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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.

168,878 papers · 148 categories

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4080120160 · Jun 202019922001200920172026
48 results for big-M formulation

New conic quadratic formulations improve outlier detection in regression models.

problem Detecting outliers in regression models with corrupted data.
method Deriving stronger second-order conic relaxations without big-M constraints.
result Proposed formulations are significantly faster than existing methods.

Unified approach tackles logical constraints in mixed-integer optimization.

problem Logical constraints in mixed-integer optimization problems.
method Express logical constraints non-linearly, reformulate as convex binary optimization, solve using outer-approximation.
result Solves problems faster and at larger scale than existing methods.

Subset selection in multiple linear regression aims to choose a subset of candidate explanatory variables that tradeoff fitting error (explanatory power) and model complexity (number of variables selected). We build mathematical programming models for regression subset selection based on mean square and absolute errors…

2017-01-27abs ↗pdf ↗

The aim of this note is to prove that any compact non-trivial almost Ricci soliton (Mn,g,X,λ)\big(M^n,\,g,\,X,\,λ\big) with constant scalar curvature is isometric to a Euclidean sphere Sn\Bbb{S}^{n}. As a consequence we obtain that every compact non-trivial almost Ricci soliton with constant scalar curvature is gradient. Moreo…

2012-09-12abs ↗pdf ↗

In this work we generalise various recent results on the evolution and monotonicity of the eigenvalues of certain geometric operators under specified geometric flows. Given a closed, compact Riemannian manifold (Mn,g(t))\big(M^n,g(t)\big) and a smooth function ηC(M)η\in C^{\infty}(M) we consider the family of operators $\mathbb{…

2017-06-19abs ↗pdf ↗

We analyze a method to produce pairs of non independent Poisson processes M(t),N(t)M(t),N(t) from positively correlated, self-decomposable, exponential renewals. In particular the present paper provides the family of copulas pairing the renewals, along with the closed form for the joint distribution pm,n(s,t)p_{m,n}(s,t) of the pair…

2015-09-02abs ↗pdf ↗

CMOSS algorithm reduces regret in combinatorial semi-bandits with efficient computation.

problem Efficiently solving combinatorial semi-bandit problems with minimal regret.
method CMOSS algorithm achieves optimal regret bounds with minimal computational overhead.
result CMOSS achieves optimal regret bounds with minimal computational overhead.

With respect to any special boundary defining function, a conformally compact asymptotically hyperbolic metric has an asymptotic expansion near its conformal infinity. If this expansion is even to a certain order and satisfies one extra condition, then it is possible to define its renormalized volume and show that it i…

2016-07-28abs ↗pdf ↗

A new Branch-and-Bound solver tackles L0-penalized problems with flexible loss functions.

problem Solving L0-penalized optimization problems with a broader class of loss functions.
method Generic Branch-and-Bound procedure with closed-form expressions for key quantities.
result El0ps solver achieves state-of-the-art performance and extends computational feasibility.

In this paper we consider the large genus asymptotics for two classes of Siegel-Veech constants associated with an arbitrary connected stratum H(α)\mathcal{H} (α) of Abelian differentials. The first is the saddle connection Siegel-Veech constant cscmi,mj(H(α))c_{\text{sc}}^{m_i, m_j} \big( \mathcal{H} (α) \big) counting saddle conne…

2018-10-11abs ↗pdf ↗

Sparse oblique decision tree improves security rules for renewable power systems.

problem Identifying secure operating conditions in power systems with high renewable energy.
method Sparse weighted oblique decision tree to learn and embed linear security rules.
result The method significantly increases secure states and reduces solution time.

Gaussian processes (GP) provide a prior over functions and allow finding complex regularities in data. Gaussian processes are successfully used for classification/regression problems and dimensionality reduction. In this work we consider the classification problem only. The complexity of standard methods for GP-classif…

2016-11-18abs ↗pdf ↗

We study the local equivalence problem for real-analytic (Cω\mathcal{C}^ω) hypersurfaces M5C3M^5 \subset \mathbb{C}^3 which, in coordinates (z1,z2,w)C3(z_1, z_2, w) \in \mathbb{C}^3 with w=u+ivw = u+i\, v, are rigid: \[ u \,=\, F\big(z_1,z_2,\overline{z}_1,\overline{z}_2\big), \] with FF independent of vv. Specifically, we study th…

2019-04-04abs ↗pdf ↗

Optimal data-driven formulations are found for learning and decision-making with historical data.

problem Designing optimal learning and decision-making formulations from historical data.
method Define a yardstick for measuring formulation quality, then construct an optimal formulation that is uniformly closer to the true cost.
result Existence of three distinct out-of-sample performance regimes with corresponding optimal formulations.

Paper proposes a QUBO formulation that reduces binary variables in Bayesian network learning.

problem Reducing the number of binary variables in QUBO formulations for Bayesian network learning.
method Proposes a new QUBO formulation that minimizes binary variables.
result Significantly reduces the number of binary variables required for Bayesian network structure learning.

Defines a metric and form for a bundle moduli space, leading to a zero-curvature formulation.

problem Formulating a metric and form for a bundle moduli space.
method Defines an algebraic metric and closed 3-form on a subspace of the moduli of GG-bundles.
result Shows a zero-curvature formulation for a σσ-model with target the moduli space.

We study ranking quantilized mean-field games to select top-performing agents.

problem Selecting top-performing agents in competitive scenarios.
method Developed two formulations: target-based and threshold-based, and provided analytic and semi-explicit solutions.
result Analytic and semi-explicit solutions for quantilized mean-field consistency conditions.

The paper develops mixed-integer formulations for neural networks using partitioning.

problem Optimizing trained ReLU neural networks with balanced model size and tightness.
method Partitioning node inputs into groups, forming the convex hull via disjunctive programming.
result The proposed formulations outperform existing ones, especially with fewer partitions.

Equivalent formulations for low-rank matrix optimization are proven.

problem Low-rank matrix optimization with rank constraints.
method Established geometric landscape connections between manifold and factorization formulations.
result Equivalence between manifold and factorization formulations at FOSPs, SOSPs, and strict saddles.

A new Lagrangian formulation of the Raychaudhuri equation in non-Riemannian geometry.

problem Formulating the Raychaudhuri equation in non-Riemannian geometries.
method Established a formal connection between the expansion scalar and the cross-sectional volume of the congruence. Derived a Lagrangian and Hamiltonian formulation.
result The expansion scalar equals the fractional rate of change of volume, weighted by a scalar factor.

We propose a parallelizable sparse inverse formulation Gaussian process (SpInGP) for temporal models. It uses a sparse precision GP formulation and sparse matrix routines to speed up the computations. Due to the state-space formulation used in the algorithm, the time complexity of the basic SpInGP is linear, and becaus…

2016-10-25abs ↗pdf ↗

Dirac structures are geometric objects that generalize both Poisson structures and presymplectic structures on manifolds. They naturally appear in the formulation of constrained mechanical systems. In this paper, we show that the evolution equa- tions for nonequilibrium thermodynamics admit an intrinsic formulation in …

2017-04-12abs ↗pdf ↗

Continuous formulation of machine learning models and algorithms.

problem Generalization error and implicit regularization in machine learning.
method Continuous formulation in calculus of variations and differential-integral equations, with new models and algorithms.
result Conventional models and algorithms can be recovered as particular discretizations.

New formulations capture aversion to ambiguity about volatility.

problem Capturing aversion to ambiguity about unknown and time-varying volatility.
method Introduces novel preference formulations and compares them with existing models.
result Illustrates the impact of ambiguity aversion in static and dynamic models.

In this technical paper, we present a new formulation of higher parallel transport in strict higher gauge theory required for the rigorous construction of Wilson lines and surfaces. Our approach is based on an original notion of Lie crossed module cocycle and cocycle 1- and 2-gauge transformation with a non standard do…

2014-10-03abs ↗pdf ↗

Current pharmaceutical formulation development still strongly relies on the traditional trial-and-error approach by individual experiences of pharmaceutical scientists, which is laborious, time-consuming and costly. Recently, deep learning has been widely applied in many challenging domains because of its important cap…

2018-09-06abs ↗pdf ↗

We introduce a new convex formulation for stable principal component pursuit (SPCP) to decompose noisy signals into low-rank and sparse representations. For numerical solutions of our SPCP formulation, we first develop a convex variational framework and then accelerate it with quasi-Newton methods. We show, via synthet…

2014-06-04abs ↗pdf ↗

Designs a robust data-driven decision-making model to handle multiple overfitting sources.

problem Overfitting in data-driven models due to statistical error, data noise, and data misspecification.
method Holistic distributionally robust optimization formulation combining Kullback-Leibler and Lévy-Prokhorov approaches.
result Guaranteed holistic protection against statistical error, data noise, and data misspecification.