New Thompson sampling algorithm for stochastic partial monitoring achieves logarithmic regret.
problem Limited feedback in sequential learning problems.
method Developed a novel Thompson-sampling-based algorithm to sample from the posterior distribution exactly.
result Achieved logarithmic regret bound of O(log T) for a linearized variant of the problem.
IDS optimizes regret in stochastic partial monitoring with linear rewards.
problem Optimizing decision-making in uncertain environments with linear rewards.
method Information Directed Sampling (IDS) for stochastic partial monitoring.
result Achieves optimal regret rates in all observable game regimes.
IDS algorithm optimizes sequential decisions in various monitoring settings.
problem Optimizing sequential decisions in complex monitoring scenarios.
method Information-directed sampling (IDS) algorithm for linear partial monitoring.
result IDS achieves nearly worst-case rate optimality in finite-action games.
This research develops efficient surrogate models for predicting crack growth in metal structures.
problem Accurately predicting crack growth in metal structures under uncertainty.
method Employing Gaussian Process (GP) regression models for latent variable modeling to create probabilistic surrogate models.
result Surrogate models successfully encode material and load-related uncertainties in stochastic crack growth processes.
New algorithms reduce regret in both stochastic and adversarial partial monitoring problems.
problem Partial monitoring with k-actions and d-outcomes. method Follow-the-regularized-leader framework, exploration by optimization, adaptive learning rate.
result Best-of-both-worlds algorithms with favorable regret bounds in stochastic and adversarial settings.
We present a new anytime algorithm that achieves near-optimal regret for any instance of finite stochastic partial monitoring. In particular, the new algorithm achieves the minimax regret, within logarithmic factors, for both "easy" and "hard" problems. For easy problems, it additionally achieves logarithmic individual…
Improved ExO method achieves near-optimal bounds in both stochastic and adversarial settings.
problem Finding optimal exploration strategies in online decision-making with limited feedback.
method Exploration by Optimization with hybrid regularizers for locally observable games.
result Achieved nearly optimal bounds of O(∑aeqa∗k2m2logT/Δa) in stochastic and adversarial environments. The robustness and integrity of IP networks require efficient tools for traffic monitoring and analysis, which scale well with traffic volume and network size. We address the problem of optimal large-scale flow monitoring of computer networks under resource constraints. We propose a stochastic optimization framework wh…
Algorithm selects best sensor tests for unknown outcomes.
problem Selecting optimal sensors in unsupervised systems.
method Developed an algorithm for stochastic partial monitoring under Weak Dominance property.
result Algorithm achieves sub-linear regret in sensor selection.
Partial monitoring is a general model for sequential learning with limited feedback formalized as a game between two players. In this game, the learner chooses an action and at the same time the opponent chooses an outcome, then the learner suffers a loss and receives a feedback signal. The goal of the learner is to mi…
Optimizes state monitoring in Markovian systems with cost constraints.
problem Balancing state queries with prediction costs in Markovian systems.
method Greedy policy and SGD-based learning variant for optimal predict-query tradeoff.
result Greedy policy is suboptimal but performs close to optimal under certain conditions.
Develops anytime-valid stopping rules for SGD based on observed trajectory.
problem Stopping stochastic gradient descent (SGD) based on observed trajectory.
method Develops anytime-valid confidence sequences for stochastic gradient methods.
result Statistically valid, time-uniform stopping rules for SGD across convex and nonconvex settings.
Bayesian method estimates Kronecker graphical models from autoregressive processes.
problem Estimating Kronecker graphical models from autoregressive Gaussian processes.
method Bayesian approach to estimate Kronecker graphical models.
result Effectiveness demonstrated through numerical experiments and real-world data application.
We describe general multilevel Monte Carlo methods that estimate the price of an Asian option monitored at m fixed dates. Our approach yields unbiased estimators with standard deviation O(ε) in O(m+(1/ε)2) expected time for a variety of processes including the Black-Scholes model, Merton's jump-diffusion mod…
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [17], with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian contagion. We provide here a comprehensive mathematical formulation of the model …
AI model enhances grid monitoring with synchro-waveform tech.
problem Dynamic, stochastic, low-inertia future grids need advanced monitoring.
method AI Foundation Model with synchro-waveform tech.
result Significantly improved fault detection accuracy and speed.
Study optimizes inspection and monitoring of deteriorating structures using POMDPs.
problem Optimizing decision-making for deteriorating engineering systems with uncertain observations.
method Developed theoretical and computational foundations for Value of Information (VoI) and Value of Structural Health Monitoring (VoSHM) in POMDPs.
result POMDP policies inherently leverage VoI to guide optimal observational actions, improving long-term cost.
This paper presents a solution for persistent monitoring of real-world stochastic phenomena, where the underlying covariance structure changes sharply across time, using a small number of mobile robot sensors. We propose an adaptive solution for the problem where stochastic real-world dynamics are modeled as a Gaussian…
Flowification enriches neural networks with an inverse pass and likelihood monitoring.
problem Neural networks lack an inverse pass and likelihood monitoring, limiting their generative capabilities.
method Introduce flowification, enriching neural networks with a stochastic inverse pass and likelihood monitoring.
result Certain neural network architectures can be enriched to fall under the generalized notion of a normalizing flow.
In deterministic optimization, line searches are a standard tool ensuring stability and efficiency. Where only stochastic gradients are available, no direct equivalent has so far been formulated, because uncertain gradients do not allow for a strict sequence of decisions collapsing the search space. We construct a prob…
In deterministic optimization, line searches are a standard tool ensuring stability and efficiency. Where only stochastic gradients are available, no direct equivalent has so far been formulated, because uncertain gradients do not allow for a strict sequence of decisions collapsing the search space. We construct a prob…
AI systems that explain their decisions can be monitored for harmful intentions.
problem Monitoring AI systems' decision-making processes for harmful intentions is imperfect and can miss some misbehavior.
method Monitoring the chain of thought (CoT) of AI systems that communicate in human language.
result CoT monitoring is a promising but fragile approach to AI safety.
This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, w…
In this work, we present a globalized stochastic semismooth Newton method for solving stochastic optimization problems involving smooth nonconvex and nonsmooth convex terms in the objective function. We assume that only noisy gradient and Hessian information of the smooth part of the objective function is available via…
Stochastic Stein Discrepancies improve inference efficiency.
problem Intractable computation of Stein discrepancies.
method Subsampled approximations of Stein operators.
result Stochastic Stein Discrepancies inherit convergence properties of standard SDs.
Modeling glucose distribution changes over time using neural ODEs.
problem Analyzing how continuous glucose distribution changes over time in diabetic patients.
method Combines Gaussian mixture, MMD, and Neural ODE to model temporal evolution of glucose distribution.
result Highly interpretable model detects subtle distribution shifts and remains computationally efficient.
New methods solve graph sparsity optimization problems faster.
problem Complex graph sparsity optimization problems in disease outbreak monitoring and social network analysis.
method Stochastic variance-reduced gradient-based methods GraphSVRG-IHT and GraphSCSG-IHT.
result Our methods achieve linear convergence speed.
The assessment of Parkinson's disease (PD) poses a significant challenge as it is influenced by various factors which lead to a complex and fluctuating symptom manifestation. Thus, a frequent and objective PD assessment is highly valuable for effective health management of people with Parkinson's disease (PwP). Here, w…
Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirm…
Modeling time series with jumps using neural networks and stochastic processes.
problem Capturing the dynamics of time series with both continuous flows and discrete jumps.
method Introducing Neural Jump Stochastic Differential Equations (Neural JSDEs) that extend Neural Ordinary Differential Equations (Neural ODEs) with a stochastic process term.
result Demonstrated the model's predictive capabilities on various datasets, including Hawkes processes, Stack Overflow awards, medical records, and earthquake monitoring.
NeCPD improves online tensor decomposition using SGD with Hessian analysis and NAG.
problem Efficiently decompose multi-way tensors in online data processing.
method NeCPD solver based on SGD with Hessian analysis and NAG.
result NeCPD provides more accurate results than existing methods.
Simple online monitor detects unsafe LLM outputs.
problem LLMs generate unsafe outputs despite training.
method Thresholding external verifier signal to decide alarms.
result Simple design competitive with advanced methods.
This research tackles monitoring machine learning algorithms post-deployment, addressing performativity issues.
problem Monitoring machine learning algorithms after deployment, especially when they affect their own data-generating process.
method Uses causal inference techniques to navigate performativity and compares different monitoring criteria and data sources.
result Different monitoring systems have varying operating characteristics and implications for ML monitoring design.
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns admits a Gram-Charlier A expansion with closed-form coefficients. We derive close…
Paper improves ETF tail-risk monitoring reliability.
problem Unreliable ETF risk monitoring under degraded data.
method Combines quality checks, prediction, scoring, and adjustment.
result Improves tail-risk monitoring, especially during stressed periods.
Adaptive activity monitoring framework for wearable sensors.
problem Efficiently monitor human activities with low power consumption.
method Switching Gaussian process model with block circulant embedding and FFT for inference.
result Optimized trade-off between sensor power consumption and prediction performance.
PITMonitor monitors model calibration over time with formal error guarantees.
problem Fixed-sample tests applied to models over time can lead to false alarms.
method PITMonitor uses mixture e-processes to detect distributional shifts in probability integral transforms.
result PITMonitor achieves competitive detection rates on river's FriedmanDrift benchmark.
The paper adds explanation to predictive process monitoring.
problem Equipping predictive business process monitoring with explanation capabilities.
method Used game theory of Shapley Values to obtain robust explanations.
result First time explanations given in predictive business process monitoring.
A new method monitors unstructured 3D shapes without registration.
problem Error-prone registration and mesh reconstruction steps in PCD monitoring.
method Intrinsic geometric properties of shapes, using Laplacian and geodesic distances.
result Effective monitoring of defects without registration and mesh reconstruction.
Focuses on monitoring and explaining models in real-world applications.
problem Ensuring high quality machine learning services in production environments.
method Statistical techniques for model performance and data monitoring, explanations of predictions.
result Challenges and solutions for implementing monitoring and explanation in production models.
Surveying low-cost sensors for air quality monitoring and calibration.
problem Limited spatial resolution due to expensive environmental monitoring stations.
method Low-cost sensors with machine learning for calibration.
result Machine learning improves sensor accuracy over time.
Neural system optimizes glucose levels in diabetics.
problem Limited research on continuous glucose maintenance devices.
method Differential predictive control with neural policy and differentiable modeling.
result Improves glucose level optimization in real-time.
We present a numerical scheme to calculate fluctuation identities for exponential Lévy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult case of the two-barriers exit problem. These identities are given in the Fourier-L…
Optimal probing framework for scalable network monitoring.
problem Efficiently monitor growing cloud networks with limited budgets.
method A- and E-optimal experimental designs, Frank-Wolfe algorithm approximations.
result Significant reduction in probing budget with low estimation errors.
The paper proposes a method to create efficient remote monitoring models.
problem Large and complex machine learning models are unsuitable for remote monitoring on edge devices.
method Decompose the model into a simple local monitoring function and a complex correction term evaluated on the server.
result The proposed framework learns monitoring models with significantly reduced complexity that maintain safety.
New monitoring method detects ML risk models' performance changes in medical interventions.
problem Monitoring ML risk models in healthcare is complicated by confounding medical interventions.
method Developed a new score-based CUSUM monitoring procedure with dynamic control limits.
result Valid inference is possible if conditional exchangeability or time-constant selection bias hold.
Study compares statistical properties and power of divergence measures for credit risk monitoring.
problem Detecting distributional shifts in credit risk models.
method Derives statistical properties and chi-square benchmark values for Jensen-Shannon Divergence and Kullback-Leibler Divergence, demonstrating their applicability in credit risk monitoring.
result Jensen-Shannon Divergence and Kullback-Leibler Divergence follow chi-square distributions and reveal practical trade-offs in minimizing false positives vs. detecting changes.
Risk monitoring detects when TTA models degrade at test time.
problem Detecting when TTA models degrade at test time.
method Extended risk monitoring tools based on sequential testing with confidence sequences.
result Demonstrated effectiveness of TTA monitoring framework across various datasets and methods.