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.
EarlyStopping package helps prevent overfitting in iterative learning procedures.
Iterative procedures for parameter estimation based on stochastic gradient descent allow the estimation to scale to massive data sets. However, in both theory and practice, they suffer from numerical instability. Moreover, they are statistically inefficient as estimators of the true parameter value. To address these tw…
IDBM solves Schrödinger bridge problems with iterative sampling.
Improved matching for multiple objects using a novel reweighting method.
Stability result for a popular algorithm in optimal transport.
In this paper we consider the dynamical system involved by the Ricci operator on the space of Kähler metrics. A. Nadel has defined an iteration scheme given by the Ricci operator for Fano manifold and asked whether it has some nontrivial periodic points. First, we prove that no such periodic points can exist. We define…
We model the quantities appearing in Internal Revenue Service (IRS) tax guidance for calculating the health insurance premium tax credit created by the Patient Protection and Affordable Care Act, also called Obamacare. We ask the question of whether there is a procedure, computable by hand, which can calculate the appr…
We propose a novel method for maximum likelihood-based parameter inference in nonlinear and/or non-Gaussian state space models. The method is an iterative procedure with three steps. At each iteration a particle filter is used to estimate the value of the log-likelihood function at the current parameter iterate. Using …
Optimal ridge regularization computed iteratively from generative parameters.
This paper presents a general iterative bias correction procedure for regression smoothers. This bias reduction schema is shown to correspond operationally to the Boosting algorithm and provides a new statistical interpretation for Boosting. We analyze the behavior of the Boosting algorithm applied to commo…
Proposes a fix for IRS calculation of Obamacare tax credits.
Predictive models are increasingly deployed for the purpose of determining access to services such as credit, insurance, and employment. Despite potential gains in productivity and efficiency, several potential problems have yet to be addressed, particularly the potential for unintentional discrimination. We present an…
Formal normal form created for real-smooth hypersurfaces.
Proposes a new method for GNNs that avoids iterative node state convergence.
Paper constructs hyperbolic Coxeter groups that virtually fiber over Z.
New method solves tree-structured Schrödinger Bridge problems.
Paper proposes a new method to solve Schrödinger Bridge Problem using kernel regression.
In this paper, we consider the challenge of maximizing an unknown function f for which evaluations are noisy and are acquired with high cost. An iterative procedure uses the previous measures to actively select the next estimation of f which is predicted to be the most useful. We focus on the case where the function ca…
We consider an on-line system identification setting, in which new data become available at given time steps. In order to meet real-time estimation requirements, we propose a tailored Bayesian system identification procedure, in which the hyper-parameters are still updated through Marginal Likelihood maximization, but …
We consider the problem of performing matrix completion with side information on row-by-row and column-by-column similarities. We build upon recent proposals for matrix estimation with smoothness constraints with respect to row and column graphs. We present a novel iterative procedure for directly minimizing an informa…
Exchangeable graphs arise via a sampling procedure from measurable functions known as graphons. A natural estimation problem is how well we can recover a graphon given a single graph sampled from it. One general framework for estimating a graphon uses step-functions obtained by partitioning the nodes of the graph accor…
Two novel procedures track quantiles efficiently using an oracle.
A fast Modal EM algorithm for Gaussian mixtures.
Minimizing the empirical risk is a popular training strategy, but for learning tasks where the data may be noisy or heavy-tailed, one may require many observations in order to generalize well. To achieve better performance under less stringent requirements, we introduce a procedure which constructs a robust approximati…
We study the link between a compact hypersurface in and the set of all its tangent planes. In this context, we identify to the set of linear subspaces of codimension one by orthogonal complementarity. This gives rise to a kind of duality which has already been studied Bruce and Romerro-Fuster, and r…
CP-factorization for high-dimensional tensor time series and double projection iterations
This paper investigates asymptotic behaviors of gradient descent algorithms (particularly accelerated gradient descent and stochastic gradient descent) in the context of stochastic optimization arising in statistics and machine learning where objective functions are estimated from available data. We show that these alg…
Value iteration is a fixed point iteration technique utilized to obtain the optimal value function and policy in a discounted reward Markov Decision Process (MDP). Here, a contraction operator is constructed and applied repeatedly to arrive at the optimal solution. Value iteration is a first order method and therefore …
This paper refines the Gaussian Sinkhorn algorithm for general multivariate models.
Minimax optimal convergence rates for classes of stochastic convex optimization problems are well characterized, where the majority of results utilize iterate averaged stochastic gradient descent (SGD) with polynomially decaying step sizes. In contrast, SGD's final iterate behavior has received much less attention desp…
Training features used to analyse physical processes are often highly correlated and determining which ones are most important for the classification is a non-trivial tasks. For the use case of a search for a top-quark pair produced in association with a Higgs boson decaying to bottom-quarks at the LHC, we compare feat…
Graph neural network executes value iteration for flexible environments.
New method for optimistic planning in MDPs using regularization.
We propose a clustering-based iterative algorithm to solve certain optimization problems in machine learning, where we start the algorithm by aggregating the original data, solving the problem on aggregated data, and then in subsequent steps gradually disaggregate the aggregated data. We apply the algorithm to common m…
We present the use of the fitted Q iteration in algorithmic trading. We show that the fitted Q iteration helps alleviate the dimension problem that the basic Q-learning algorithm faces in application to trading. Furthermore, we introduce a procedure including model fitting and data simulation to enrich training data as…
Proves a theorem similar to Moser's using a normalization method.
The need for parameter estimation with massive datasets has reinvigorated interest in stochastic optimization and iterative estimation procedures. Stochastic approximations are at the forefront of this recent development as they yield procedures that are simple, general, and fast. However, standard stochastic approxima…
Likelihood-free inference is concerned with the estimation of the parameters of a non-differentiable stochastic simulator that best reproduce real observations. In the absence of a likelihood function, most of the existing inference methods optimize the simulator parameters through a handcrafted iterative procedure tha…
Non-convex optimization is ubiquitous in machine learning. Majorization-Minimization (MM) is a powerful iterative procedure for optimizing non-convex functions that works by optimizing a sequence of bounds on the function. In MM, the bound at each iteration is required to \emph{touch} the objective function at the opti…
We consider a problem of manifold estimation from noisy observations. Many manifold learning procedures locally approximate a manifold by a weighted average over a small neighborhood. However, in the presence of large noise, the assigned weights become so corrupted that the averaged estimate shows very poor performance…
We propose a flexible nonparametric regression method for ultrahigh-dimensional data. As a first step, we propose a fast screening method based on the favored smoothing bandwidth of the marginal local constant regression. Then, an iterative procedure is developed to recover both the important covariates and the regress…
We study two procedures (reverse-mode and forward-mode) for computing the gradient of the validation error with respect to the hyperparameters of any iterative learning algorithm such as stochastic gradient descent. These procedures mirror two methods of computing gradients for recurrent neural networks and have differ…
A new method for target propagation using iterative approximations converges fast and is more biologically plausible.
The `Folk Theorem' that a smooth action by a compact Lie group can be (canonically) resolved, by iterated blow up, to have unique isotropy type is proved in the context of manifolds with corners. This procedure is shown to capture the simultaneous resolution of all isotropy types in a `resolution tower' which projects …
Pruning method removes less important features in linear models.
A novel method relaxes binary constraints to non-negative spheres for multi-matching and clustering.
Improved SEG method converges to Nash equilibrium in bilinear games.
In this paper we consider a problem of searching a space of predictive models for a given training data set. We propose an iterative procedure for deriving a sequence of improving models and a corresponding sequence of sets of non-linear features on the original input space. After a finite number of iterations N, the n…