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.
A new method learns the optimal pricing map for semiparametric dynamic pricing problems.
problem Optimizing pricing strategies in a semiparametric valuation model with unknown utility and noise.
method Developed a modular policy called ORBIT that uses a scalar pilot index, localizes a benchmark price, and learns a local polynomial approximation of the oracle price map.
result Achieves regret bound of \( \widetilde{O}\big(T^{\frac{2β-1}{4β-3}}+\sqrt{dT}\big) \) for the linear utility model and minimax sharp lower bound.
For many years, i-vector based audio embedding techniques were the dominant approach for speaker verification and speaker diarization applications. However, mirroring the rise of deep learning in various domains, neural network based audio embeddings, also known as d-vectors, have consistently demonstrated superior spe…
We consider online learning in an adversarial, non-convex setting under the assumption that the learner has an access to an offline optimization oracle. In the general setting of prediction with expert advice, Hazan et al. (2016) established that in the optimization-oracle model, online learning requires exponentially …
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement of assets in High Frequency Trading (HFT), an automatic algorithm to analyze and …
We consider the problem of minimizing the sum of submodular set functions assuming minimization oracles of each summand function. Most existing approaches reformulate the problem as the convex minimization of the sum of the corresponding Lovász extensions and the squared Euclidean norm, leading to algorithms requiring …
We note that known methods achieving the optimal oracle complexity for first order convex optimization require quadratic memory, and ask whether this is necessary, and more broadly seek to characterize the minimax number of first order queries required to optimize a convex Lipschitz function subject to a memory constra…
Relative to the large literature on upper bounds on complexity of convex optimization, lesser attention has been paid to the fundamental hardness of these problems. Given the extensive use of convex optimization in machine learning and statistics, gaining an understanding of these complexity-theoretic issues is importa…
We introduce biased gradient oracles to capture a setting where the function measurements have an estimation error that can be controlled through a batch size parameter. Our proposed oracles are appealing in several practical contexts, for instance, risk measure estimation from a batch of independent and identically di…
One of the most effective algorithms for differentially private learning and optimization is objective perturbation. This technique augments a given optimization problem (e.g. deriving from an ERM problem) with a random linear term, and then exactly solves it. However, to date, analyses of this approach crucially rely …
We propose in this paper a general framework for deriving loss functions for structured prediction. In our framework, the user chooses a convex set including the output space and provides an oracle for projecting onto that set. Given that oracle, our framework automatically generates a corresponding convex and smooth l…
We give nearly matching upper and lower bounds on the oracle complexity of finding ε-stationary points (∥∇F(x)∥≤ε) in stochastic convex optimization. We jointly analyze the oracle complexity in both the local stochastic oracle model and the global oracle (or, statistical learning) model. This allows u…
Minimizing a function over an intersection of convex sets is an important task in optimization that is often much more challenging than minimizing it over each individual constraint set. While traditional methods such as Frank-Wolfe (FW) or proximal gradient descent assume access to a linear or quadratic oracle on the …
This paper studies the lower bound complexity for the optimization problem whose objective function is the average of n individual smooth convex functions. We consider the algorithm which gets access to gradient and proximal oracle for each individual component. For the strongly-convex case, we prove such an algorith…
Paper addresses online alignment of large language models under uncertain preference feedback.
problem Online alignment of large language models with misspecified preference feedback.
method Formulates an oracle-robust objective as a worst-case optimization problem for log-linear policies, and develops projected stochastic composite updates.
result Shows that the robust objective admits an exact closed-form decomposition and achieves O(ε−2) oracle complexity.
We presented Bayesian portfolio selection strategy, via the k factor asset pricing model. If the market is information efficient, the proposed strategy will mimic the market; otherwise, the strategy will outperform the market. The strategy depends on the selection of a portfolio via Bayesian multiple testing methodol…
A non-vector-based dissimilarity measure is proposed by combining vector-based distance metrics and set operations. This proposed compound dissimilarity measure (CDM) is applicable to quantify similarity of collections of attribute/feature pairs where not all attributes are present in all collections. This is a typical…