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.
Efficiently solves high-dimensional ODEs with probabilistic methods.
Developing stable and scalable probabilistic ODE solvers for stiff and high-dimensional problems.
We propose a fast second-order method that can be used as a drop-in replacement for current deep learning solvers. Compared to stochastic gradient descent (SGD), it only requires two additional forward-mode automatic differentiation operations per iteration, which has a computational cost comparable to two standard for…
A new method solves diagonally constrained SDPs quickly and accurately.
AI-driven framework optimizes MCMC-based preconditioners for faster linear system solving.
New algorithm speeds up sampling from log-concave distributions over polytopes.
Scalable Gaussian processes with latent Kronecker structure for large datasets.
We propose a unified and systematic framework for performing online nonnegative matrix factorization in the presence of outliers. Our framework is particularly suited to large-scale data. We propose two solvers based on projected gradient descent and the alternating direction method of multipliers. We prove that the se…
Paper establishes convergence rates for learning elliptic pseudo-differential operators.
New EOT solvers estimate both plans and maps efficiently.
We study the task of semi-supervised learning on multilayer graphs by taking into account both labeled and unlabeled observations together with the information encoded by each individual graph layer. We propose a regularizer based on the generalized matrix mean, which is a one-parameter family of matrix means that incl…
RL accelerates portfolio optimization and option pricing by dynamically adjusting preconditioner sizes.
Convex sparsity-promoting regularizations are ubiquitous in modern statistical learning. By construction, they yield solutions with few non-zero coefficients, which correspond to saturated constraints in the dual optimization formulation. Working set (WS) strategies are generic optimization techniques that consist in s…
A learning algorithm optimizes SOR solver parameters for a sequence of linear systems efficiently.
New method solves constrained stochastic optimization problems efficiently.
A new R package for high-dimensional regression and precision matrix estimation.
Estimates sparse Gaussian graphical models using discrete optimization.
Graph neural networks improve AMG convergence for sparse systems.
This paper optimizes diagonal preconditioning to improve matrix condition numbers.
Pipeline decomposes portfolio optimization problems into smaller, solvable subproblems.
We describe novel subgradient methods for a broad class of matrix optimization problems involving nuclear norm regularization. Unlike existing approaches, our method executes very cheap iterations by combining low-rank stochastic subgradients with efficient incremental SVD updates, made possible by highly optimized and…
Dantzig Selector (DS) is widely used in compressed sensing and sparse learning for feature selection and sparse signal recovery. Since the DS formulation is essentially a linear programming optimization, many existing linear programming solvers can be simply applied for scaling up. The DS formulation can be explained a…
The matrix completion problem consists of finding or approximating a low-rank matrix based on a few samples of this matrix. We propose a new algorithm for matrix completion that minimizes the least-square distance on the sampling set over the Riemannian manifold of fixed-rank matrices. The algorithm is an adaptation of…
Matrix completion and extrapolation (MCEX) are dealt with here over reproducing kernel Hilbert spaces (RKHSs) in order to account for prior information present in the available data. Aiming at a faster and low-complexity solver, the task is formulated as a kernel ridge regression. The resultant MCEX algorithm can also …
New algorithm speeds up cluster-based compressive sensing tasks.
Grid security and open markets are two major smart grid goals. Transparency of market data facilitates a competitive and efficient energy environment, yet it may also reveal critical physical system information. Recovering the grid topology based solely on publicly available market data is explored here. Real-time ener…
We propose a general matrix-valued multiple kernel learning framework for high-dimensional nonlinear multivariate regression problems. This framework allows a broad class of mixed norm regularizers, including those that induce sparsity, to be imposed on a dictionary of vector-valued Reproducing Kernel Hilbert Spaces. W…
We propose a general matrix-valued multiple kernel learning framework for high-dimensional nonlinear multivariate regression problems. This framework allows a broad class of mixed norm regularizers, including those that induce sparsity, to be imposed on a dictionary of vector-valued Reproducing Kernel Hilbert Spaces. W…
cuRegOT accelerates GPU-based entropic OT solving.
Adapting deep networks to new concepts from a few examples is challenging, due to the high computational requirements of standard fine-tuning procedures. Most work on few-shot learning has thus focused on simple learning techniques for adaptation, such as nearest neighbours or gradient descent. Nonetheless, the machine…
In applications of Gaussian processes where quantification of uncertainty is of primary interest, it is necessary to accurately characterize the posterior distribution over covariance parameters. This paper proposes an adaptation of the Stochastic Gradient Langevin Dynamics algorithm to draw samples from the posterior …
We present memory-efficient and scalable algorithms for kernel methods used in machine learning. Using hierarchical matrix approximations for the kernel matrix the memory requirements, the number of floating point operations, and the execution time are drastically reduced compared to standard dense linear algebra routi…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a portfolio. In practice, it faces challenges by virtue of varying math. formulations, par…
This paper improves linear system solving by optimizing matrix diagonal scaling.
Exact solver speeds up Weston-Watkins SVM subproblem significantly.
Gaussian processes (GPs) with derivatives are useful in many applications, including Bayesian optimization, implicit surface reconstruction, and terrain reconstruction. Fitting a GP to function values and derivatives at points in dimensions requires linear solves and log determinants with an ${n(d+1) \times n(d…
Optimizes neural networks with blackbox solvers using Time-cost Regularization.
A new algorithm solves nonnegative least squares faster with nonnegative data.
Study analyzes 3,171 stocks to pick efficient portfolios using quantum and classical solvers.
The paper speeds up hyperparameter optimisation in Gaussian processes.
New solver MPLP++ outperforms existing solvers for dense graph models.
Linear dimensionality reduction methods are a cornerstone of analyzing high dimensional data, due to their simple geometric interpretations and typically attractive computational properties. These methods capture many data features of interest, such as covariance, dynamical structure, correlation between data sets, inp…
Least-mean squares (LMS) solvers such as Linear / Ridge / Lasso-Regression, SVD and Elastic-Net not only solve fundamental machine learning problems, but are also the building blocks in a variety of other methods, such as decision trees and matrix factorizations. We suggest an algorithm that gets a finite set of $d…
We propose a novel general algorithm LHAC that efficiently uses second-order information to train a class of large-scale l1-regularized problems. Our method executes cheap iterations while achieving fast local convergence rate by exploiting the special structure of a low-rank matrix, constructed via quasi-Newton approx…
A new NMF variant tackles underdetermined problems with sparse and separable assumptions.
A new method improves convergence in low-rank approximation.
CRA improves UL-based CO solvers by dynamically smoothing and enforcing discreteness.
Operating deep neural networks (DNNs) on devices with limited resources requires the reduction of their memory as well as computational footprint. Popular reduction methods are network quantization or pruning, which either reduce the word length of the network parameters or remove weights from the network if they are n…