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.
Support selection and eventwise decoupling for simultaneous bets proven.
problem Optimizing expected utility for simultaneous independent events with multiple outcomes.
method Proved a support theorem for a broad class of strictly increasing strictly concave utilities, identifying the exact active support and proving independence from utility function.
result The exact active support is the eventwise union of single-event supports, independent of the utility function.
Inner product-based convolution has been a central component of convolutional neural networks (CNNs) and the key to learning visual representations. Inspired by the observation that CNN-learned features are naturally decoupled with the norm of features corresponding to the intra-class variation and the angle correspond…
We investigate probabilistic decoupling of labels supplied for training, from the underlying classes for prediction. Decoupling enables an inference scheme general enough to implement many classification problems, including supervised, semi-supervised, positive-unlabelled, noisy-label and suggests a general solution to…
Current reinforcement learning (RL) methods can successfully learn single tasks but often generalize poorly to modest perturbations in task domain or training procedure. In this work, we present a decoupled learning strategy for RL that creates a shared representation space where knowledge can be robustly transferred. …
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market prices is modeled on a macro-level as the result of the dynamic coupling of two dyn…
Backpropagation algorithm is indispensable for the training of feedforward neural networks. It requires propagating error gradients sequentially from the output layer all the way back to the input layer. The backward locking in backpropagation algorithm constrains us from updating network layers in parallel and fully l…
Decoupled PFNs improve sequential decision-making by separating epistemic and aleatoric uncertainties.
problem Sequential decision-making requires distinguishing between epistemic uncertainty about latent signals and irreducible aleatoric observation noise.
method Developed a decoupled PFN architecture that uses query-level labels to train separate heads for latent signal and aleatoric noise.
result Empirically, decoupled PFNs mitigate the failure mode of total-variance exploration in noisy and heteroscedastic settings.
We investigate the convergence and stability properties of the decoupled extended Kalman filter learning algorithm (DEKF) within the long-short term memory network (LSTM) based online learning framework. For this purpose, we model DEKF as a perturbed extended Kalman filter and derive sufficient conditions for its stabi…
Unsupervised representation learning via generative modeling is a staple to many computer vision applications in the absence of labeled data. Variational Autoencoders (VAEs) are powerful generative models that learn representations useful for data generation. However, due to inherent challenges in the training objectiv…
Unified q-learning for mean-field jump-diffusion models with unobservable population distribution.
problem Continuous-time q-learning in mean-field jump-diffusion models with unobservable population distribution.
method Proposed decoupled Iq-function for unified policy evaluation in MFG and MFC problems; unified q-learning algorithm based on test policies and averaged martingale orthogonality condition.
result Unified policy evaluation rule for MFG and MFC problems based on decoupled Iq-function.
Gaussian processes (GPs) provide a powerful non-parametric framework for reasoning over functions. Despite appealing theory, its superlinear computational and memory complexities have presented a long-standing challenge. State-of-the-art sparse variational inference methods trade modeling accuracy against complexity. H…
Capacity analysis has been recently introduced as a way to analyze how linear models distribute their modelling capacity across the input space. In this paper, we extend the notion of capacity allocation to the case of neural networks with non-linear layers. We show that under some hypotheses the problem is equivalent …
This paper introduces the factorial marked temporal point process model and presents efficient learning methods. In conventional (multi-dimensional) marked temporal point process models, event is often encoded by a single discrete variable i.e. a marker. In this paper, we describe the factorial marked point processes w…
We present PESMO, a Bayesian method for identifying the Pareto set of multi-objective optimization problems, when the functions are expensive to evaluate. The central idea of PESMO is to choose evaluation points so as to maximally reduce the entropy of the posterior distribution over the Pareto set. Critically, the PES…
Deep learning has gained great popularity due to its widespread success on many inference problems. We consider the application of deep learning to the sparse linear inverse problem encountered in compressive sensing, where one seeks to recover a sparse signal from a small number of noisy linear measurements. In this p…
We study a Compressed Sensing (CS) problem known as Multiple Measurement Vectors (MMV) problem, which arises in joint estimation of multiple signal realizations when the signal samples have a common (joint) sparse support over a fixed known dictionary. Although there is a vast literature on the analysis of MMV, it is n…
A commonly cited inefficiency of neural network training by back-propagation is the update locking problem: each layer must wait for the signal to propagate through the full network before updating. Several alternatives that can alleviate this issue have been proposed. In this context, we consider a simpler, but more e…