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arXiv research

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.

168,742 papers · 148 categories

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48 results for adjoint sensitivity analysis

A new method for computing shape gradients in FSI problems with non-matching meshes.

problem Computing shape gradients in fluid-structure interaction problems with non-matching meshes.
method Partitioned solution procedure using black-box adjoint solvers, augmented target functions, and coupling fields.
result Accurate shape gradients computed with reduced formulations for computational efficiency.

SNAPO optimizes policies for complex sequential decisions using differentiable simulation.

problem Optimizing policies for high-dimensional, sequential decisions under uncertainty.
method Embeds neural policy in a differentiable simulator, computes gradients efficiently.
result Produces sensitivities at a cost proportional to one reverse pass, regardless of sensitivity count.

Framework for pricing waterfall structures using simulation and uncertainty modeling.

problem Pricing complex structured finance instruments under uncertainty.
method Simulation-based uncertainty modeling, calibrated probability distributions, PyTorch implementation, Adjoint Algorithmic Differentiation (AAD).
result Efficient gradient computation for risk sensitivity analysis and optimization.

Framework calculates positional influence in causal residual Transformers.

problem Understanding positional influence in causal residual Transformers.
method Adjoint-sensitivity framework for positional influence in causal residual Transformers.
result Exact evolution of adjoint-energy influence density and decomposition into residual transmission, nonlocal Volterra, and local channels.

New method reduces errors in pricing and sensitivities for discontinuous payoffs.

problem Errors in pricing and sensitivities for discontinuous payoffs in digital and barrier options.
method Alternative methods for estimating sensitivities, including likelihood ratio and hybrid methods.
result New methods substantially reduce test errors in prices and sensitivities.

Stable neural flows ensure robustness and efficiency in deep learning.

problem Ensuring robustness and stability in deep learning models.
method Introducing a stable variant of neural ODEs with a neural network parametrizing an energy functional, solving as an optimal control problem with adjoint sensitivity analysis.
result The proposed model provides robustness against input perturbations and low computational burden.

NDDV estimates data point value from a single stochastic trajectory.

problem Estimating marginal contributions of data points over stochastic training paths.
method Introduces Neural Dynamic Data Valuation (NDDV) using stochastic state and adjoint equations.
result NDDV provides a one-run, trajectory-conditioned estimator of data point value.

Using Roelcke formula for the Green function, we explicitly construct a basis in the kernel of the adjoint Laplacian on a compact polyhedral surface XX and compute the SS-matrix of XX at the zero value of the spectral parameter. We apply these results to study various self-adjoint extensions of a symmetric Laplacian…

2019-02-08abs ↗pdf ↗

New framework for higher-order singular-value derivatives of rectangular matrices.

problem Challenging to derive higher-order Fréchet derivatives of singular values in real rectangular matrices.
method Using Kato's analytic perturbation theory for self-adjoint operators and embedding rectangular matrices into block self-adjoint operators.
result Closed-form expressions for the nn-th order spectral variations of singular values.

Proposes a method to improve surrogate models by incorporating sensitivity information.

problem Pruned neural networks often fail to capture sensitivities and uncertainties of original models.
method Combines Interval Adjoint Significance Analysis and Sobolev Training to accurately model sensitivities.
result Pruned models based on the proposed method better match original sensitivities.

SDE Matching eliminates simulation for training Latent SDEs, achieving similar performance.

problem Training Latent SDEs with adjoint sensitivity methods is computationally expensive and limited.
method SDE Matching, inspired by Score- and Flow Matching, eliminates simulation for training Latent SDEs.
result SDE Matching achieves performance comparable to adjoint sensitivity methods while reducing computational complexity.

QMC and GSA improve option pricing and risk measures efficiency.

problem Efficiently pricing and hedging complex financial instruments.
method Application of QMC and GSA techniques for financial instrument pricing and hedging, comparing MC vs QMC and analyzing greeks computation.
result QMC outperforms MC in most cases, especially in high-dimensional simulations, leading to faster and more stable convergence.

We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construction is the use of binning to simultaneously achieve computational efficiency and accurate confidence intervals. We illus…

2010-04-11abs ↗pdf ↗

Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.

problem Inconsistencies in cash-flow forecasting under different measures and stochastic payment times.
method Use discounting sensitivities (funding-curve hedge ratios) for replication and propose a liquidity valuation adjustment.
result Aligns forecasting with replication strategy and avoids measure-mixing issues.

New method optimizes fairness in predictive models for continuous sensitive attributes.

problem Enforcing full statistical independence on continuous sensitive attributes is too restrictive.
method Functional bilevel optimization (FBO) and ITD algorithms.
result Achieves lowest or near-lowest fairness-accuracy regret on synthetic and real datasets.

Optimizes portfolios using neural network approximations of asset sensitivities to common drivers.

problem Optimizing portfolios with complex asset dynamics and common drivers.
method Model asset dynamics with PDEs, approximate sensitivities with neural networks, and use hierarchical clustering on sensitivity matrix for optimization.
result Achieves over-performance in portfolio optimization across various markets and datasets.

This paper analyzes deep and wide transformer training dynamics.

problem Understanding the training dynamics of infinitely deep and wide transformers.
method Develops a mean-field framework for gradient-based training of transformers, controlling a neural PDE.
result Establishes a rigorous foundation for gradient-based transformer training, proving convergence to global minima.

SODEN uses neural networks and ODEs for scalable survival analysis.

problem Survival analysis with censored data and strong structural assumptions.
method Modeling survival distribution as an ODE, using adjoint sensitivity analysis for efficient optimization.
result Efficient estimation of survival models in large-scale applications.

Unified framework for training diffusion and flow models to sample from target distributions.

problem Training diffusion and flow models to sample from target distributions defined by exponential tilting.
method Unified framework combining stochastic optimal control and non-equilibrium thermodynamics perspectives.
result Unified bias-variance decompositions and theoretical support for adjoint-based methods.

Sobol method applied to probabilistic networks for sensitivity analysis.

problem Measuring influence of probabilistic network nodes on a quantity of interest.
method Transforms global sensitivity analysis into marginalization inference exploiting network structure.
result Efficient computation of sensitivity indices for complex networks.

Abstracts a construction of boundary triplets for self-adjoint elliptic problems.

problem Computing the index of families of self-adjoint elliptic boundary problems.
method Abstract axiomatic version of boundary triplets and their applications.
result Analytic proof of index theorem and computation of index differences.

Prove integrality of genus-gg indices with adjoint Reidemeister torsions for twist knots and meridians.

problem Prove integrality of genus-gg indices with adjoint Reidemeister torsions for twist knots and meridians.
method Consider the sum of the adjoint Reidemeister torsions and prove integrality for twist knots and meridians.
result Prove integrality of genus-gg indices with adjoint Reidemeister torsions for twist knots and meridians.

Sensitivity analysis for individualized effects in OTRs with binary risk factors.

problem Addressing omitted confounding in individualized effects of OTRs.
method Simulation-based sensitivity analysis to simulate unmeasured confounders.
result Benchmarking the strength of omitted confounding for binary risk factors.

NeuralCSA uses neural networks to analyze causal effects under unobserved confounding.

problem Challenges in causal inference from observational data due to unobserved confounding.
method Proposes a neural framework (NeuralCSA) for generalized causal sensitivity analysis.
result Demonstrates theoretical and empirical validity of NeuralCSA for causal inference.

We give explicit descriptions of the adjoint group of the Coxeter quandle QWQ_W associated with an arbitrary Coxeter group WW. The adjoint group of QWQ_W turns out to be an intermediate group between WW and the corresponding Artin group AWA_W, and fits into a central extension of WW by a finitely generated free abel…

2017-02-23abs ↗pdf ↗

Paper develops a framework to discover bioprocessing regulatory mechanisms using symbolic and statistical learning.

problem Challenges in modeling complex intracellular regulation, stochastic system behavior, and limited experimental data.
method Symbolic and statistical learning framework based on stochastic differential equations and Bayesian learning.
result Improved sample efficiency and robust model selection compared to state-of-the-art approaches.

Paper analyzes double twist knots using adjoint hyperbolic torsion polynomial.

problem Determining the genus and fibering of double twist knots.
method Uses adjoint hyperbolic torsion polynomial to analyze double twist knots.
result The adjoint hyperbolic torsion polynomial determines the genus and fibering of double twist knots.

Derives adjoint formulas for matrix operations and applies them to specific cases.

problem Computing adjoints for matrix operations and specific matrix types.
method Derives adjoint formulas for matrix operations and applies them to specific cases.
result Closed-form expressions for adjoints in specific matrix types.

A new approach to sensitivity analysis without the Sobol decomposition.

problem Traditional sensitivity indices like Sobol indices have limitations.
method Introducing sensitivity measures that generalize existing indices and define interaction effects.
result Sensitivity measures can create new indices and define interaction effects.