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.
We consider Online Convex Optimization (OCO) in the setting where the costs are m-strongly convex and the online learner pays a switching cost for changing decisions between rounds. We show that the recently proposed Online Balanced Descent (OBD) algorithm is constant competitive in this setting, with competitive rat…
Investigates portfolio selection among competitive agents with mean-variance preferences.
problem Optimizing portfolios with multi-agent competition and relative wealth comparison.
method Reformulated as a constrained, non-homogeneous stochastic linear-quadratic control problem; derived optimal feedback strategies; used decoupling techniques and fixed-point theory to solve nonlinear BSDEs.
result Characterized three scenarios based on market and competition parameters: unique Nash equilibrium, no Nash equilibrium, or infinitely many Nash equilibria.
The control of the costs, as soon as possible of the product life cycle, became a major asset in the competitiveness of the companies confronted with the universalization of competition. After having proposed the problems related this control difficulties, we will present an approach defining a concept of cost entity r…
In the early phases of the product life cycle, the costs controls became a major decision tool in the competitiveness of the companies due to the world competition. After defining the problems related to this control difficulties, we will present an approach using a concept of cost entity related to the design and real…
Study explores optimal strategies in games with multiple players and mean-field interactions.
problem Optimal strategies in games with multiple players and mean-field interactions.
method Exploration of three different notions of optimality, including mean-field control solution, mean-field coarse correlated equilibria, and mean-field Nash equilibria.
result Approximation of cooperative and competitive equilibria in large N-player games by mean-field control and mean-field equilibria.
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulation of the problem. This enables us to develop a numerical technique for obtaining an estimate of the value function which improves on purely…
The structure of the control network of transnational corporations affects global market competition and financial stability. So far, only small national samples were studied and there was no appropriate methodology to assess control globally. We present the first investigation of the architecture of the international …
Increasingly available city data and advanced learning techniques have empowered people to improve the efficiency of our city functions. Among them, improving the urban transportation efficiency is one of the most prominent topics. Recent studies have proposed to use reinforcement learning (RL) for traffic signal contr…
Learning when to communicate and doing that effectively is essential in multi-agent tasks. Recent works show that continuous communication allows efficient training with back-propagation in multi-agent scenarios, but have been restricted to fully-cooperative tasks. In this paper, we present Individualized Controlled Co…
Distributed, controllable energy storage devices offer several benefits to electric power system operation. Three such benefits include reducing peak load, providing standby power, and enhancing power quality. These benefits, however, are only realized during peak load or during an outage, events that are infrequent. T…
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalisation error for a class of penalty terms, and we show that variations of Newton's method can be used to obtain globally convergent…
We study a wide class of non-convex non-concave min-max games that generalizes over standard bilinear zero-sum games. In this class, players control the inputs of a smooth function whose output is being applied to a bilinear zero-sum game. This class of games is motivated by the indirect nature of the competition in Ge…
Geometric theory explains substitutability in market outcomes based on production constraints.
problem Understanding substitutability in markets with structured feasible products.
method Modeling the set of feasible products as a compact Riemannian manifold to study intrinsic geometry and its effects on substitutability.
result Intrinsic geometry of the feasible set governs substitutability and market outcomes, with curvature controlling technological substitution elasticity.
We study the dynamics of co-evolution of producers and customers described by bit-strings representing individual traits. Individual ''size-like'' properties are controlled by binary encounters which outcome depends upon a recognition process. Depending upon the parameter set-up, mutual selection of producers and custo…
To overcome the oscillation problem in the classical momentum-based optimizer, recent work associates it with the proportional-integral (PI) controller, and artificially adds D term producing a PID controller. It suppresses oscillation with the sacrifice of introducing extra hyper-parameter. In this paper, we start by …
The Interactive Minority Game (IMG) is an online version of the traditional Minority Game in which human players can enter into competition with the traditional computer-controlled agents. Through the rich (and, importantly, analytically understood) behaviour of the MG, we can explore humans' behaviour in different kin…
NeurT-FDR controls FDR by incorporating auxiliary covariates in deep learning.
problem Controlling FDR in complex large-scale problems with indirect relations among covariates.
method NeurT-FDR uses a deep Black-Box framework that parametrizes test-level covariates as a neural network and adjusts auxiliary covariates through a regression framework.
result NeurT-FDR makes substantially more discoveries in real datasets compared to competitive baselines.
Generative Adversarial Networks (GANs), though powerful, is hard to train. Several recent works (brock2016neural,miyato2018spectral) suggest that controlling the spectra of weight matrices in the discriminator can significantly improve the training of GANs. Motivated by their discovery, we propose a new framework for t…
In this work we introduce two novel deterministic annealing based clustering algorithms to address the problem of Edge Controller Placement (ECP) in wireless edge networks. These networks lie at the core of the fifth generation (5G) wireless systems and beyond. These algorithms, ECP-LL and ECP-LB, address the dominant …
Stochastic control-flow models (SCFMs) are a class of generative models that involve branching on choices from discrete random variables. Amortized gradient-based learning of SCFMs is challenging as most approaches targeting discrete variables rely on their continuous relaxations---which can be intractable in SCFMs, as…