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.
Exponential models of distributions are widely used in machine learning for classiffication and modelling. It is well known that they can be interpreted as maximum entropy models under empirical expectation constraints. In this work, we argue that for classiffication tasks, mutual information is a more suitable informa…
Traditional Kalman filter (KF) is derived under the well-known minimum mean square error (MMSE) criterion, which is optimal under Gaussian assumption. However, when the signals are non-Gaussian, especially when the system is disturbed by some heavy-tailed impulsive noises, the performance of KF will deteriorate serious…
Approximations of loopy belief propagation, including expectation propagation and approximate message passing, have attracted considerable attention for probabilistic inference problems. This paper proposes and analyzes a generalization of Opper and Winther's expectation consistent (EC) approximate inference method. Th…
The paper explores how over-parameterized linear regression models generalize without violating learning theory principles.
problem Understanding how over-parameterized linear regression models generalize without violating learning theory principles.
method The paper uses the predictive normalized maximum likelihood (pNML) learner to investigate the minimum norm solution of over-parameterized linear regression models.
result The model generalizes well when the test sample lies in a subspace spanned by eigenvectors associated with large eigenvalues of the training data.
Associating distinct groups of objects (clusters) with contiguous regions of high probability density (high-density clusters), is central to many statistical and machine learning approaches to the classification of unlabelled data. We propose a novel hyperplane classifier for clustering and semi-supervised classificati…
In this paper, we study gradient Ricci expanding solitons (X,g) satisfying Rc=cg+D2f, where Rc is the Ricci curvature, c<0 is a constant, and D2f is the Hessian of the potential function f on X. We show that for a gradient expanding soliton (X,g) with non-negative Ricci curvature, the scalar curva…
The oriented area function A is (generically) a Morse function on the space of planar configurations of a polygonal linkage. We are lucky to have an easy description of its critical points as cyclic polygons and a simple formula for the Morse index of a critical point. However, for planar polygons, the function A i…
Many inference problems involving questions of optimality ask for the maximum or the minimum of a finite set of unknown quantities. This technical report derives the first two posterior moments of the maximum of two correlated Gaussian variables and the first two posterior moments of the two generating variables (corre…
We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin games.
A wide range of fundamental machine learning tasks that are addressed by the maximum a posteriori estimation can be reduced to a general minimum conical hull problem. The best-known solution to tackle general minimum conical hull problems is the divide-and-conquer anchoring learning scheme (DCA), whose runtime complexi…
We propose a new indicator for technical analysis. The indicator emphasizes maximums and minimums in price series with inherent smoothing and has a potential to be useful in both mechanical trading rules and chart pattern analysis.
Paper introduces Ddim, a new measure of model complexity, for MDL-based learning and change detection.
problem Characterizing the complexity of probabilistic models for efficient learning and change detection.
method Introduces descriptive dimension (Ddim) as a measure of model complexity. Derives convergence rates and error probabilities for MDL-based learning and change detection.
result Ddim characterizes the performance of MDL-based learning and change detection.
Let (M,g) be a compact Ricci-flat 4-manifold. For p∈M let Kmax(p) (respectively Kmin(p)) denote the maximum (respectively the minimum) of sectional curvatures at p. We prove that if Kmax(p)≤−cKmin(p) for all p∈M, for some constant c with 0≤c<42+6, th…
Consider a structured matrix factorization model where one factor is restricted to have its columns lying in the unit simplex. This simplex-structured matrix factorization (SSMF) model and the associated factorization techniques have spurred much interest in research topics over different areas, such as hyperspectral u…
When maximum likelihood estimation is infeasible, one often turns to score matching, contrastive divergence, or minimum probability flow to obtain tractable parameter estimates. We provide a unifying perspective of these techniques as minimum Stein discrepancy estimators, and use this lens to design new diffusion kerne…
PCA (Principal Component Analysis) and its variants areubiquitous techniques for matrix dimension reduction and reduced-dimensionlatent-factor extraction. One significant challenge in using PCA, is thechoice of the number of principal components. The information-theoreticMDL (Minimum Description Length) principle gives…