Research
On-device research index

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

Trend · papers per month

275481108 · Jun 202019922001200920172026
48 results for chance correlations

The paper critiques and expands on common evaluation metrics in machine learning.

problem The common evaluation metrics like Precision, Recall, F-Measure, and Rand Accuracy are biased and misleading.
method The paper introduces new measures like Informedness, Markedness, and Correlation to better reflect the quality of predictions.
result A system that performs worse in terms of Informedness can appear better using common measures like Precision and Recall.

New approach to compute generalization performance using known risk distribution.

problem Computing generalization performance in machine learning.
method Assumes known risk distribution ρ(r)ρ(r), computes expected error using empirical risk minimization, and considers power-law behavior of ρ(r)ρ(r).
result Corrected typical behavior of generalization performance due to chance correlations in training set.

A new model of learning corrects for chance to improve learning outcomes.

problem The importance of chance-corrected measures in learning.
method Developed two models: Informatron and AdaBook, based on empirical psychological results.
result Chance correction facilitates learning, as shown by computational results.

In many scientific tasks we are interested in discovering whether there exist any correlations in our data. This raises many questions, such as how to reliably and interpretably measure correlation between a multivariate set of attributes, how to do so without having to make assumptions on distribution of the data or t…

2019-08-30abs ↗pdf ↗

Complex systems are typically represented by large ensembles of observations. Correlation matrices provide an efficient formal framework to extract information from such multivariate ensembles and identify in a quantifiable way patterns of activity that are reproducible with statistically significant frequency compared…

2011-06-02abs ↗pdf ↗

Chance-constrained ActInf allows for small violations of constraints to drive goal-directed behavior.

problem Goal-directed behavior constrained by prior beliefs.
method Introducing chance constraints to ActInf, allowing for small violations of constraints.
result Chance-constrained ActInf allows for a trade-off between robust control and chance constraint violation.

This work proposes an online learning approach to tighten constraints in stochastic control problems.

problem Solving chance-constrained stochastic optimal control problems is computationally challenging.
method Reformulate chance constraints as a binary regression problem and use a GP model to learn constraint-tightening parameters online.
result The approach tightens constraints more effectively, leading to lower costs in numerical experiments.

CPP solves chance constrained optimization problems with a framework that combines samples and quantile lemma.

problem Chance constrained optimization problems with constraints on random variables.
method CPP framework using samples and quantile lemma to transform into deterministic problem.
result CPP provides a posteriori guarantees on constraint satisfaction and can handle different types of chance constraints.

A scalable method for deep metric learning using chance constraints.

problem Improving deep metric learning by addressing feasibility issues.
method Relating DML to chance constraints, reformulating as a feasibility problem, and iteratively training proxies.
result The method effectively improves deep metric learning performance across multiple benchmarks.

The paper tackles online resource allocation with uncertain coefficients and chance constraints.

problem Online stochastic resource allocation problem with chance constraints.
method Linearization and primal-dual algorithms with heuristic corrections.
result Optimality gap and constraint violation are on the order of √n.

We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the multiperiod integrated chance constraint (MICC). As their names suggest, the OICC …

2015-03-18abs ↗pdf ↗

NURD improves model performance by distilling representations independent of nuisance variables.

problem Models trained under spurious correlations may fail on data with different nuisance-label relationships.
method Developed Nuisance-Randomized Distillation (NURD) to find representations independent of nuisance variables.
result NURD finds representations that perform better regardless of nuisance-label relationships.

A new method uses GANs for robust optimization under uncertain data.

problem Optimizing supply chains under demand uncertainty with ambiguous distributions.
method Generative adversarial networks (GANs) for data-driven distributionally robust chance constrained programming.
result The approach effectively handles uncertain data distributions and improves supply chain optimization.

Study scaling of optimal solutions for reliability constraints in resource provisioning.

problem Achieving high reliability in resource provisioning under stringent requirements.
method Chance-constrained optimization, distributionally robust optimization, f-divergence balls, line search.
result Correct scaling properties of optimal decisions are preserved by using appropriate f-divergence balls, leading to conservative yet near-optimal solutions.

Blockwise bootstrap improves ASR performance testing for correlated data.

problem Testing reliability of WER improvements between ASR systems.
method Divide evaluation utterances into nonoverlapping blocks and resample these blocks.
result The variance estimator of absolute WER difference is consistent under mild conditions.

The concepts of risk-aversion, chance-constrained optimization, and robust optimization have developed significantly over the last decade. Statistical learning community has also witnessed a rapid theoretical and applied growth by relying on these concepts. A modeling framework, called distributionally robust optimizat…

2019-08-13abs ↗pdf ↗

GP CC-OPF solves uncertain power grid optimization with Gaussian Process.

problem Uncertainty in power grid operations due to high renewables integration.
method Data-driven Gaussian Process regression for solving non-convex CC-OPF problem.
result Effective economic dispatch optimization in uncertain power grids.

Paper proposes a fast data-driven AC-OPF method using sparse hybrid Gaussian processes.

problem Optimizing electricity generation and delivery under generation uncertainty in modern power grids.
method Data-driven approach using sparse hybrid Gaussian processes to model power flow equations.
result Shows up to two times faster and more accurate solutions compared to state-of-the-art methods.

Bayesian method optimizes uncertain constraints in black-box function optimization.

problem Optimizing black-box functions with uncertain environmental variables.
method Distributionally robust chance-constrained Bayesian optimization.
result The method can find accurate solutions with high probability in a finite number of trials.

Bayesian method approximates intractable stochastic programs with chance constraints.

problem Designing systems with stochastic constraints and chance constraints.
method Variational Bayesian approach to approximate posterior predictive integral.
result The solution set converges to the true solution set as the number of observations increases.

This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size of the ambiguity set, which is often lack of business meaning, through the chance…

2019-06-03abs ↗pdf ↗

This paper proposes a method to safely adjust exploration in RL to satisfy constraints.

problem Unsafe exploration in reinforcement learning violates constraints on controlled object states.
method Automatic adjustment of exploration inputs and variance-covariance matrix for safety.
result The method guarantees satisfaction of joint chance constraints with specified probability.

Paper develops robust OPF method using contextual information.

problem Optimal Power Flow problem under incomplete uncertainty knowledge.
method Distributionally robust chance-constrained formulation with probability trimmings and optimal transport.
result Distributional robustness improves expected cost and system reliability.

The study improves the perceptron's storage capacity by optimizing variable selection.

problem Distinguishing genuine structure from random correlations in high-dimensional data.
method Replica method from statistical mechanics for optimal variable selection.
result Optimal variable selection can surpass the Cover--Gardner bound for pattern classification.

Optimizes power systems with energy storage under uncertainty using scenario-based method.

problem Optimizing power systems with energy storage, intermittent renewable generation, and uncontrollable loads under uncertainty.
method Developed a novel solution method based on scenario optimization and strategic sampling to solve the chance-constrained optimal power system operation problem.
result The strategic sampling method significantly improves computational efficiency and data-driven convex approximation of power flow.

This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.

2014-03-24abs ↗pdf ↗

To understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies, we define an algorithm for measuring sentiment-based network risk. The algorithm ranks companies in networks of co-occurrences, and measures sentiment-based risk, by calculatin…

2017-06-19abs ↗pdf ↗

We study the top-KK ranking problem where the goal is to recover the set of top-KK ranked items out of a large collection of items based on partially revealed preferences. We consider an adversarial crowdsourced setting where there are two population sets, and pairwise comparison samples drawn from one of the populat…

2016-02-15abs ↗pdf ↗