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.
Automates building structural design with reduced mass and carbon footprint.
The large thermal capacity of buildings enables heating, ventilating, and air-conditioning (HVAC) systems to be exploited as demand response (DR) resources. Optimal DR of HVAC units is challenging, particularly for multi-zone buildings, because this requires detailed physics-based models of zonal temperature variations…
New deep learning model optimizes energy use in buildings.
SBO uses dual voting to build consensus in noisy feedback settings.
Classical methods to control heating systems are often marred by suboptimal performance, inability to adapt to dynamic conditions and unreasonable assumptions e.g. existence of building models. This paper presents a novel deep reinforcement learning algorithm which can control space heating in buildings in a computatio…
Develops parameter-free online mirror descent for optimal dynamic regret.
The area of building energy management has received a significant amount of interest in recent years. This area is concerned with combining advancements in sensor technologies, communications and advanced control algorithms to optimize energy utilization. Reinforcement learning is one of the most prominent machine lear…
We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently used to solve efficiently (martingale) optimal transport problems.
Most of the current game-theoretic demand-side management methods focus primarily on the scheduling of home appliances, and the related numerical experiments are analyzed under various scenarios to achieve the corresponding Nash-equilibrium (NE) and optimal results. However, not much work is conducted for academic or c…
Investigates quantum vs classical portfolio optimization of 60 stocks.
Paper reduces hyperparameters in mixed-categorical Gaussian processes for green aircraft optimization.
We present a framework to train a structured prediction model by performing smoothing on the inference algorithm it builds upon. Smoothing overcomes the non-smoothness inherent to the maximum margin structured prediction objective, and paves the way for the use of fast primal gradient-based optimization algorithms. We …
The paper analyzes optimal stock position-building strategies in competitive markets.
mlr3mbo is a modular R toolbox for Bayesian optimization.
In this report we review memory-based meta-learning as a tool for building sample-efficient strategies that learn from past experience to adapt to any task within a target class. Our goal is to equip the reader with the conceptual foundations of this tool for building new, scalable agents that operate on broad domains.…
Increasing energy efficiency in buildings can reduce costs and emissions substantially. Historically, this has been treated as a local, or single-agent, optimization problem. However, many buildings utilize the same types of thermal equipment e.g. electric heaters and hot water vessels. During operation, occupants in t…
Paper proposes PI-DAE for missing data imputation in buildings using physics constraints.
This paper focuses on energy management in buildings with phase change material (PCM), which is primarily used to improve thermal performance, but can also serve as an energy storage system. In this setting, optimal scheduling of an HVAC system is challenging because of the nonlinear and non-convex characteristics of t…
AutoBayes simplifies variational inference by composing models and optimizing them.
Autoencoder neural networks reconstruct missing indoor environment data.
New RL approach builds short ancestral recombination graphs.
This work improves Bayesian Optimization for setting DNN hyper-parameters.
This article introduces the concepts around Online Bandit Linear Optimization and explores an efficient setup called SCRiBLe (Self-Concordant Regularization in Bandit Learning) created by Abernethy et. al.\cite{abernethy}. The SCRiBLe setup and algorithm yield a regret bound and polynomial run time comple…
Advances in renewable energy generation and introduction of the government targets to improve energy efficiency gave rise to a concept of a Zero Energy Building (ZEB). A ZEB is a building whose net energy usage over a year is zero, i.e., its energy use is not larger than its overall renewables generation. A collection …
Parametric shape optimization aims at minimizing an objective function f(x) where x are CAD parameters. This task is difficult when f is the output of an expensive-to-evaluate numerical simulator and the number of CAD parameters is large. Most often, the set of all considered CAD shapes resides in a manifold of lower e…
Deep neural networks (DNNs) are now a central component of nearly all state-of-the-art speech recognition systems. Building neural network acoustic models requires several design decisions including network architecture, size, and training loss function. This paper offers an empirical investigation on which aspects of …
Two approaches scale up DNN optimization for diverse edge devices.
Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In particular, we give explicit formulas when a regime-switching random walk or a GARCH-type process is utilized to model the returns. Monte Carl…
JaxSGMC simplifies SG-MCMC for Bayesian deep learning.
Optimal transport kernels improve neural architecture search efficiency.
Asymptotically optimal algorithm for contextual linear bandits.
Approximate nearest neighbor algorithms are used to speed up nearest neighbor search in a wide array of applications. However, current indexing methods feature several hyperparameters that need to be tuned to reach an acceptable accuracy--speed trade-off. A grid search in the parameter space is often impractically slow…
The first step in constructing a machine learning model is defining the features of the data set that can be used for optimal learning. In this work we discuss feature selection methods, which can be used to build better models, as well as achieve model interpretability. We applied these methods in the context of stres…
It takes skill to build a meaningful predictive model even with the abundance of implementations of modern machine learning algorithms and readily available computing resources. Building a model becomes challenging if hundreds of terabytes of data need to be processed to produce the training data set. In a digital adve…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit orders, market orders and cancellations. To solve the agent's control problem, we b…
Near real-time damage diagnosis of building structures after extreme events (e.g., earthquakes) is of great importance in structural health monitoring. Unlike conventional methods that are usually time-consuming and require human expertise, pattern recognition algorithms have the potential to interpret sensor recording…
Bayesian optimization tackles non-smooth tuning problems.
We give a parametrization of test configurations in the sense of Donaldson via spherical buildings, and show the existence of "optimal" destabilizing test configurations for unstable varieties, in the wake of Mumford and Kempf. We also give an account of the recent slight amendment to definition of K-stability after Li…
Scalable tools for nested optimization in deep learning.
Project predicts stock performance and builds an efficient portfolio for six Indian sectors.
This paper introduces Jensen, an easily extensible and scalable toolkit for production-level machine learning and convex optimization. Jensen implements a framework of convex (or loss) functions, convex optimization algorithms (including Gradient Descent, L-BFGS, Stochastic Gradient Descent, Conjugate Gradient, etc.), …
Quantum optimization for portfolios with risk and diversification constraints.
Energy consumption for hot water production is a major draw in high efficiency buildings. Optimizing this has typically been approached from a thermodynamics perspective, decoupled from occupant influence. Furthermore, optimization usually presupposes existence of a detailed dynamics model for the hot water system. The…
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the optimal portfolio for a …
Builds geometric structures for algebraic groups over real closed fields.
In this paper we analyze, evaluate, and improve the performance of training Random Forest (RF) models on modern CPU architectures. An exact, state-of-the-art binary decision tree building algorithm is used as the basis of this study. Firstly, we investigate the trade-offs between using different tree building algorithm…
Building on results of Arthur and Mok, we extend to (finite volume) complex and quaternionic hyperbolic manifolds the results of arXiv:1004.1085. For the spherical spectrum our results are optimal. Finally, as an application we prove a Lefschetz property for the restriction map between arithmetic quotients of complex b…
Improved forecast accuracy for energy systems through decision-focused fine-tuning.