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.
A neural program synthesis method with iterative fix operations.
Automatic program repair holds the potential of dramatically improving the productivity of programmers during the software development process and correctness of software in general. Recent advances in machine learning, deep learning, and NLP have rekindled the hope to eventually fully automate the process of repairing…
Fixed-parameter tractability of private synthetic data generation
Unlike traditional programs (such as operating systems or word processors) which have large amounts of code, machine learning tasks use programs with relatively small amounts of code (written in machine learning libraries), but voluminous amounts of data. Just like developers of traditional programs debug errors in the…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved in the general setting and a comparison result for possibly discontinu…
This paper presents a novel end-to-end approach to program repair based on sequence-to-sequence learning. We devise, implement, and evaluate a system, called SequenceR, for fixing bugs based on sequence-to-sequence learning on source code. This approach uses the copy mechanism to overcome the unlimited vocabulary probl…
Reconstructing polytopes with fixed facet directions from support function evaluations.
Due to its potential to improve programmer productivity and software quality, automated program repair has been an active topic of research. Newer techniques harness neural networks to learn directly from examples of buggy programs and their fixes. In this work, we consider a recently identified class of bugs called va…
Framework synthesizes programs for simulating complex models and estimating parameters.
This work offers a broad perspective on probabilistic modeling and inference in light of recent advances in probabilistic programming, in which models are formally expressed in Turing-complete programming languages. We consider a typical workflow and how probabilistic programming languages can help to automate this wor…
Study optimal investment and consumption strategies with various transaction costs.
NP-HMC extends HMC for nonparametric models in probabilistic programming.
Deep learning had been used in program analysis for the prediction of hidden software defects using software defect datasets, security vulnerabilities using generative adversarial networks as well as identifying syntax errors by learning a trained neural machine translation on program codes. However, all these approach…
TreeCaps improves code comprehension for software developers.
This paper improves dynamic hedging accuracy using genetic programming to forecast implied volatilities.
Paper addresses underestimation bias in double Q-learning, proposing a method to improve learning performance.
Program synthesis from natural language (NL) is practical for humans and, once technically feasible, would significantly facilitate software development and revolutionize end-user programming. We present SAPS, an end-to-end neural network capable of mapping relatively complex, multi-sentence NL specifications to snippe…
Improved genetic programming by optimizing mutation operators for continuous program search.
We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The method is based on linear programming only, so that its numerical implementation is…
The binary symmetric stochastic block model deals with a random graph of vertices partitioned into two equal-sized clusters, such that each pair of vertices is connected independently with probability within clusters and across clusters. In the asymptotic regime of and for fixe…
Paper presents an ADMM-based approach to efficiently integrate quadratic programming layers into neural networks.
Probabilistic programming has emerged as a powerful paradigm in statistics, applied science, and machine learning: by decoupling modelling from inference, it promises to allow modellers to directly reason about the processes generating data. However, the performance of inference algorithms can be dramatically affected …
RedEx improves neural network optimization with convex optimization guarantees.
We describe an approximate dynamic programming (ADP) approach to compute approximations of the optimal strategies and of the minimal losses that can be guaranteed in discounted repeated games with vector-valued losses. Such games prominently arise in the analysis of regret in repeated decision-making in adversarial env…
New LNS framework improves integer program solving.
Resolving a conjecture of Abbe, Bandeira and Hall, the authors have recently shown that the semidefinite programming (SDP) relaxation of the maximum likelihood estimator achieves the sharp threshold for exactly recovering the community structure under the binary stochastic block model of two equal-sized clusters. The s…
Source code reviews are manual, time-consuming, and expensive. Human involvement should be focused on analyzing the most relevant aspects of the program, such as logic and maintainability, rather than amending style, syntax, or formatting defects. Some tools with linting capabilities can format code automatically and r…
Neural networks solve copositive programs, revealing insights into training problems.
Several important applications, such as streaming PCA and semidefinite programming, involve a large-scale positive-semidefinite (psd) matrix that is presented as a sequence of linear updates. Because of storage limitations, it may only be possible to retain a sketch of the psd matrix. This paper develops a new algorith…
With the recent success of embeddings in natural language processing, research has been conducted into applying similar methods to code analysis. Most works attempt to process the code directly or use a syntactic tree representation, treating it like sentences written in a natural language. However, none of the existin…
Be it for taking advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares. One of the way they proceed is by including Accelerated Share Repurchases (ASR) as part of their repurchase programs. In this article, we study the pricing and optimal…
Paper tackles non-Markovian control problems with new learning methods.
New method solves optimization problems with stochastic objectives and constraints.
MACER accelerates error repair by modularly identifying and applying fixes.
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the efficient frontier of optimal objective value versus risk of constraint violation. …
The field of statistical relational learning aims at unifying logic and probability to reason and learn from data. Perhaps the most successful paradigm in the field is probabilistic logic programming: the enabling of stochastic primitives in logic programming, which is now increasingly seen to provide a declarative bac…
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and computational details associated to the mathematical programming based approaches proposed…
Typilus predicts types for Python programs using neural networks.
We consider large-scale Markov decision processes (MDPs) with parameter uncertainty, under the robust MDP paradigm. Previous studies showed that robust MDPs, based on a minimax approach to handle uncertainty, can be solved using dynamic programming for small to medium sized problems. However, due to the "curse of dimen…
Consistency of the kernel density estimator requires that the kernel bandwidth tends to zero as the sample size grows. In this paper we investigate the question of whether consistency is possible when the bandwidth is fixed, if we consider a more general class of weighted KDEs. To answer this question in the affirmativ…
We formalize the notion of nesting probabilistic programming queries and investigate the resulting statistical implications. We demonstrate that while query nesting allows the definition of models which could not otherwise be expressed, such as those involving agents reasoning about other agents, existing systems take …
Advances in Deep Reinforcement Learning have led to agents that perform well across a variety of sensory-motor domains. In this work, we study the setting in which an agent must learn to generate programs for diverse scenes conditioned on a given symbolic instruction. Final goals are specified to our agent via images o…
New method finds 198,846 toric-colorable seeds of Picard number 5.
We propose convex relaxations for convolutional neural nets with one hidden layer where the output weights are fixed. For convex activation functions such as rectified linear units, the relaxations are convex second order cone programs which can be solved very efficiently. We prove that the relaxation recovers the glob…
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently near a terminal horizon. The investor can observe and trade the risky asset only at exogenous random times corresponding to…
We consider the question of estimating a solution to a system of equations that involve convex nonlinearities, a problem that is common in machine learning and signal processing. Because of these nonlinearities, conventional estimators based on empirical risk minimization generally involve solving a non-convex optimiza…
Anderson acceleration is an old and simple method for accelerating the computation of a fixed point. However, as far as we know and quite surprisingly, it has never been applied to dynamic programming or reinforcement learning. In this paper, we explain briefly what Anderson acceleration is and how it can be applied to…
Study on inflection points of plane curve shadows with fixed embedded shapes.