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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.

169,341 papers · 148 categories

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0.9%1.9%2.8%3.8% · Nov 201919922001200920182026
48 results for grid-based filtering

Novel grid-based filters converge to optimal state estimation.

problem Recursive estimation of Markov processes in noisy conditions.
method Developed novel grid-based filters with relaxed conditions for convergence.
result Grid-based filters converge to the MMSE estimator under relaxed conditions.

We survey agglomerative hierarchical clustering algorithms and discuss efficient implementations that are available in R and other software environments. We look at hierarchical self-organizing maps, and mixture models. We review grid-based clustering, focusing on hierarchical density-based approaches. Finally we descr…

2011-04-30abs ↗pdf ↗

Lin-DBSCAN is a fast density-based clustering algorithm for spatial data.

problem Efficient clustering of large datasets without prior knowledge of cluster number and shape.
method Grid-based scan and merge approach to a discrete density model of DBSCAN.
result Lin-DBSCAN outperforms DBSCAN in efficiency and validity for spatial data clustering.

Optimized coordinate system improves sparse grid regression performance.

problem Sparse grid methods struggle with skewed and rotated coordinates.
method Proposes an optimized coordinate system to reduce effective dimensionality.
result Adaptive sparse grid least squares algorithm benefits from preprocessing.

A novel method visualizes higher-dimensional spaces using hyperbolic geometry.

problem Challenges in visualizing higher-dimensional spaces.
method Interactive visualization of higher-dimensional grids based on hyperbolic geometry.
result Our method shows the whole higher-dimensional space at once and avoids disadvantages of previous methods.

Efficiently accelerates Feldman-Cousins method using Gaussian processes.

problem Slow computation of confidence intervals in high-energy physics.
method Gaussian process acceleration of Feldman-Cousins method.
result Confidence intervals can be computed 5-10 times faster with similar accuracy.

Paper solves trade-off between internalisation and externalisation in stochastic trade flows.

problem Managing risk in stochastic trade flows between internalisation and externalisation.
method Derives almost-closed-form solutions using Almgren-Chriss framework for quadratic execution costs. Uses numerical methods for more general cases. Proposes reinforcement learning as an alternative.
result Almost-closed-form solutions and numerical methods for optimal strategies.

Optimal online method selects source policies for reinforcement learning.

problem Optimal selection of source policies in reinforcement learning.
method Formulates as a multi-armed bandit problem and augments Q-learning with policy reuse.
result The method converges to the optimal policy with theoretical guarantees.

Study compares tessellation strategies for taxi demand-supply forecasting models.

problem Improving taxi demand-supply forecasting using neural networks.
method Compared Voronoi tessellation and Geohash tessellation for LSTM models.
result Variable-sized polygon tessellation yields superior performance in LSTM models.

Tensor trains simplify solving complex PDEs efficiently.

problem Solving high-dimensional parabolic PDEs using traditional methods is computationally infeasible.
method Reformulate PDEs as backward stochastic differential equations and use tensor train format for compression and efficient computation.
result Tensor train methods achieve a good balance between accuracy and computational efficiency.

Adaptive neural network approximates stochastic system densities.

problem Approximating high-dimensional stochastic dynamical systems.
method Temporal KRnet (tKRnet) trained with adaptive collocation points and temporal decomposition.
result Improves density approximation for stochastic systems without curse of dimensionality.

A new SOHP filter improves trend estimation in economic time series.

problem Improving trend estimation in nonlinear economic time series.
method Recursive application of one-sided HP filter on updated cyclical components, combined with an incremental HP filtering algorithm.
result Better performance of SOHP filter compared to other HP-type filters on real economic data.

Deep density methods improve filtering in high-dimensional systems.

problem Nonlinear filtering in high-dimensional systems.
method Two deep density methods based on Feynman-Kac formulas and neural networks.
result Logarithmic deep backward stochastic differential equation filter outperforms classical methods in high dimensions.

The paper explores modifications to filter banks for speech recognition.

problem Improving speech recognition accuracy using modified filter banks.
method The authors investigate replacing triangular filters with Gabor or Gammatone filters, and rearranging filter bank computations to integrate features over smaller time scales.
result No significant improvements in phone error rate were observed with the modifications.

Pruning filters in CNNs improves interpretability, showing shape-selective filters are crucial for object recognition.

problem Interpreting the complex decision-making process of CNNs is challenging due to their large number of parameters.
method We developed a greedy structural compression scheme that prunes filters based on the classification accuracy reduction (CAR) index.
result Pruned filters in CNNs, especially those in the first and second layers, are more likely to be shape-selective, indicating their importance in object recognition.

Gradient filters track moving parameters under noisy data and misspecification.

problem Tracking multidimensional time-varying parameters under noisy observations and model misspecification.
method Gradient-based filters update parameters using the gradient of a postulated objective function, evaluated at either the predicted or updated parameters.
result Novel sufficient conditions for exponential stability of the filtered parameter path, and finite-sample and asymptotic mean squared error bounds.

We simplify Bayesian filtering by framing it as optimization, making it practical for high-dimensional systems.

problem Bayesian filtering struggles in high-dimensional state spaces like neural networks.
method We frame Bayesian filtering as optimization, using gradient descent for nonlinear cases.
result Our method results in effective, robust, and scalable filters for high-dimensional systems.

A novel method reduces dimensionality for filtering SRNs with observed variables.

problem Challenges in estimating hidden state variables in SRNs with limited observations.
method Filtered Markovian Projection (Filtered MP) for dimensionality reduction in filtering.
result Filtered MP guarantees consistency and superior computational efficiency in high dimensions.

Paper develops a particle filter for rapid model parameter adaptation and change detection.

problem Rapidly adapting to changes in model parameters and distinguishing between regime shifts and stochastic volatility.
method Incorporates genetic algorithm elements into a particle filter for accelerated adaptation and change detection.
result The filter adapts to regime shifts extremely rapidly and provides a clear heuristic for distinguishing between regime shifts and stochastic volatility.

New method filters large networks from financial data to reveal key subnetworks.

problem Filtering large dimensional networks to isolate key constituents.
method Exploits spectral properties of high-dimensional data networks, tuning for sparsity and consistency.
result Shows method can interpolate between zero and maximal filtering, preserving spectral properties.

Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in many cases. However, this filters only estimate states that are correlated with the observation. Therefore, sequential esti…

2012-07-18abs ↗pdf ↗

Paper proves convergence of Kalman filter on Stiefel manifolds with measurement errors.

problem Filtering constant particle with measurement errors on Stiefel manifolds.
method Extended Kalman filter applied to Stiefel manifold-valued observations.
result Convergence of the extended Kalman filter proved for constant system process.

Net2Vec maps filters to vectors to reveal complex concept encoding.

problem Understanding how deep neural networks encode semantic concepts.
method Net2Vec framework that maps semantic concepts to vectorial embeddings based on filter responses.
result Multiple filters are often required to code for a concept, and filters help encode multiple concepts.

This work preserves linear invariants in ensemble filters for non-Gaussian data assimilation.

problem Maintaining critical invariants like mass, stoichiometric balance, and charge in non-Gaussian data assimilation.
method Introducing a novel class of nonlinear ensemble filters using measure transport theory.
result Recovery of a constrained Kalman filter for Gaussian settings and combination with regularization techniques.

Convolutional Bayesian filtering generalizes state estimation by incorporating inequality conditions.

problem Standard Bayesian filtering assumes exact conditional probabilities, limiting its applicability.
method Introducing inequality conditions transforms conditional probabilities into convolutional forms, expanding the filtering framework.
result Convolutional Bayesian filtering encompasses standard Bayesian filtering and allows for more nuanced model consideration.

EnSF improves accuracy in tracking high-dimensional nonlinear systems.

problem Low accuracy in high-dimensional, nonlinear filtering problems.
method Score-based diffusion model, mini-batch Monte Carlo estimator.
result EnSF outperforms state-of-the-art methods in tracking high-dimensional systems.

Latent FxLMS accelerates ANC by adapting along low-dimensional filter weights.

problem Improving active noise control with neural adaptive filters.
method Training an auto-encoder on filter coefficients, constraining weights to latent variables, and updating in latent space.
result Latent FxLMS converges in fewer steps with comparable error to standard FxLMS.