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.
Sampling one or more effective solutions from large search spaces is a recurring idea in machine learning, and sequential optimization has become a popular solution. Typical examples include data summarization, sample mining for predictive modeling and hyper-parameter optimization. Existing solutions attempt to adaptiv…
In our previous study, we introduced stable specification search for cross-sectional data (S3C). It is an exploratory causal method that combines stability selection concept and multi-objective optimization to search for stable and parsimonious causal structures across the entire range of model complexities. In this st…
A typical problem in causal modeling is the instability of model structure learning, i.e., small changes in finite data can result in completely different optimal models. The present work introduces a novel causal modeling algorithm for longitudinal data, that is robust for finite samples based on recent advances in st…
Efficiently decomposes tensors with Boolean factors using BMP.
problem Tensor decomposition with Boolean factors is challenging due to non-convexity and combinatorial constraints.
method Binary Matching Pursuit (BMP) iteratively searches for atoms in a greedy fashion, solving the greedy atom search step via MAXCUT-like boolean quadratic program.
result BMP converges sublinearly to the optimal solution and recovers factors under mild conditions.
Study speculative trading using RL with exploratory framework.
problem Sequential optimal stopping problem over entry and exit times with general utility function and price process.
method Formulated as a sequential optimal stopping problem, solved using Cox processes driven by bounded, non-randomized intensity controls. Characterized randomized control via probability measure over jump intensities and regularized objective function by Shannon's entropy. Established error estimates and convergence of RL objective to value function.
result Closed-form solutions for optimal policy and value function are derived.
Causal modeling has long been an attractive topic for many researchers and in recent decades there has seen a surge in theoretical development and discovery algorithms. Generally discovery algorithms can be divided into two approaches: constraint-based and score-based. The constraint-based approach is able to detect co…
In this paper, we propose a new algorithm for exploratory projection pursuit. The basis of the algorithm is the insight that previous approaches used fairly narrow definitions of interestingness / non interestingness. We argue that allowing these definitions to depend on the problem / data at hand is a more natural app…
Paper defines a new pseudometric for measuring consensus among subsets of relations.
problem Measuring consensus among subsets of relations.
method Introduces a new pseudometric and provides a concise restatement with a functor interpretation. Also, describes an algorithm to calculate the pseudometric bound efficiently.
result The pseudometric can be bounded without an expensive search of possible mappings, based solely on the dimensions of the relations.
We propose in this paper an exploratory analysis algorithm for functional data. The method partitions a set of functions into K clusters and represents each cluster by a simple prototype (e.g., piecewise constant). The total number of segments in the prototypes, P, is chosen by the user and optimally distributed am…
Modern data is messy and high-dimensional, and it is often not clear a priori what are the right questions to ask. Instead, the analyst typically needs to use the data to search for interesting analyses to perform and hypotheses to test. This is an adaptive process, where the choice of analysis to be performed next dep…
New method explains high-dimensional sphere data with latent factors.
problem Understanding intricate dependence structure in high-dimensional sphere data.
method Exploratory factor analysis of the projected normal distribution with a fast alternating expectation profile conditional maximization algorithm.
result Uniformly excellent results on various data types, including tweets, brain imaging, and cancer gene expression.
Making sense of a dataset in an automatic and unsupervised fashion is a challenging problem in statistics and AI. Classical approaches for {exploratory data analysis} are usually not flexible enough to deal with the uncertainty inherent to real-world data: they are often restricted to fixed latent interaction models an…
Topic models such as Latent Dirichlet Allocation (LDA) have been widely used in information retrieval for tasks ranging from smoothing and feedback methods to tools for exploratory search and discovery. However, classical methods for inferring topic models do not scale up to the massive size of today's publicly availab…
This work improves adaptive sampling for multi-fidelity Gaussian processes by considering cost and uncertainty.
problem Adaptive sampling for multi-fidelity Gaussian processes is computationally demanding and complex.
method The authors extend the design of experiment framework by partitioning prediction uncertainty based on fidelity level and cost, and utilize the Believer concept.
result The proposed framework effectively reduces predictive uncertainty in multi-fidelity Gaussian processes.