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 new framework evaluates HTE estimators using relative error.
In this paper, we develop a relative error bound for nuclear norm regularized matrix completion, with the focus on the completion of full-rank matrices. Under the assumption that the top eigenspaces of the target matrix are incoherent, we derive a relative upper bound for recovering the best low-rank approximation of t…
The CUR matrix decomposition is an important extension of Nyström approximation to a general matrix. It approximates any data matrix in terms of a small number of its columns and rows. In this paper we propose a novel randomized CUR algorithm with an expected relative-error bound. The proposed algorithm has the advanta…
This work tightens generalization error bounds using Wasserstein distance.
This work bounds the generalization error of private algorithms for discrete data.
We propose a geometric assumption on nonnegative data matrices such that under this assumption, we are able to provide upper bounds (both deterministic and probabilistic) on the relative error of nonnegative matrix factorization (NMF). The algorithm we propose first uses the geometric assumption to obtain an exact clus…
Paper develops robust neural network sensors for fuel injection quantities.
Ensembling improves performance when classifiers disagree more than average.
We introduce two versions of a new sketch for approximately embedding the Gaussian kernel into Euclidean inner product space. These work by truncating infinite expansions of the Gaussian kernel, and carefully invoking the RecursiveTensorSketch [Ahle et al. SODA 2020]. After providing concentration and approximation pro…
Let X be a data matrix of rank ρ, whose rows represent n points in d-dimensional space. The linear support vector machine constructs a hyperplane separator that maximizes the 1-norm soft margin. We develop a new oblivious dimension reduction technique which is precomputed and can be applied to any input matrix X. We pr…
Graphlets are induced subgraphs of a large network and are important for understanding and modeling complex networks. Despite their practical importance, graphlets have been severely limited to applications and domains with relatively small graphs. Most previous work has focused on exact algorithms, however, it is ofte…
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system in a stylized setting. The interbank liabilities matrix is a crucial input to the computation of the clearing vector. However, in practice central bankers and regulators must often es…
This paper uses normalizing flows to approximate transport maps between densities.
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced ones with the expectation that their prices converge in the future. We build…
Prediction models in mobility and transportation maintenance systems have been dramatically improved through using machine learning methods. This paper proposes novel machine learning models for intelligent road inspection. The traditional road inspection systems based on the pavement condition index (PCI) are often as…
This handbook translates lead time analysis into R code.
Meta-learning improves relative density-ratio estimation from limited data.
This paper addresses the robust speech recognition problem as an adaptation task. Specifically, we investigate the cumulative application of adaptation methods. A bidirectional Long Short-Term Memory (BLSTM) based neural network, capable of learning temporal relationships and translation invariant representations, is u…
OGRe simplifies tensor calculations in general relativity.
Paper develops a robust HVA measure for dynamic hedging under liquidity stress.
Novel approach for SEM in small samples with .
We consider clustering based on significance tests for Gaussian Mixture Models (GMMs). Our starting point is the SigClust method developed by Liu et al. (2008), which introduces a test based on the k-means objective (with k = 2) to decide whether the data should be split into two clusters. When applied recursively, thi…
Multitask learning has shown promising performance in many applications and many multitask models have been proposed. In order to identify an effective multitask model for a given multitask problem, we propose a learning framework called learning to multitask (L2MT). To achieve the goal, L2MT exploits historical multit…
Context: Conducting experiments is central to research machine learning research to benchmark, evaluate and compare learning algorithms. Consequently it is important we conduct reliable, trustworthy experiments. Objective: We investigate the incidence of errors in a sample of machine learning experiments in the domain …
Unified framework for understanding GRPO as U-statistic.
This study analyzes theoretical guarantees for VI with fixed-variance Gaussian mixtures.
Paper proposes efficient algorithms for bandit problems with costly sampling.
Develops a method to estimate rare-event probabilities under distributional uncertainty.
As Convolutional Neural Networks (CNNs) are increasingly being employed in safety-critical applications, it is important that they behave reliably in the face of hardware errors. Transient hardware errors may percolate undesirable state during execution, resulting in software-manifested errors which can adversely affec…
The paper analyzes optimal investment strategies in a game with jump risk, deriving mean field equilibria.
We present a new recurrent neural network topology to enhance state-of-the-art machine learning systems by incorporating a broader context. Our approach overcomes recent limitations with extended narratives through a multi-layered computational approach to generate an abstract context representation. Therefore, the dev…
This work improves tensor decomposition methods, especially for large datasets.
We consider the problem of learning the qualities of a collection of items by performing noisy comparisons among them. Following the standard paradigm, we assume there is a fixed "comparison graph" and every neighboring pair of items in this graph is compared times according to the Bradley-Terry-Luce model (where t…
The study finds that memorization is necessary or harmful depending on the prior distribution and noise level.
In this paper, we explore ordinal classification (in the context of deep neural networks) through a simple modification of the squared error loss which not only allows it to not only be sensitive to class ordering, but also allows the possibility of having a discrete probability distribution over the classes. Our formu…
The paper analyzes error propagation in dynamic programming for stochastic control and option pricing.
This monograph deals with adaptive supervised classification, using tools borrowed from statistical mechanics and information theory, stemming from the PACBayesian approach pioneered by David McAllester and applied to a conception of statistical learning theory forged by Vladimir Vapnik. Using convex analysis on the se…
This paper studies a specific blow-up algorithm for sop polynomials and their RLCT.
New method preserves unitarity for Schrödinger equation learning, reducing errors and improving time generalization.
Active learning method improves local model validity estimation.
Bayesian framework improves robustness in nonlinear regression models.
We propose a data aggregation-based algorithm with monotonic convergence to a global optimum for a generalized version of the L1-norm error fitting model with an assumption of the fitting function. The proposed algorithm generalizes the recent algorithm in the literature, aggregate and iterative disaggregate (AID), whi…
Equivalent tests for SGD batch size selection found.
SS-GEN simulates rare events in heavy and light-tailed data.
In microsurgery, lasers have emerged as precise tools for bone ablation. A challenge is automatic control of laser bone ablation with 4D optical coherence tomography (OCT). OCT as high resolution imaging modality provides volumetric images of tissue and foresees information of bone position and orientation (pose) as we…
A new method combines classical and machine learning PDE solvers efficiently.
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…
Proposes a new model to handle noisy data in scientific research.