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.
In many important machine learning applications, the training distribution used to learn a probabilistic classifier differs from the testing distribution on which the classifier will be used to make predictions. Traditional methods correct the distribution shift by reweighting the training data with the ratio of the de…
In real-world scenarios, different features have different acquisition costs at test-time which necessitates cost-aware methods to optimize the cost and performance trade-off. This paper introduces a novel and scalable approach for cost-aware feature acquisition at test-time. The method incrementally asks for features …
Over the past decades, researchers and ML practitioners have come up with better and better ways to build, understand and improve the quality of ML models, but mostly under the key assumption that the training data is distributed identically to the testing data. In many real-world applications, however, some potential …
We are often interested in explaining data through a set of hidden factors or features. When the number of hidden features is unknown, the Indian Buffet Process (IBP) is a nonparametric latent feature model that does not bound the number of active features in dataset. However, the IBP assumes that all latent features a…
Kernel-based methods exhibit well-documented performance in various nonlinear learning tasks. Most of them rely on a preselected kernel, whose prudent choice presumes task-specific prior information. Especially when the latter is not available, multi-kernel learning has gained popularity thanks to its flexibility in ch…
We consider a firm that sells a large number of products to its customers in an online fashion. Each product is described by a high dimensional feature vector, and the market value of a product is assumed to be linear in the values of its features. Parameters of the valuation model are unknown and can change over time.…
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the classic Kelly investment game [Kelly (1956)] that incorporates these features, and us…
Pattern recognition is a central topic in Learning Theory with numerous applications such as voice and text recognition, image analysis, computer diagnosis. The statistical set-up in classification is the following: we are given an i.i.d. training set (X1,Y1),...(Xn,Yn) where Xi represents a feature…
Paper introduces privacy-preserving inventory policy learning for feature-based newsvendor with unknown demand.
problem Privacy-preserving inventory policy learning for feature-based newsvendor with unknown demand distribution and nonsmooth loss function.
method Developed a clipped noisy gradient descent algorithm based on convolution smoothing for optimal inventory estimation within f-differential privacy framework.
result Achieved privacy-preserving optimal inventory policy with provable privacy guarantees and desirable statistical precision.
We consider the binary classification problem when data are large and subject to unknown but bounded uncertainties. We address the problem by formulating the nonlinear support vector machine training problem with robust optimization. To do so, we analyze and propose two bounding schemes for uncertainties associated to …
We present a max-margin nonparametric latent feature model, which unites the ideas of max-margin learning and Bayesian nonparametrics to discover discriminative latent features for link prediction and automatically infer the unknown latent social dimension. By minimizing a hinge-loss using the linear expectation operat…
We present a method for finding high density, low-dimensional structures in noisy point clouds. These structures are sets with zero Lebesgue measure with respect to the D-dimensional ambient space and belong to a d<D dimensional space. We call them "singular features." Hunting for singular features corresponds to f…
In dictionary learning, also known as sparse coding, the algorithm is given samples of the form y=Ax where x∈Rm is an unknown random sparse vector and A is an unknown dictionary matrix in Rn×m (usually m>n, which is the overcomplete case). The goal is to learn A and x. T…
Consider a two-class clustering problem where we observe Xi=ℓiμ+Zi, Zi∼iidN(0,Ip), 1≤i≤n. The feature vector μ∈Rp is unknown but is presumably sparse. The class labels ℓi∈{−1,1} are also unknown and the main interest is to estimate them. We are interested …
We investigate the problem of classification in the presence of unknown class-conditional label noise in which the labels observed by the learner have been corrupted with some unknown class dependent probability. In order to obtain finite sample rates, previous approaches to classification with unknown class-conditiona…