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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.

168,657 papers · 148 categories

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69139208277 · Jun 202019922001200920172026
48 results for multi-time scale

New method improves likelihood-free parameter estimation in complex models.

problem Estimating parameters in simulation-based models with unknown likelihood.
method Nested multi-time-scale stochastic approximation (NMTS) method.
result Eliminates bias and accelerates convergence in likelihood-free inference.

In this paper we construct some multi-time geometrical extensions of the KCC-invariants, which characterize a given second-order system of PDEs on the 1-jet space J1(T,M)J^1(T,M). A theorem of characterization of these multi-time geometrical KCC-invariants is given.

2009-08-01abs ↗pdf ↗

New method improves parameter estimation in complex stochastic models.

problem Parameter calibration in stochastic models with unavailable analytical likelihood.
method Gradient-based simulated parameter estimation with multi-time scale stochastic approximation.
result Enhanced estimation accuracy and reduced computational costs.

In the continuous time mean-variance model, we want to minimize the variance (risk) of the investment portfolio with a given mean at terminal time. However, the investor can stop the investment plan at any time before the terminal time. To solve this kind of problem, we consider to minimize the variances of the investm…

2019-12-04abs ↗pdf ↗

The author exposes the metrical multi-time Lagrange geometry of physical fields which naturally generalizes the classical Lagrangian developped by Miron and Anastasiei. In other words, one constructs a natural theory of physical fields on the 1-jet fibre bundle, attached to a Kronecker h-regular multi-time Lagrangian w…

2000-09-12abs ↗pdf ↗

In this paper we study some geometrical objects (d-tensors, multi-time semisprays of polymomenta and nonlinear connections) on the dual 1-jet vector bundle J1(T,M)T×MJ^{1*}(\cal{T}, M)\to \cal{T}\times M. Some geometrical formulas, which connect the last two geometrical objects, are also derived. Finally, a canonical nonlinear…

2008-07-06abs ↗pdf ↗

Recommending the right products is the central problem in recommender systems, but the right products should also be recommended at the right time to meet the demands of users, so as to maximize their values. Users' demands, implying strong purchase intents, can be the most useful way to promote products sales if well …

2019-02-12abs ↗pdf ↗

We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary non-Gaussian process which captures many features observed in time series of real stock r…

2004-12-20abs ↗pdf ↗

We extend the notion of reticular Legendrian unfoldings in order to investigate multi-time bifurcations of wavefronts generated by an r-corner. We give a classification list of generic and stable bifurcations with two time parameter and give all generic figures in the plane and the space.

2013-08-10abs ↗pdf ↗

The non-stationarity characteristic of the solar power renders traditional point forecasting methods to be less useful due to large prediction errors. This results in increased uncertainties in the grid operation, thereby negatively affecting the reliability and increased cost of operation. This research paper proposes…

2018-07-14abs ↗pdf ↗

The paper developes a geometrization of a Kronecker hh-regular vertical fundamental metrical d-tensor G(i)(j)(α)(β)G^{(α)(β)}_{(i)(j)} on the jet fibre bundle of order one J1(T,M)J^1(T,M). This geometrization gives a mathematical model for both gravitational and electromagnetic field theory, in a general setting. In this context, the…

2000-11-01abs ↗pdf ↗

Risk management in dynamic decision problems is a primary concern in many fields, including financial investment, autonomous driving, and healthcare. The mean-variance function is one of the most widely used objective functions in risk management due to its simplicity and interpretability. Existing algorithms for mean-…

2018-09-07abs ↗pdf ↗

The aim of this paper is to open the problem of construction of a nonlinear connection Γ=(M(α)β(i),N(α)j(i))Γ=(M^{(i)}_{(α)β}, N^{(i)}_{(α)j}) on the jet bundle of first order J1(T,M)J^1(T,M), which to be canonically produced by a Kronecker product vertical metrical d-tensor G(i)(j)(α)(β)=hαβgijG^{(α)(β)}_{(i)(j)}=h^{αβ}g_{ij}, possibly provided by multi-time …

2001-11-14abs ↗pdf ↗

An active area of research is to increase the safety of self-driving vehicles. Although safety cannot be guarenteed completely, the capability of a vehicle to predict the future trajectories of its surrounding vehicles could help ensure this notion of safety to a greater deal. We cast the trajectory forecast problem in…

2019-02-09abs ↗pdf ↗

Study online learning of quantum processes, showing feasibility for certain types.

problem Learning quantum processes adaptively, especially for bounded gate complexity and Pauli channels.
method Online learning, mistake-bounded model, multiplicative weights update algorithm, Bell sampling.
result Online learning feasible for quantum channels of bounded gate complexity and Pauli channels.

Paper proposes a network framework for prosumers to manage peak loads in Iran.

problem Balancing renewable prosumers' self-sufficiency with grid integration under uncertainty.
method Distributed contextual stochastic optimization (DCSO) framework with consensus-based sharing.
result Integration of prediction and optimization reduces peak loads and costs.

This paper studies the problem of parameter learning in probabilistic graphical models having latent variables, where the standard approach is the expectation maximization algorithm alternating expectation (E) and maximization (M) steps. However, both E and M steps are computationally intractable for high dimensional d…

2016-05-26abs ↗pdf ↗

The paper extends graph embedding models to handle multiple relations.

problem Link prediction in multi-relational networks.
method Generalized pseudo-Riemannian embedding models to multi-relational networks, considering relations as submanifolds.
result Validation of the approach in link prediction tasks, including knowledge graph completion and biological domain analysis.

Time series are series of values ordered by time. This kind of data can be found in many real world settings. Classifying time series is a difficult task and an active area of research. This paper investigates the use of transfer learning in Deep Neural Networks and a 2D representation of time series known as Recurrenc…

2019-09-19abs ↗pdf ↗

In this paper we extend Buchen's method to develop a new technique for pricing of some exotic options with several expiry dates(more than 3 expiry dates) using a concept of higher order binary option. At first we introduce the concept of higher order binary option and then provide the pricing formulae of nn-th order b…

2013-02-14abs ↗pdf ↗

New scaling framework for MoE architectures ensures stability and optimal performance at scale.

problem Lack of principled understanding of how hyperparameters should scale in MoE architectures.
method Developed a novel Dynamical Mean Field Theory (DMFT) for three scaling regimes of MoE architectures.
result Derived Maximally Scale-Stable Parameterization (MSSP) for SGD and Adam, providing robust learning rate transfer and monotonic improvement with scale.

New principles needed for scaling large language models, challenging traditional regularization methods.

problem The shift from generalization to scaling in machine learning requires new guiding principles.
method Examining the effectiveness of traditional regularization methods in the scaling-centric era.
result Traditional principles of regularization may not generalize to larger scales, highlighting new phenomena like scaling law crossover.

Improves U-Net for scale equivariance in semantic segmentation.

problem Improving generalization in semantic segmentation tasks with varying scales.
method Introduces Scale Equivariant U-Net (SEU-Net) with carefully applied subsampling and upsampling layers and scale-equivariant layers.
result Significantly improved generalization to different scales compared to U-Net and scale-equivariant architecture without upsampling.

New scaling laws optimize model size, training, and inference for better performance.

problem Trade-off between model size and inference cost in modern LLMs.
method Train-to-Test (T2T^2) scaling laws that jointly optimize model size, training tokens, and inference samples.
result Optimal pretraining decisions shift into overtraining regime, leading to stronger performance.