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.
Paper analyzes convergence of PAM method for low-rank factorization models.
The Pachinko Allocation Machine (PAM) is a deep topic model that allows representing rich correlation structures among topics by a directed acyclic graph over topics. Because of the flexibility of the model, however, approximate inference is very difficult. Perhaps for this reason, only a small number of potential PAM …
The article examines different thresholding methods for improving PAM algorithm in cancer classification.
PAMS is a Python-based platform for simulating artificial markets.
Improved k-medoids clustering with faster algorithms for big data.
Recent advances in topic models have explored complicated structured distributions to represent topic correlation. For example, the pachinko allocation model (PAM) captures arbitrary, nested, and possibly sparse correlations between topics using a directed acyclic graph (DAG). While PAM provides more flexibility and gr…
Clustering non-Euclidean data is difficult, and one of the most used algorithms besides hierarchical clustering is the popular algorithm Partitioning Around Medoids (PAM), also simply referred to as k-medoids. In Euclidean geometry the mean-as used in k-means-is a good estimator for the cluster center, but this does no…
PAM models generate dependent random distributions across groups with overlapping clusters.
Efficient medoid-based Silhouette method speeds up clustering evaluation.
BanditPAM clusters data faster than traditional methods.
A new medoid-based Silhouette method selects optimal cluster numbers efficiently.
Deep learning model predicts traffic flows across entire network for multiple steps ahead.
We study clustering methods for binary data, first defining aggregation criteria that measure the compactness of clusters. Five new and original methods are introduced, using neighborhoods and population behavior combinatorial optimization metaheuristics: first ones are simulated annealing, threshold accepting and tabu…
Was it fair that Harry was hired but not Barry? Was it fair that Pam was fired instead of Sam? How can one ensure fairness when an intelligent algorithm takes these decisions instead of a human? How can one ensure that the decisions were taken based on merit and not on protected attributes like race or sex? These are t…
A new method clusters mixed-type data efficiently.
Underwater gas reservoirs are used in many situations. In particular, Carbon Capture and Storage (CCS) facilities that are currently being developed intend to store greenhouse gases inside geological formations in the deep sea. In these formations, however, the gas might percolate, leaking back to the water and eventua…
Paper proposes iLPA for solving DC composite optimization problems, with applications to matrix completion with outliers.
Bayesian deep learning counts crowds robustly despite occlusions and scale variations.
ProtoBandit uses bandits to find prototypes efficiently.
Clustering with fast algorithms large samples of high dimensional data is an important challenge in computational statistics. Borrowing ideas from MacQueen (1967) who introduced a sequential version of the -means algorithm, a new class of recursive stochastic gradient algorithms designed for the -medians loss cri…
DBS uses swarm intelligence to cluster data without needing a global objective function.
Improved iterative methods for risk parity portfolio weights.
We describe a novel optimization method for finite sums (such as empirical risk minimization problems) building on the recently introduced SAGA method. Our method achieves an accelerated convergence rate on strongly convex smooth problems. Our method has only one parameter (a step size), and is radically simpler than o…
A new method combines Laplace and Variational Bayes for scalable inference.
Unified framework for model explanation methods based on feature removal.
This work reviews and evaluates methods for predicting prediction intervals in regression problems.
Derives kernel PCA with Nyström method for scalability.
In this paper, the author considers the numerical computation of CVA for large systems by Mote Carlo methods. He introduces two types of stochastic mesh methods for the computations of CVA. In the first method, stochastic mesh method is used to obtain the future value of the derivative contracts. In the second method, …
New method combines spectral and sparse methods for Gaussian processes.
A comprehensive benchmark of 15 scRNA-seq imputation methods across various datasets and analyses.
New methods using natural gradient for structured optimization.
Recently, {\it stochastic momentum} methods have been widely adopted in training deep neural networks. However, their convergence analysis is still underexplored at the moment, in particular for non-convex optimization. This paper fills the gap between practice and theory by developing a basic convergence analysis of t…
We investigate methods for pricing American options under the variance gamma model. The variance gamma process is a pure jump process which is constructed by replacing the calendar time by the gamma time in a Brownian motion with drift, which makes it a time-changed Brownian motion. In general, the finite difference me…
A new method speeds up deep neural network training.
We propose a new stochastic dual coordinate ascent technique that can be applied to a wide range of regularized learning problems. Our method is based on Alternating Direction Multiplier Method (ADMM) to deal with complex regularization functions such as structured regularizations. Although the original ADMM is a batch…
NCG methods improve shape optimization efficiency.
We propose two localized Radial Basis Function (RBF) methods, the Radial Basis Function Partition of Unity method (RBF-PUM) and the Radial Basis Function generated Finite Differences method (RBF-FD), for solving financial derivative pricing problems arising from market models with multiple stochastic factors. We demons…
Proposes UTC method for stock price prediction with uncertainty quantification.
Survey of spectral, probabilistic, and deep metric learning methods.
Various approaches to gene selection for cancer classification based on microarray data can be found in the literature and they may be grouped into two categories: univariate methods and multivariate methods. Univariate methods look at each gene in the data in isolation from others. They measure the contribution of a p…
A novel weighted feature selection method using fuzzy sets improves classification accuracy and stability.
New method improves accuracy in computing implied volatility.
The paper examines Wiener process for LID estimation methods.
We evaluate how modern outlier detection methods perform in identifying outliers in e-commerce conversion rate data. Based on the limitations identified, we then present a novel method to detect outliers in e-commerce conversion rate. This unsupervised method is made more business relevant by letting it automatically a…
Spectral methods of moments provide a powerful tool for learning the parameters of latent variable models. Despite their theoretical appeal, the applicability of these methods to real data is still limited due to a lack of robustness to model misspecification. In this paper we present a hierarchical approach to methods…
We propose an optimization method for minimizing the finite sums of smooth convex functions. Our method incorporates an accelerated gradient descent (AGD) and a stochastic variance reduction gradient (SVRG) in a mini-batch setting. Unlike SVRG, our method can be directly applied to non-strongly and strongly convex prob…
We discuss the relevance of the recent Machine Learning (ML) literature for economics and econometrics. First we discuss the differences in goals, methods and settings between the ML literature and the traditional econometrics and statistics literatures. Then we discuss some specific methods from the machine learning l…
R package for counterfactual explanation methods.