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.
Space exploration technology advances exponentially, consistent with Moore's and Wright's laws.
We study online learning under logarithmic loss with regular parametric models. Hedayati and Bartlett (2012b) showed that a Bayesian prediction strategy with Jeffreys prior and sequential normalized maximum likelihood (SNML) coincide and are optimal if and only if the latter is exchangeable, and if and only if the opti…
Enhanced kernel framework for advanced data forecasting.
Paper introduces DP methods for high-dimensional variable selection.
A deep learning framework for survival analysis combining piecewise exponential models.
Recent advances in deep learning have brought to the fore models that can make multiple computational steps in the service of completing a task; these are capable of describ- ing long-term dependencies in sequential data. Novel recurrent attention models over possibly large external memory modules constitute the core m…
New clustering method for exponential family data.
We have created a framework for analyzing subscription based businesses in terms of a unified metric which we call SCV (single customer value). The major advance in this paper is to model customer churn as an exponential decay variable, which directly follows from experimental data relating to subscription based busine…
Study the symmetry and winding numbers of curves defined by sums of exponentials.
Learning from graph-structured data is an important task in machine learning and artificial intelligence, for which Graph Neural Networks (GNNs) have shown great promise. Motivated by recent advances in geometric representation learning, we propose a novel GNN architecture for learning representations on Riemannian man…
BayesPy is an open-source Python software package for performing variational Bayesian inference. It is based on the variational message passing framework and supports conjugate exponential family models. By removing the tedious task of implementing the variational Bayesian update equations, the user can construct model…
Bayesian learning has been recently considered as an effective means of accounting for uncertainty in trained deep network parameters. This is of crucial importance when dealing with small or sparse training datasets. On the other hand, shallow models that compute weighted sums of their inputs, after passing them throu…
Novel Bayesian method for high-dimensional count data prediction.
New research shows fixed-budget best-arm identification cannot match static oracle performance.
Hybrid model combines LSTM and ETS for mid-term electric load forecasting.
Many interesting real world domains involve reinforcement learning (RL) in partially observable environments. Efficient learning in such domains is important, but existing sample complexity bounds for partially observable RL are at least exponential in the episode length. We give, to our knowledge, the first partially …
Paper improves generalization bounds for noisy stochastic algorithms.
Paper improves deep learning convergence rates for low-dimensional data.
There is accumulating evidence in the literature that stability of learning algorithms is a key characteristic that permits a learning algorithm to generalize. Despite various insightful results in this direction, there seems to be an overlooked dichotomy in the type of stability-based generalization bounds we have in …
Parallel algorithm speeds up Jones polynomial computation.
Quantum GAN improves volatility modeling in finance.
While deep learning is successful in a number of applications, it is not yet well understood theoretically. A satisfactory theoretical characterization of deep learning however, is beginning to emerge. It covers the following questions: 1) representation power of deep networks 2) optimization of the empirical risk 3) g…
An online reinforcement learning algorithm is anytime if it does not need to know in advance the horizon T of the experiment. A well-known technique to obtain an anytime algorithm from any non-anytime algorithm is the "Doubling Trick". In the context of adversarial or stochastic multi-armed bandits, the performance of …
New framework compresses and recovers scientific data efficiently.
We extend the Frank-Wolfe (FW) optimization algorithm to solve constrained smooth convex-concave saddle point (SP) problems. Remarkably, the method only requires access to linear minimization oracles. Leveraging recent advances in FW optimization, we provide the first proof of convergence of a FW-type saddle point solv…
Advanced forecasting models outperform Holt-Winters and ARIMA for stock market data.
GES algorithm improves consistency for nonparametric DAG models.
A new method selects features for ERGMs to improve network modeling.
Study uses ML and statistical models to analyze climate impacts of industrial growth.
Improved private learning for Littlestone classes with a doubly-exponential mistake bound.
PRIME algorithm estimates mean while ensuring privacy and robustness.
Langevin Dynamics speeds up mixing time with manifold hypothesis and multi-scale approach.
New framework improves EM algorithm convergence under log-Sobolev inequality.
Quantum computing speeds up pricing multi-asset derivatives.
Gradient flow method solves for optimal transport starting distributions.
We present an advance bubble detection methodology based on the Log Periodic Power Law Singularity (LPPLS) confidence indicator for the early causal identification of positive and negative bubbles in the Chinese stock market using the daily data on the Shanghai Shenzhen CSI 300 stock market index from January 2002 thro…
NPE improves scalability and efficiency for ERGMs.
New analysis explains pathology of deep Gaussian processes.
Bayesian inference plays an important role in advancing machine learning, but faces computational challenges when applied to complex models such as deep neural networks. Variational inference circumvents these challenges by formulating Bayesian inference as an optimization problem and solving it using gradient-based op…
Improved neural network approximates analytic and L^p functions efficiently.
We construct a large class of dynamical vacuum black hole spacetimes whose exterior geometry asymptotically settles down to a fixed Schwarzschild or Kerr metric. The construction proceeds by solving a backwards scattering problem for the Einstein vacuum equations with characteristic data prescribed on the event horizon…
Previous work has questioned the conditions under which the decision regions of a neural network are connected and further showed the implications of the corresponding theory to the problem of adversarial manipulation of classifiers. It has been proven that for a class of activation functions including leaky ReLU, neur…
MELO predicts electricity loads by adapting to shifts without external indicators.
Forecasting time series data is an important subject in economics, business, and finance. Traditionally, there are several techniques to effectively forecast the next lag of time series data such as univariate Autoregressive (AR), univariate Moving Average (MA), Simple Exponential Smoothing (SES), and more notably Auto…
We study the classical problem of maximizing a monotone submodular function subject to a cardinality constraint k, with two additional twists: (i) elements arrive in a streaming fashion, and (ii) m items from the algorithm's memory are removed after the stream is finished. We develop a robust submodular algorithm STAR-…
While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating structured VAR (vector auto-regressive models), where the structure can be capture…
New insights into simple kernel smoothing reveal surprising asymptotics.
The paper analyzes the statistical cost of tuning kernel hyperparameters in robust regression.