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.
Paper presents efficient algorithms for convolutional neural networks using Winograd minimal filtering.
Efficient Winograd convolution for INT8 networks using RNS.
Winograd convolutions are used to improve quantized neural networks.
Winograd convolution is widely used in deep neural networks (DNNs). Existing work for DNNs considers only the subset Winograd algorithms that are equivalent to Toom-Cook convolution. We investigate a wider range of Winograd algorithms for DNNs and show that these additional algorithms can significantly improve floating…
Paper proposes a method to speed up DNNs by quantizing Winograd/Toom-Cook convolutions.
Recent studies have significantly improved the state-of-the-art on common-sense reasoning (CSR) benchmarks like the Winograd Schema Challenge (WSC) and SWAG. The question we ask in this paper is whether improved performance on these benchmarks represents genuine progress towards common-sense-enabled systems. We make ca…
Popular deep neural networks (DNNs) spend the majority of their execution time computing convolutions. The Winograd family of algorithms can greatly reduce the number of arithmetic operations required and is present in many DNN software frameworks. However, the performance gain is at the expense of a reduction in float…
Enhances linear regression with Kalman filter for loss minimization.
Volatility dynamics of wavelet - filtered stock price time series is studied. Using the universal thresholding method of wavelet filtering and a principle of minimal linear autocorrelation of noise component we find that the quantitative characteristics of volatility dynamics of denoised series are noticeably different…
Binary Stochastic Filtering (BSF), the algorithm for feature selection and neuron pruning is proposed in this work. The method defines filtering layer which penalizes amount of the information involved in the training process. This information could be the input data or output of the previous layer, which directly lead…
A new Bayesian filtering method speeds up stochastic Newton optimization.
We introduce a family of adaptive estimators on graphs, based on penalizing the norm of discrete graph differences. This generalizes the idea of trend filtering [Kim et al. (2009), Tibshirani (2014)], used for univariate nonparametric regression, to graphs. Analogous to the univariate case, graph trend filteri…
We present a filter correlation based model compression approach for deep convolutional neural networks. Our approach iteratively identifies pairs of filters with the largest pairwise correlations and drops one of the filters from each such pair. However, instead of discarding one of the filters from each such pair naï…
Latent FxLMS accelerates ANC by adapting along low-dimensional filter weights.
This paper is concerned with sequential filtering based stochastic optimization (FSO) approaches that leverage a probabilistic perspective to implement the incremental proximity method (IPM). The present FSO methods are derived based on the Kalman filter (KF) and the extended KF (EKF). In contrast with typical methods …
A new method for Gaussian filtering using gradient flows and Wasserstein metrics.
We seek to learn an effective policy for a Markov Decision Process (MDP) with continuous states via Q-Learning. Given a set of basis functions over state action pairs we search for a corresponding set of linear weights that minimizes the mean Bellman residual. Our algorithm uses a Kalman filter model to estimate those …
We consider the nonlinear Kalman filtering problem using Kullback-Leibler (KL) and -divergence measures as optimization criteria. Unlike linear Kalman filters, nonlinear Kalman filters do not have closed form Gaussian posteriors because of a lack of conjugacy due to the nonlinearity in the likelihood. In this paper …
Improved stock volume prediction using Kalman Filters with various hidden states.
A new method improves Bayesian filtering in nonlinear systems.
Three situations in which filtering theory is used in mathematical finance are illustrated at different levels of detail. The three problems originate from the following different works: 1) On estimating the stochastic volatility model from observed bilateral exchange rate news, by R. Mahieu, and P. Schotman; 2) A stat…
There is much empirical evidence that item-item collaborative filtering works well in practice. Motivated to understand this, we provide a framework to design and analyze various recommendation algorithms. The setup amounts to online binary matrix completion, where at each time a random user requests a recommendation a…
A new ensemble filter uses transport maps and MMD optimization for high-dimensional data assimilation.
The accuracy of least squares calibration using option premiums and particle filtering of price data to find model parameters is determined. Derivative models using exponential Lévy processes are calibrated using regularized weighted least squares with respect to the minimal entropy martingale measure. Sequential impor…
AD-EnKFs use machine learning to improve data assimilation in high-dimensional systems.
A data filtering method for cluster analysis is proposed, based on minimizing a least squares function with a weighted -norm penalty. To overcome the discontinuity of the objective function, smooth non-convex functions are employed to approximate the -norm. The convergence of the global minimum points o…
Safety filter for unknown discrete-time systems with learned models and noise covariance.
We propose a Bayesian nonparametric method for low-pass filtering that can naturally handle unevenly-sampled and noise-corrupted observations. The proposed model is constructed as a latent-factor model for time series, where the latent factors are Gaussian processes with non-overlapping spectra. With this construction,…
Extracting the underlying trend signal is a crucial step to facilitate time series analysis like forecasting and anomaly detection. Besides noise signal, time series can contain not only outliers but also abrupt trend changes in real-world scenarios. To deal with these challenges, we propose a robust trend filtering al…
We discuss the problem of adaptive discrete-time signal denoising in the situation where the signal to be recovered admits a "linear oracle" -- an unknown linear estimate that takes the form of convolution of observations with a time-invariant filter. It was shown by Juditsky and Nemirovski (2009) that when the $\ell_2…
This paper introduces the kernel mixture network, a new method for nonparametric estimation of conditional probability densities using neural networks. We model arbitrarily complex conditional densities as linear combinations of a family of kernel functions centered at a subset of training points. The weights are deter…
A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The computational tractable formulation expresses the non-convex optimization problem as transformations of Euclidean conditional expectation. …
Auto-regressive models learn latent states from partially observed linear dynamical systems.
Knot lattice homology invariant of smooth knot type in rational homology spheres.
The electroencephalogram (EEG) is the most popular form of input for brain computer interfaces (BCIs). However, it can be easily contaminated by various artifacts and noise, e.g., eye blink, muscle activities, powerline noise, etc. Therefore, the EEG signals are often filtered both spatially and temporally to increase …
The present paper proposes generalized Gaussian kernel adaptive filtering, where the kernel parameters are adaptive and data-driven. The Gaussian kernel is parametrized by a center vector and a symmetric positive definite (SPD) precision matrix, which is regarded as a generalization of the scalar width parameter. These…
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the market parameters, but rather use historical stock prices. For a non-linear problem with a general performance criterion, th…
A new filter design improves system identification accuracy.
Regularization techniques are widely used to improve the generality, robustness, and efficiency of deep convolutional neural networks (DCNNs). In this paper, we propose a novel approach of regulating DCNN convolutional kernels by a structured filter bank. Comparing with the existing regularization methods, such as $\el…
Improving Bayesian filtering with strictly proper scoring rules
Kronecker trend filtering improves lattice data smoothing.
Despite the promising results of convolutional neural networks (CNNs), their application on devices with limited resources is still a big challenge; this is mainly due to the huge memory and computation requirements of the CNN. To counter the limitation imposed by the network size, we use pruning to reduce the network …
Multi-channel sparse blind deconvolution, or convolutional sparse coding, refers to the problem of learning an unknown filter by observing its circulant convolutions with multiple input signals that are sparse. This problem finds numerous applications in signal processing, computer vision, and inverse problems. However…
We propose two sparsity-aware normalized subband adaptive filter (NSAF) algorithms by using the gradient descent method to minimize a combination of the original NSAF cost function and the l1-norm penalty function on the filter coefficients. This l1-norm penalty exploits the sparsity of a system in the coefficients upd…
Let X be a pseudomanifold. In this text, we use a simplicial blow-up to define a cochain complex whose cohomology with coefficients in a field, is isomorphic to the intersection cohomology of X, introduced by M. Goresky and R. MacPherson. We do it simplicially in the setting of a filtered version of face sets, also cal…
We study trend filtering, a recently proposed tool of Kim et al. [SIAM Rev. 51 (2009) 339-360] for nonparametric regression. The trend filtering estimate is defined as the minimizer of a penalized least squares criterion, in which the penalty term sums the absolute th order discrete derivatives over the input points…
Despite the importance of sparsity signal models and the increasing prevalence of high-dimensional streaming data, there are relatively few algorithms for dynamic filtering of time-varying sparse signals. Of the existing algorithms, fewer still provide strong performance guarantees. This paper examines two algorithms f…
Identifies directed graphs from node measurements using polynomial filters.