with differentiable exact augmented Lagrangian and stochastic line search.
result Global convergence established for both non-adaptive and adaptive SQP methods.

Generative model for condensed matter using Riemannian flow matching.

problem Sampling equilibrium distributions in condensed-phase systems.
method Riemannian flow matching to incorporate periodicity, using Hutchinson's trace estimator and cumulant expansion for bias correction.
result Highly accurate free energy estimates on monatomic ice without multistage estimators.

Neural model accelerates SDDP for stochastic optimization.

problem Exponential complexity of SDDP limits its applicability to low-dimensional problems.
method Trainable neural model maps problem instances to a low-dimensional piecewise linear value function.
result ν-SDDP significantly reduces problem solving cost without sacrificing solution quality.

This paper studies dynamic stochastic optimization problems parametrized by a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditions for the existence of solutions and the absence of a duality gap. Our proof uses extended dynamic programm…

2011-05-04abs ↗pdf ↗