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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.

169,051 papers · 148 categories

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4182122163 · Jun 202019922001200920182026
48 results for marginal gain

The paper introduces a valuation framework for variable selection in econometric models.

problem Optimizing variable selection in econometric models to balance gains and losses.
method Derives a valuation framework based on expected marginal gains and losses, introduces three unbiased solutions.
result New approaches significantly outperform existing methods in variable selection.

Active learning can't improve over passive in certain settings.

problem Active learning vs. passive learning in nonparametric settings.
method Analyzing margin conditions and their effects on active learning performance.
result Nuances in margin conditions determine whether active learning can outperform passive learning.

We solve the Plateau problem for marginally outer trapped surfaces in general Cauchy data sets. We employ the Perron method and tools from geometric measure theory to force and control a blow-up of Jang's equation. Substantial new geometric insights regarding the lower order properties of marginally outer trapped surfa…

2007-11-27abs ↗pdf ↗

Paper uses Chebyshev Tensors for accurate dynamic sensitivities and ISDA SIMM computation.

problem Computing dynamic sensitivities and initial margin for financial instruments.
method Uses Chebyshev Tensors in Monte Carlo simulations to compute dynamic sensitivities and ISDA SIMM.
result High accuracy and computational gains for FX swaps and Spread Options.

In many professons employees are rewarded according to their relative performance. Corresponding economy can be modeled by taking NN independent agents who gain from the market with a rate which depends on their current gain. We argue that this simple realistic rate generates a scale free distribution even though intr…

2007-04-17abs ↗pdf ↗

Improved exploration in RL with latent state marginalization.

problem Complexity of deep probabilistic models limits their practical use in reinforcement learning.
method Adopting latent variable policies within the MaxEnt framework, with low-cost marginalization of latent states.
result Effective marginalization leads to better exploration and more robust training.

Proposes a more efficient knot selection method for sparse Gaussian processes.

problem Optimizing marginal likelihood for knot selection leads to suboptimal and inefficient placement of knots.
method Uses Bayesian optimization to propose knots one at a time, avoiding multimodal surface issues.
result Improves both accuracy and speed of knot selection compared to current methods.

Final part of a series on nonlinear observers on Riemannian metrics, establishing conditions for convergence.

problem Ensuring convergence of nonlinear observers on Riemannian metrics.
method Analyzing the nullity of the second fundamental form of the output function and its relationship to the infinite gain margin property.
result Formulated sufficient and necessary conditions for the nullity of the second fundamental form, linking it to the infinite gain margin property.

Improved neural framework for scaling entropic MOT with significant computational gains.

problem High computational overhead in multimarginal optimal transport.
method Neural Entropic MOT (NEMOT) using mini-batch training to reduce complexity.
result Significant speedups and feasibility improvements for multimarginal data.

The scalability of submodular optimization methods is critical for their usability in practice. In this paper, we study the reducibility of submodular functions, a property that enables us to reduce the solution space of submodular optimization problems without performance loss. We introduce the concept of reducibility…

2016-01-04abs ↗pdf ↗

We present a practical way of introducing convolutional structure into Gaussian processes, making them more suited to high-dimensional inputs like images. The main contribution of our work is the construction of an inter-domain inducing point approximation that is well-tailored to the convolutional kernel. This allows …

2017-09-06abs ↗pdf ↗

A distributed method for Bayesian model choice using marginal likelihood and Monte Carlo sampling.

problem Bayesian model choice in large datasets with limited communication.
method Split data into subsets, locally compute model evidence, combine results using summary statistics.
result The method enables model choice in large datasets with speed-ups and theoretical error bounds.

This work improves policy optimization by maximizing entropy of state distribution, leading to better exploration.

problem Lack of exploration in state space when maximizing policy entropy.
method Proposes maximizing the entropy of a lower bound approximation to the state weighting distribution, based on latent space representation.
result Entropy regularization based on marginal state distribution achieves superior state space coverage and better performance in various domains.

A new MCMC method for GPs tackles computational burden and intractable likelihoods.

problem High computational burden and intractable likelihoods in Gaussian process models.
method Combines variationally sparse Gaussian processes with pseudo-marginal MCMC.
result Asymptotically exact inference with computational gains for large datasets.

Adaptive source selection for positive transfer in linear models improves target dataset performance.

problem Limited task-specific labeled data in business settings.
method Greedily decides from which sources and how many samples to incorporate into the target dataset using an accept/reject rule based on a data-dependent estimate of the transfer gain.
result Consistent gains over classical and recent strong baselines while avoiding negative transfer.

Proposes AML loss function for TransE to improve link prediction in knowledge graphs.

problem Low performance of TransE due to insufficient scores of positive triples.
method Introduces Adaptive Margin Loss (AML) to automatically adjust margin during training.
result AML improves TransE's performance on link prediction tasks in knowledge graphs.

We present a method to stop the evaluation of a decision making process when the result of the full evaluation is obvious. This trait is highly desirable for online margin-based machine learning algorithms where a classifier traditionally evaluates all the features for every example. We observe that some examples are e…

2011-05-02abs ↗pdf ↗

Estimates expected information gain using density approximations and dimension reduction.

problem Estimating expected information gain in nonlinear and non-Gaussian settings.
method Flexible transport-based schemes for EIG estimation, optimal sample allocation, and gradient-based upper bounds on mutual information.
result Optimal sample allocation and dimension reduction schemes improve EIG estimation accuracy and convergence rate.

The time to converge to the steady state of a finite Markov chain can be greatly reduced by a lifting operation, which creates a new Markov chain on an expanded state space. For a class of quadratic objectives, we show an analogous behavior where a distributed ADMM algorithm can be seen as a lifting of Gradient Descent…

2017-03-10abs ↗pdf ↗

A new method models financial returns by separating sign and magnitude, improving forecasting accuracy.

problem Capturing nonlinear predictability in financial return dynamics.
method Decomposes returns into sign and magnitude components, using a joint distribution model.
result Significantly outperforms traditional linear models in forecasting U.S. stock market returns.

MEC-Cox: A Machine-Learning-Assisted Generalized Entropy Calibration Method for Estimating ATT Marginal Hazard-Ratio

problem Estimating ATT marginal hazard-ratio in externally controlled survival trials
method Machine-learning-assisted generalized entropy calibration for IPW Cox regression
result Reduces bias, increases efficiency, and improves coverage

It is of increasing importance to develop learning methods for ranking. In contrast to many learning objectives, however, the ranking problem presents difficulties due to the fact that the space of permutations is not smooth. In this paper, we examine the class of rank-linear objective functions, which includes popular…

2011-06-09abs ↗pdf ↗

We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the "Zipf factor", which describes the diversification risk of the stock market portfolio. Keeping all the dynamical characteristics of a bubble described in the JLS model, the new model provides additiona…

2011-07-05abs ↗pdf ↗

Christoffel function characterizes the corruption a bounded-degree certificate cannot remove in robust halfspace learning.

problem Robust halfspace learning under malicious noise
method Sum-of-Squares degree of outlier-removal certificate
result Christoffel function bounds the corruption a bounded-degree certificate cannot remove

Signed-permutation coordinate transport improves model alignment across checkpoints.

problem Improper alignment of coordinate-indexed objects across model checkpoints.
method Introduces sign-marginalized Hungarian matching and coordinate-preserving transport.
result Recovering signed-permutation gauge improves coordinate alignment and model performance.

Training-free method improves large language model sequence quality via reward-guided sampling.

problem Optimizing large language model sequence quality over token likelihood.
method Reward-augmented target distribution combined with Sequential Monte Carlo sampling.
result Significant gains in sequence generation and mathematical reasoning tasks.

New BED method handles online inference for partially observed dynamical systems.

problem Optimizing data collection for partially observable, partially online dynamical systems.
method Derived estimators of expected information gain and its gradient for SSMs, using nested particle filters.
result Successfully handles both partial observability and online inference in realistic models.

Bayesian SDOE method estimates QoIs from expensive black-box functions efficiently.

problem Estimating non-linear QoIs from expensive, unknown functions.
method Sequential design of experiments using Bayesian surrogate models and information gain.
result Method efficiently estimates QoIs with limited function evaluations.

Study improves forecast accuracy of daily volatility to enhance portfolio performance.

problem Improving predictability of realized variance from market views.
method High-dimensional machine learning models and low-dimensional factor models used to forecast firm-level volatility.
result Marginal improvements in forecast error lead to significant gains in portfolio performance.

Unified Kantorovich duality for multimarginal optimal transport on Polish spaces.

problem Optimal transport of multiple probability distributions.
method Unified Kantorovich duality theory for multimarginal optimal transport on general Polish product spaces.
result Unified duality theory for multimarginal optimal transport, extending classical two-marginal conjugacy.

New method for multivariate distribution regression using NPT metric.

problem Regression with multivariate distributional responses and Euclidean predictors.
method Fréchet regression with nonparanormal transport (NPT) metric.
result Efficient estimation and granular interpretation of predictor effects.

DMNL bandits optimize assortment choices balancing relevance and diversity.

problem Balancing relevance-driven choice with within-assortment diversity.
method Augments MNL choice probabilities with a submodular diversity function, proposing a white-box UCB-based algorithm.
result Achieves at least a (11e+1)(1-\frac{1}{e+1})-approximate regret bound of $ ilde{O}\left(d \sqrt{T/K} ight)$.

Proposes a framework for modeling RTB auctions using point processes.

problem Modeling and optimizing repeated auctions in the RTB ecosystem.
method Develops a stochastic framework using point processes to model and optimize RTB auctions.
result The proposed framework can be approximated to a Poisson point process, enabling the use of established properties.