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.
A new framework improves reinforcement learning algorithms with policy guarantees.
problem Designing efficient and stable reinforcement learning algorithms.
method A general framework (FMA-PG) based on functional mirror ascent that constructs surrogate functions enabling policy improvement guarantees.
result The proposed framework enables policy improvement guarantees that hold regardless of policy parameterization, and recovers important heuristics.
Counterfactual regret minimization (CFR) is the most popular algorithm on solving two-player zero-sum extensive games with imperfect information and achieves state-of-the-art performance in practice. However, the performance of CFR is not fully understood, since empirical results on the regret are much better than the …
Uniform sampling of training data has been commonly used in traditional stochastic optimization algorithms such as Proximal Stochastic Gradient Descent (prox-SGD) and Proximal Stochastic Dual Coordinate Ascent (prox-SDCA). Although uniform sampling can guarantee that the sampled stochastic quantity is an unbiased estim…
Stochastic principal component analysis (SPCA) has become a popular dimensionality reduction strategy for large, high-dimensional datasets. We derive a simplified algorithm, called Lazy SPCA, which has reduced computational complexity and is better suited for large-scale distributed computation. We prove that SPCA and …
Study introduces a new investment strategy model using lazy factor and probability weights.
problem Optimizing investment strategies in volatile markets with transaction costs.
method Combines Price Portfolio Forecasting and Mean-Variance Models with Transaction Costs, using probability weights as laziness factor coefficients.
result Model demonstrates adaptability and generalizability in transforming investment strategies.
Lazy, perfectly informed investors trade infrequently due to costs.
problem The paradox of an omniscient yet lazy investor trading infrequently.
method Formalized the paradox using geometric and fractional Brownian motion models, derived closed-form profit functions, and proved existence and uniqueness of the optimal trading frequency.
result The optimal trading frequency can be interpreted through the fractal dimension of the price path.
Lazy training and mean field regimes studied for TD learning with nonlinear function approximation.
problem Approximating value function for MRP with TD learning and nonlinear functions.
method Lazy training and mean field scaling of parameters analyzed for convergence.
result Lazy training leads to exponential convergence to local/global minimizers, while mean field scaling results in all fixed points being minimizers.
In this work we introduce a conditional accelerated lazy stochastic gradient descent algorithm with optimal number of calls to a stochastic first-order oracle and convergence rate O(ε21) improving over the projection-free, Online Frank-Wolfe based stochastic gradient descent of Hazan an…
Grokking occurs when neural networks transition from lazy to rich training dynamics, fitting initial features before generalizing.
problem Understanding why neural networks exhibit early train loss decrease without corresponding test loss improvement.
method Analyzing vanilla gradient descent on polynomial regression with a two-layer neural network, identifying sufficient statistics for test loss.
result Grokking arises when a network first attempts to fit a kernel regression solution with initial features, followed by late-time feature learning.
ABC algorithms involve a large number of simulations from the model of interest, which can be very computationally costly. This paper summarises the lazy ABC algorithm of Prangle (2015), which reduces the computational demand by abandoning many unpromising simulations before completion. By using a random stopping decis…
Motivated by the pursuit of a systematic computational and algorithmic understanding of Generative Adversarial Networks (GANs), we present a simple yet unified non-asymptotic local convergence theory for smooth two-player games, which subsumes several discrete-time gradient-based saddle point dynamics. The analysis rev…
We study Bayesian optimal control of a general class of smoothly parameterized Markov decision problems. Since computing the optimal control is computationally expensive, we design an algorithm that trades off performance for computational efficiency. The algorithm is a lazy posterior sampling method that maintains a d…