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.
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 …
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.
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.
We discuss the approximation of the value function for infinite-horizon discounted Markov Reward Processes (MRP) with nonlinear functions trained with the Temporal-Difference (TD) learning algorithm. We first consider this problem under a certain scaling of the approximating function, leading to a regime called lazy tr…
We propose a framework for solving high-dimensional Bayesian inference problems using \emph{structure-exploiting} low-dimensional transport maps or flows. These maps are confined to a low-dimensional subspace (hence, lazy), and the subspace is identified by minimizing an upper bound on the Kullback--Leibler divergence …
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…
We prove the precise scaling, at finite depth and width, for the mean and variance of the neural tangent kernel (NTK) in a randomly initialized ReLU network. The standard deviation is exponential in the ratio of network depth to width. Thus, even in the limit of infinite overparameterization, the NTK is not determinist…
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…
Analyzes neural networks using linear models to understand their behavior.
problem Understanding multi-layer neural networks through linear models.
method Recalls and reviews four models: linear regression with concentrated features, kernel ridge regression, random feature model, and neural tangent model.
result Highlights limitations of linear theory and discusses approaches to overcome them.
Two distinct limits for deep learning have been derived as the network width h→∞, depending on how the weights of the last layer scale with h. In the Neural Tangent Kernel (NTK) limit, the dynamics becomes linear in the weights and is described by a frozen kernel Θ. By contrast, in the Mean-Field …
The need for labour intensive pixel-wise annotation is a major limitation of many fully supervised learning methods for segmenting bioimages that can contain numerous object instances with thin separations. In this paper, we introduce a deep convolutional neural network for microscopy image segmentation. Annotation iss…