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.
New algorithm solves stochastic optimization problems with unknown gradients.
New method quantifies financial risk pro-cyclicality, identifying key factors.
Proposes a new algorithm for solving optimization problems with stochastic objectives and equality constraints.
In this paper, a new sequential surrogate-based optimization (SSBO) algorithm is developed, which aims to improve the global search ability and local search efficiency for the global optimization of expensive black-box models. The proposed method involves three basic sub-criteria to infill new samples asynchronously to…