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.
For linear classifiers, the relationship between (normalized) output margin and generalization is captured in a clear and simple bound -- a large output margin implies good generalization. Unfortunately, for deep models, this relationship is less clear: existing analyses of the output margin give complicated bounds whi…
Adversarial robustness has become an important research topic given empirical demonstrations on the lack of robustness of deep neural networks. Unfortunately, recent theoretical results suggest that adversarial training induces a strict tradeoff between classification accuracy and adversarial robustness. In this paper,…
We study adversarial robustness of neural networks from a margin maximization perspective, where margins are defined as the distances from inputs to a classifier's decision boundary. Our study shows that maximizing margins can be achieved by minimizing the adversarial loss on the decision boundary at the "shortest succ…
How can we make machine learning provably robust against adversarial examples in a scalable way? Since certified defense methods, which ensure ε-robust, consume huge resources, they can only achieve small degree of robustness in practice. Lipschitz margin training (LMT) is a scalable certified defense, but it can als…
Deep models, while being extremely versatile and accurate, are vulnerable to adversarial attacks: slight perturbations that are imperceptible to humans can completely flip the prediction of deep models. Many attack and defense mechanisms have been proposed, although a satisfying solution still largely remains elusive. …
Relief based algorithms have often been claimed to uncover feature interactions. However, it is still unclear whether and how interaction terms will be differentiated from marginal effects. In this paper, we propose IMMIGRATE algorithm by including and training weights for interaction terms. Besides applying the large …
Data augmentation (DA) is commonly used during model training, as it significantly improves test error and model robustness. DA artificially expands the training set by applying random noise, rotations, crops, or even adversarial perturbations to the input data. Although DA is widely used, its capacity to provably impr…
Adversarial training is a technique for training robust machine learning models. To encourage robustness, it iteratively computes adversarial examples for the model, and then re-trains on these examples via some update rule. This work analyzes the performance of adversarial training on linearly separable data, and prov…
In this work, we study a new approach to optimizing the margin distribution realized by binary classifiers. The classical approach to this problem is simply maximization of the expected margin, while more recent proposals consider simultaneous variance control and proxy objectives based on robust location estimates, in…
We present a new boosting algorithm, motivated by the large margins theory for boosting. We give experimental evidence that the new algorithm is significantly more robust against label noise than existing boosting algorithm.
In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging of options depending on the local time by using the recently introduced stochastic control approach, in order to identify the optimal hedgi…
We propose the Margin Adaptation for Generative Adversarial Networks (MAGANs) algorithm, a novel training procedure for GANs to improve stability and performance by using an adaptive hinge loss function. We estimate the appropriate hinge loss margin with the expected energy of the target distribution, and derive princi…
In this paper, we study the implicit regularization of the gradient descent algorithm in homogeneous neural networks, including fully-connected and convolutional neural networks with ReLU or LeakyReLU activations. In particular, we study the gradient descent or gradient flow (i.e., gradient descent with infinitesimal s…
Adversarial training is by far the most successful strategy for improving robustness of neural networks to adversarial attacks. Despite its success as a defense mechanism, adversarial training fails to generalize well to unperturbed test set. We hypothesize that this poor generalization is a consequence of adversarial …
In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the minimising pricing model for certain types of Asian options in discrete and continuous…