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.
Proposes an alternative invariance penalty to address domain generalization issues.
PAIR optimizes machine learning models to generalize better to out-of-distribution data.
New algorithm uses conditionally invariant components to improve domain adaptation performance.
Proposes a new framework for invariant quadratic P&L predictions in option books.
Regularization methods are often employed in deep learning neural networks (DNNs) to prevent overfitting. For penalty based DNN regularization methods, convex penalties are typically considered because of their optimization guarantees. Recent theoretical work have shown that nonconvex penalties that satisfy certain reg…
One-bit measurements widely exist in the real world, and they can be used to recover sparse signals. This task is known as the problem of learning halfspaces in learning theory and one-bit compressive sensing (1bit-CS) in signal processing. In this paper, we propose novel algorithms based on both convex and nonconvex s…
The paper studies robust risk measures with linear penalties under uncertain distributions.
The use of machine-learning in neuroimaging offers new perspectives in early diagnosis and prognosis of brain diseases. Although such multivariate methods can capture complex relationships in the data, traditional approaches provide irregular (l2 penalty) or scattered (l1 penalty) predictive pattern with a very limited…
New sparse penalty improves biclustering for gene expression data.
New approach avoids excess empirical risk in domain generalization.
We study the problem of estimating high-dimensional regression models regularized by a structured sparsity-inducing penalty that encodes prior structural information on either the input or output variables. We consider two widely adopted types of penalties of this kind as motivating examples: (1) the general overlappin…
A popular heuristic for improved performance in Generative adversarial networks (GANs) is to use some form of gradient penalty on the discriminator. This gradient penalty was originally motivated by a Wasserstein distance formulation. However, the use of gradient penalty in other GAN formulations is not well motivated.…
Curvature penalties improve interpretability of KANs without sacrificing accuracy.
New method reduces bias in sparse Bayesian learning.
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the demand of the insider and the price functions are in general non-linear and remai…
New nonconvex penalty smooths at origin for deep learning.
We study the problem of learning high dimensional regression models regularized by a structured-sparsity-inducing penalty that encodes prior structural information on either input or output sides. We consider two widely adopted types of such penalties as our motivating examples: 1) overlapping group lasso penalty, base…
Wasserstein GAN(WGAN) is a model that minimizes the Wasserstein distance between a data distribution and sample distribution. Recent studies have proposed stabilizing the training process for the WGAN and implementing the Lipschitz constraint. In this study, we prove the local stability of optimizing the simple gradien…
Multi-group learners suffer a penalty in transductive learning.
Global minima found for multidimensional scaling with penalties.
Improved penalty-based methods for bilevel optimization with reduced complexity.
Paper proposes efficient algorithms for designing SLOPE penalty sequences.
Insider trading is reduced when penalized, affecting expected penalties in a non-monotone way.
A geometric theory explains loss functions for robust representation learning.
Sparse reconstruction approaches using the re-weighted l1-penalty have been shown, both empirically and theoretically, to provide a significant improvement in recovering sparse signals in comparison to the l1-relaxation. However, numerical optimization of such penalties involves solving problems with l1-norms in the ob…
In high-dimensional and/or non-parametric regression problems, regularization (or penalization) is used to control model complexity and induce desired structure. Each penalty has a weight parameter that indicates how strongly the structure corresponding to that penalty should be enforced. Typically the parameters are c…
Improved online penalty selection for time series models.
In the multiple changepoint setting, various search methods have been proposed which involve optimising either a constrained or penalised cost function over possible numbers and locations of changepoints using dynamic programming. Such methods are typically computationally intensive. Recent work in the penalised optimi…
Nonconvex penalty methods for sparse modeling in linear regression have been a topic of fervent interest in recent years. Herein, we study a family of nonconvex penalty functions that we call the trimmed Lasso and that offers exact control over the desired level of sparsity of estimators. We analyze its structural prop…
Bayesian priors and penalties are equivalent in variational inference.
Proposes using MLP for predicting optimal penalty in changepoint detection.
In this paper, we introduce a novel combined reward cum penalty loss function to handle the regression problem. The proposed combined reward cum penalty loss function penalizes the data points which lie outside the -tube of the regressor and also assigns reward for the data points which lie inside of the -tube of…
Recently, there has been focus on penalized log-likelihood covariance estimation for sparse inverse covariance (precision) matrices. The penalty is responsible for inducing sparsity, and a very common choice is the convex norm. However, the best estimator performance is not always achieved with this penalty. The …
A new penalty-free method optimizes portfolios without quantum annealing penalties.
Study ablated data augmentation techniques and their mathematical equivalence to penalties.
Faster, better sparse model estimation for large datasets.
Support vector machines (SVMs) with sparsity-inducing nonconvex penalties have received considerable attentions for the characteristics of automatic classification and variable selection. However, it is quite challenging to solve the nonconvex penalized SVMs due to their nondifferentiability, nonsmoothness and nonconve…
A fast method estimates group-adaptive elastic net penalties using co-data.
This work addresses the issue of large covariance matrix estimation in high-dimensional statistical analysis. Recently, improved iterative algorithms with positive-definite guarantee have been developed. However, these algorithms cannot be directly extended to use a nonconvex penalty for sparsity inducing. Generally, a…
Proximal policy optimization(PPO) has been proposed as a first-order optimization method for reinforcement learning. We should notice that an exterior penalty method is used in it. Often, the minimizers of the exterior penalty functions approach feasibility only in the limits as the penalty parameter grows increasingly…
Paper develops algorithms for sparse linear regression with generalized elastic net penalty.
We consider a class of constrained optimization problems with a possibly nonconvex non-Lipschitz objective and a convex feasible set being the intersection of a polyhedron and a possibly degenerate ellipsoid. Such problems have a wide range of applications in data science, where the objective is used for inducing spars…
Generative model for set-valued data using permutation invariant flows.
Efficient cross-validation for multi-penalty ridge regression.
Optimal subset selection for hypothesis testing with penalties.
Proposes a new SPVM model for RVM with more flexible priors.
Unified analysis of multi-attribute graph learning with non-convex penalties.
A conventional wisdom in statistical learning is that large models require strong regularization to prevent overfitting. Here we show that this rule can be violated by linear regression in the underdetermined situation under realistic conditions. Using simulations and real-life high-dimensional data sets, we d…