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.
Expands learning paradigm to stochastic orders using Choquet-Toland distance and Variational Dominance Criterion.
New EI strategies using OWA and SSD for excess return.
The Mean-Variance Criterion is equivalent to Second-order Stochastic Dominance under symmetric Elliptical distributions.
This paper extends Kelly Criterion to include rebalancing frequency for optimal portfolio selection.
Roy's `Safety First' criterion for selecting one risky asset from many is adapted to the case of non-normal returns, via Cornish Fisher expansion. The resulting investment objective is consistent with first order stochastic dominance, and is equal to the Sharpe ratio for the case of normal returns. An investor selectin…
Proposes new rule for ranking investment prospects over long horizons.
In this paper, we propose an information-theoretic exploration strategy for stochastic, discrete multi-armed bandits that achieves optimal regret. Our strategy is based on the value of information criterion. This criterion measures the trade-off between policy information and obtainable rewards. High amounts of policy …
We give a necessary and sufficient condition for the existence of a local solution of the inverse problem of calculus of variations in terms of the identical vanishing of the variation of a functional on an extended space (with the number of independent variables increased by one), and explain its relation with the cla…
We consider localized deformation for initial data sets of the Einstein field equations with the dominant energy condition. Deformation results with the weak inequality need to be handled delicately. We introduce a modified constraint operator to absorb the first order change of the metric in the dominant energy condit…
New criterion for cylinder stability in curved spaces.
Study on reinsurance decisions using mean-variance criterion with irreversible contracts.
A tutorial on variational inference for high-dimensional models.
The paper defines almost strict domination for representations and connects it to anti-de Sitter 3-manifolds.
Bayesian model selection via mean-field variational approximation improves efficiency and accuracy.
A new BO termination criterion for HPO reduces optimization time without sacrificing test performance.
This article addresses the problem of derivative-free (single- or multi-objective) optimization subject to multiple inequality constraints. Both the objective and constraint functions are assumed to be smooth, non-linear and expensive to evaluate. As a consequence, the number of evaluations that can be used to carry ou…
New representation theory for surface groups to SO0(2,3).
Factorized Information Criterion (FIC) is a recently developed information criterion, based on which a novel model selection methodology, namely Factorized Asymptotic Bayesian (FAB) Inference, has been developed and successfully applied to various hierarchical Bayesian models. The Dirichlet Process (DP) prior, and one …
Four geometries govern sequential and distribution-free inference.
A new criterion HBIC improves model selection for factor analysis with missing data.
We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results, we show that if the semimartingale has conditionally independent increments and symmetric jump measure, then its discrete realized variance…
We study convergence rates of variational posterior distributions for nonparametric and high-dimensional inference. We formulate general conditions on prior, likelihood, and variational class that characterize the convergence rates. Under similar "prior mass and testing" conditions considered in the literature, the rat…
Develops a new robustness criterion for VAEs and provides theoretical guarantees.
We focus on variational inference in dynamical systems where the discrete time transition function (or evolution rule) is modelled by a Gaussian process. The dominant approach so far has been to use a factorised posterior distribution, decoupling the transition function from the system states. This is not exact in gene…
In this paper, we study the analogue of the Shafarevich conjecture for polarized Calabi-Yau varieties. We use variations of Hodge structures and Higgs bundles to establish a criterion for the {\it rigidity} of families. We then apply the criterion to obtain that some important and typical families of Calabi-Yau varieti…
In this article we prove a generalization of Weyl's criterion for the spectrum of a self-adjoint nonnegative operator on a Hilbert space. We will apply this new criterion in combination with Cheeger-Fukaya-Gromov and Cheeger-Colding theory to study the -form essential spectrum over a complete manifold with vanishing…
New method disentangles shared and private latent factors in multimodal data.
Inspired by Berndtsson's work on the subharmonicity property of the Bergman kernel, we give a local variation formula of the full Bergman kernels associated to deformations of complex manifolds. In compact case, it follows from the reproducing property of the Bergman kernel and the curvature formula of the 0-th direct …
We outline the notions and concepts of the calculus of variational multivectors within the Poisson formalism over the spaces of infinite jets of mappings from commutative (non)graded smooth manifolds to the factors of noncommutative associative algebras over the equivalence under cyclic permutations of the letters in t…
Proves solution uniqueness for biomembrane shape prediction.
Proposes Population Difference Criterion for visually observed subpopulation differences.
Let L be a Lagrangian submanifold of a pseudo- or para-Kähler manifold which is H-minimal, i.e. a critical point of the volume functional restricted to Hamiltonian variations. We derive the second variation of the volume of L with respect to Hamiltonian variations. We apply this formula to several cases. In particular …
Topological method detects Hopf bifurcations from time series.
Emerging economies use countercyclical policies to manage crises and dominant currencies.
GWI combines deep neural networks with Gaussian processes for better predictive performance and uncertainty quantification.
A new model selects low-carbon mutual funds considering ESG criteria, risk, and investor preferences.
Proposes a new hyperprior and predictive criterion for weakly informative hyperprior in relevance vector machine.
This paper tackles noisy multi-objective optimization with adaptive resampling using bootstrapping.
We consider the problem of high-dimensional Ising (graphical) model selection. We propose a simple algorithm for structure estimation based on the thresholding of the empirical conditional variation distances. We introduce a novel criterion for tractable graph families, where this method is efficient, based on the pres…
Paper introduces a new method to solve complex PDEs efficiently.
Study on stability of surfaces in null cones under area-preserving variations.
We extend the idea and techniques in \cite{Miao} to study variational effect of the boundary geometry on the ADM mass of an asymptotically flat manifold. We show that, for a Lipschitz asymptotically flat metric extension of a bounded Riemannian domain with quasi-convex boundary, if the boundary mean curvature of the ex…
Factorized information criterion (FIC) is a recently developed approximation technique for the marginal log-likelihood, which provides an automatic model selection framework for a few latent variable models (LVMs) with tractable inference algorithms. This paper reconsiders FIC and fills theoretical gaps of previous FIC…
Mixture model-based clustering has become an increasingly popular data analysis technique since its introduction over fifty years ago, and is now commonly utilized within a family setting. Families of mixture models arise when the component parameters, usually the component covariance (or scale) matrices, are decompose…
The study proves rigidity for mixed Hodge structures and applies to curve families.
We propose a new family of optimization criteria for variational auto-encoding models, generalizing the standard evidence lower bound. We provide conditions under which they recover the data distribution and learn latent features, and formally show that common issues such as blurry samples and uninformative latent feat…
This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems. In particular, we consider (i) direct control, (ii) penalized, and (iii) semi-Lagrangian discretization schemes applied to the HJBQVI proble…
Paper develops methods for analyzing forms with synchronized singularities.