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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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3697391,1081,477 · Jun 202019922001200920172026
48 results for diffusion decision model

A new method for decision-focused learning using diffusion models.

problem Inability of deterministic point predictions to capture stochasticity in real-world environments.
method Proposes a diffusion-based DFL approach that trains a diffusion model to represent uncertain parameters and optimizes decisions through stochastic optimization.
result Empirically shows consistent outperformance over strong baselines in decision quality.

This work extends ME-RL using diffusion models to sample optimal policies.

problem Sampling from the optimal policy trajectory distribution in ME-RL.
method Introducing Diffusion-Augmented Markov Decision Processes (DA-MDPs) to minimize reverse KL divergence.
result DA-MDPs enable seamless integration into various ME-RL methods and outperform baselines.

MARCD uses generative scenarios to improve portfolio decisions during regime shifts.

problem Improving portfolio decisions under regime shifts and drawdowns.
method MARCD employs a Gaussian HMM for regime inference, a diffusion generator for scenario production, and a CVaR allocator with tail-weighted and crisis-aware components.
result MARCD reduces maximum drawdowns by 34% compared to baseline methods over 2020-2025.

A new model optimizes portfolios by learning stock return distributions conditioned on factors.

problem Optimizing portfolios with high-dimensional asset-specific factors.
method Conditional Diffusion Transformer architecture linking each asset's return to its factor vector.
result The model outperforms benchmarks in mean-variance and mean-CVaR optimization.

Diffusion approximations optimize sequential experimentation for uncertain parameters.

problem Maximizing reward from unknown parameter Θ with delayed action.
method Bayesian sequential experimentation framework, dynamic programming, diffusion asymptotics.
result Derives diffusion approximation for optimal experimentation strategy.

This paper uses a diffusion model to forecast electrical loads with uncertainty.

problem Uncertainties in electrical load forecasting due to renewable energy and external events.
method Diffusion-based Seq2Seq structure for epistemic uncertainty and robust additive Cauchy distribution for aleatoric uncertainty.
result Ability to separate and quantify both types of uncertainties in load forecasting.

The paper measures semantic information production in generative models using information theory.

problem Measuring when semantic decisions are made during generative model training.
method Using an online formula for the optimal Bayesian classifier, the paper estimates conditional entropy and determines time intervals for highest information transfer.
result Semantic information transfer is highest in intermediate stages of diffusion, with different classes making decisions at different times.

Enhances RL in partially observable, noisy environments by uncovering causal states.

problem Making decisions based on incomplete and noisy observations in partially observable Markov decision processes (P2^2OMDPs).
method Causal State Representation under Asynchronous Diffusion Model (CaDiff) framework, incorporating a novel asynchronous diffusion model (ADM) and a new bisimulation metric.
result Enhances returns by at least 14.18% compared to baselines on Roboschool tasks.

Improved image compression with diffusion models outperforming state-of-the-art methods.

problem Difficulties in replicating text-to-image success in image compression.
method Two-stage approach combining autoencoder targeting MSE followed by score-based decoder.
result Significantly improved perceptual quality at a given bit-rate, measured by FID score.

CDM models counterfactual outcomes in longitudinal data with improved accuracy.

problem Predicting counterfactual outcomes in longitudinal data with complex time-dependent confounding.
method Causal Diffusion Model (CDM) using denoising diffusion architecture with relational self-attention.
result CDM outperforms state-of-the-art methods in generating full probabilistic distributions of counterfactual outcomes.

Investment and insurance decisions are studied in a model with nonlinear portfolio frictions and background risk.

problem Investment and insurance decisions under a model with nonlinear portfolio frictions and background risk.
method Dynamic programming approach to find optimality conditions.
result Agent can choose to assume, partially assume, or purchase total insurance against adverse jumps in wealth.

DDCD uses diffusion models to learn causal structures from noisy data.

problem Scalability and stability issues in high-dimensional causal structure learning.
method Adaptive k-hop acyclicity constraint and denoising score matching objective of diffusion models.
result DDCD achieves competitive performance on synthetic and real-world data.

Generative diffusion models are analyzed for their information dynamics.

problem Lack of a unified theoretical understanding of generative diffusion models.
method Integrated perspective connecting information-theoretic, dynamical, and thermodynamic aspects.
result Generative bandwidth is directly governed by the divergence of the score function's vector field.

A new SNN model explains decision-making with learning and spiking neurons.

problem Lack of learning mechanism in existing models for decision-making.
method Proposes a Spiking Neural Network (SNN) model that incorporates a learning mechanism and uses multivariate Hawkes processes.
result Shows a coupling between DDM and Poisson counter models and derives a DDM from a Hawkes network of spiking neurons.

Extends neural diffusion processes for multi-task regression.

problem Limited to single-task inference, existing formulations cannot capture dependencies across related tasks.
method Introduces a task encoder to condition diffusion model on low-dimensional representations of context observations.
result Improves predictive performance and uncertainty calibration across related functions.

The paper analyzes optimal retirement strategies in a market with habit persistence and jump diffusion, finding discontinuous investment strategies.

problem Optimal retirement decision in a market with habit persistence and jump diffusion.
method Habit reduction method and duality approach to solve the dual problem using a C1C^1 version of Itô's formula.
result Discontinuous investment strategies are possible when the so-called ``de facto wealth'' exceeds a critical proportion of wage.

EmDT generates synthetic fraud data to improve detection accuracy.

problem Imbalanced datasets in fraud detection lead to poor performance on rare fraudulent transactions.
method EmDT uses UMAP clustering to identify fraudulent patterns and a Transformer denoising network to generate synthetic data.
result EmDT significantly improves classification performance compared to existing methods.

Develops a framework for multi-objective learning in diffusion models with limited labeled data.

problem Achieving good trade-offs in multi-objective learning with diffusion models requires a generalist model class with larger capacity than individual tasks.
method Proposes a two-stage training procedure: first fitting specialist models from limited paired data, then distilling them into a generalist model.
result Establishes generalization bounds showing the number of paired samples depends only on specialist model complexity.

Study a continuous-time PA problem with private effort and consumption decisions.

problem Continuous-time Principal-Agent problem with private information.
method Proposes a new sufficient condition for solving the agent's problem directly.
result Directly yields a solution to the agent's problem without verification.

In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift ambiguity for one-dimensional diffusion processes. Analogously to the case of ordinary o…

2011-10-18abs ↗pdf ↗

Study decision boundaries using heat diffusion and probabilistic techniques.

problem Understanding the geometry of decision boundaries in machine learning.
method Using Brownian motion and probabilistic techniques to analyze decision boundaries.
result Decision boundaries exhibit persistent 'wiggly and fuzzy' regions, even under adversarial attacks.

A statistical test controls false positives in anomaly localization using diffusion models.

problem Uncertainty and bias in generative models for anomaly localization.
method Selective inference to quantify significance and control false positives.
result The method effectively controls false positive detection rates.

Enhances OOD detection using latent diffusion for more robust and efficient training.

problem Improving reliability of machine learning models in real-world scenarios.
method Proposes Outlier-Aware Learning (OAL) framework that generates synthetic OOD data in latent space and uses MICL and KD modules.
result Demonstrates superior performance on benchmark datasets.

A new criterion for deep active learning selects minimal labeled data points.

problem Efficiently select minimal labeled data points for deep neural networks.
method Diffuses label information over a graph of data representations to switch between exploration and refinement.
result The diffusion-based criterion outperforms existing methods in deep active learning.

Optimizes control of hybrid systems with multiple switching processes.

problem Optimal control of hybrid systems with multiple Markov switching processes.
method Combines two separate Markov chains into one synthetic chain, derives HJB equations, and solves the portfolio choice problem.
result Derives explicit solutions and value functions for the optimal control problem.

We propose a neural superstatistics method to estimate dynamic cognitive models from time series data.

problem Memoryless cognitive models ignore parameter fluctuations, leading to inaccurate predictions.
method Developed a simulation-based deep learning method for Bayesian inference of superstatistical models.
result Deep learning method efficiently recovers time-varying and time-invariant parameters.

Study uses neural networks to value Bitcoin options considering price jumps and sentiment.

problem Valuing Bitcoin options under price jumps and market sentiment.
method Bivariate jump-diffusion model, incorporating Google search sentiment, and artificial neural networks.
result Derives a closed formula for Bitcoin option pricing and validates using high-volatile stocks.