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.
Paper shows how meta-learning can reduce prior learning cost.
Efficiently handles contextual bandits with diffusion models.
A concise review of recent few-shot meta-learning methods.
Meta-learning bounds derived using PAC-Bayes theory for improved generalization.
Develops a fast variational approximation for high-dimensional empirical Bayes posteriors.
Fast Bayesian inference with adaptable priors for real-time applications.
Bayesian hierarchical models are increasing popular in economics. When using hierarchical models, it is useful not only to calculate posterior expectations, but also to measure the robustness of these expectations to reasonable alternative prior choices. We use variational Bayes and linear response methods to provide f…
Unified derivation of PAC-Bayes and MI bounds for general VC classes with fast rates.
New method finds all thin film structures from reflectometry data.
FEM improves attention mechanisms by applying value-driven log-linear tilts.
Fast algorithm solves BVPs in linear time with probabilistic uncertainty.
We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can front-run the slower investor, we show that this allows the fast trader to obtain risk free profits, but that these profits cannot be scaled. We derive the fast trader's…
La-MAML improves fast online continual learning with a look-ahead approach.
New learning dynamics achieve fast convergence in games without needing to know utility scales.
Compressive sensing is an impressive approach for fast MRI. It aims at reconstructing MR image using only a few under-sampled data in k-space, enhancing the efficiency of the data acquisition. In this study, we propose to learn priors based on undecimated wavelet transform and an iterative image reconstruction algorith…
Flexible empirical Bayes for large-scale multiple linear regression.
Novel approach for estimating conditional expectations using Bayesian quadrature.
This work explores non-negative low-rank matrix factorization based on regularized Poisson models (PF or "Poisson factorization" for short) for recommender systems with implicit-feedback data. The properties of Poisson likelihood allow a shortcut for very fast computations over zero-valued inputs, and oftentimes result…
We study probability measures induced by set functions with constraints. Such measures arise in a variety of real-world settings, where prior knowledge, resource limitations, or other pragmatic considerations impose constraints. We consider the task of rapidly sampling from such constrained measures, and develop fast M…
Recent research has demonstrated that feature attribution methods for deep networks can themselves be incorporated into training; these attribution priors optimize for a model whose attributions have certain desirable properties -- most frequently, that particular features are important or unimportant. These attributio…
The problem of low rank matrix completion is considered in this paper. To exploit the underlying low-rank structure of the data matrix, we propose a hierarchical Gaussian prior model, where columns of the low-rank matrix are assumed to follow a Gaussian distribution with zero mean and a common precision matrix, and a W…
In this paper, we present a Bayesian channel estimation algorithm for multicarrier receivers based on pilot symbol observations. The inherent sparse nature of wireless multipath channels is exploited by modeling the prior distribution of multipath components' gains with a hierarchical representation of the Bessel K pro…
Framework incorporates prior knowledge into Bayesian models for data streams.
We compute the expected value of the Kullback-Leibler divergence to various fundamental statistical models with respect to canonical priors on the probability simplex. We obtain closed formulas for the expected model approximation errors, depending on the dimension of the models and the cardinalities of their sample sp…
Bayesian graphical models are a useful tool for understanding dependence relationships among many variables, particularly in situations with external prior information. In high-dimensional settings, the space of possible graphs becomes enormous, rendering even state-of-the-art Bayesian stochastic search computationally…
Patch priors have become an important component of image restoration. A powerful approach in this category of restoration algorithms is the popular Expected Patch Log-Likelihood (EPLL) algorithm. EPLL uses a Gaussian mixture model (GMM) prior learned on clean image patches as a way to regularize degraded patches. In th…
This work presents a novel objective function for the unsupervised training of neural network sentence encoders. It exploits signals from paragraph-level discourse coherence to train these models to understand text. Our objective is purely discriminative, allowing us to train models many times faster than was possible …
Parallel sampling for smooth distributions with fast convergence.
This paper introduces a novel theoretically sound approach for the celebrated CMA-ES algorithm. Assuming the parameters of the multi variate normal distribution for the minimum follow a conjugate prior distribution, we derive their optimal update at each iteration step. Not only provides this Bayesian framework a justi…
We consider the problem of learning the inhomogeneous intensity of a counting process, under a sparse segmentation assumption. We introduce a weighted total-variation penalization, using data-driven weights that correctly scale the penalization along the observation interval. We prove that this leads to a sharp tuning …
GS-BSE improves label shift estimation by smoothing priors on a graph.
FLOP algorithm speeds up causal structure learning for linear models.
In this paper, the use of the Generalized Beta Mixture (GBM) and Horseshoe distributions as priors in the Bayesian Compressive Sensing framework is proposed. The distributions are considered in a two-layer hierarchical model, making the corresponding inference problem amenable to Expectation Maximization (EM). We prese…
We consider the problem of fast time-series data clustering. Building on previous work modeling the correlation-based Hamiltonian of spin variables we present an updated fast non-expensive Agglomerative Likelihood Clustering algorithm (ALC). The method replaces the optimized genetic algorithm based approach (f-SPC) wit…
Recently, Mahoney and Orecchia demonstrated that popular diffusion-based procedures to compute a quick \emph{approximation} to the first nontrivial eigenvector of a data graph Laplacian \emph{exactly} solve certain regularized Semi-Definite Programs (SDPs). In this paper, we extend that result by providing a statistica…
Bayesian -regularized least squares is a variable selection technique for high dimensional predictors. The challenge is optimizing a non-convex objective function via search over model space consisting of all possible predictor combinations. Spike-and-slab (a.k.a. Bernoulli-Gaussian) priors are the gold standard f…
VolNP learns IVS from sparse quotes via meta-learning and SABR priors.
WSD uses a deterministic model to accelerate diffusion-based sampling.
Improved RL algorithm stabilizes unknown linear systems with polynomial regret.
A fast method estimates Gaussian mixture components without iterative fitting.
In this publication, we combine two Bayesian non-parametric models: the Gaussian Process (GP) and the Dirichlet Process (DP). Our innovation in the GP model is to introduce a variation on the GP prior which enables us to model structured time-series data, i.e. data containing groups where we wish to model inter- and in…
We give a fast oblivious L2-embedding of to satisfying Our embedding dimension equals , a constant independent of the distortion . We use as a black-box any L2-embedding $Π…
Fast linear transforms are ubiquitous in machine learning, including the discrete Fourier transform, discrete cosine transform, and other structured transformations such as convolutions. All of these transforms can be represented by dense matrix-vector multiplication, yet each has a specialized and highly efficient (su…
New method for fast inference in diffusion models.
Scalable PnP-ADMM for large-scale imaging problems.
New algorithm reduces regret in multi-armed bandit problems with Gaussian rewards.
GP model for time series forecasting with priors.
HS-BQR extends horseshoe prior for Bayesian quantile regression.