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.
Proposes a graph neural network for traffic forecasting in WANs.
Multistep traffic forecasting on road networks is a crucial task in successful intelligent transportation system applications. To capture the complex non-stationary temporal dynamics and spatial dependency in multistep traffic-condition prediction, we propose a novel deep learning framework named attention graph convol…
The project aims to research on combining deep learning specifically Long-Short Memory (LSTM) and basic statistics in multiple multistep time series prediction. LSTM can dive into all the pages and learn the general trends of variation in a large scope, while the well selected medians for each page can keep the special…
This article explores the concepts of ocean wave multivariate multistep forecasting, reconstruction and feature selection. We introduce recurrent neural network frameworks, integrated with Bayesian hyperparameter optimization and Elastic Net methods. We consider both short- and long-term forecasts and reconstruction, f…
New model reduces volatility parameters and complexity.
Investor finds a fair outcome in complex financial markets.
Unified model improves sampling speed and quality.
Despite the recent popularity of deep generative state space models, few comparisons have been made between network architectures and the inference steps of the Bayesian filtering framework -- with most models simultaneously approximating both state transition and update steps with a single recurrent neural network (RN…
Deep learning framework predicts streamflow and flood probabilities in Australian catchments.
We study multistep Bayesian betting strategies in coin-tossing games in the framework of game-theoretic probability of Shafer and Vovk (2001). We show that by a countable mixture of these strategies, a gambler or an investor can exploit arbitrary patterns of deviations of nature's moves from independent Bernoulli trial…
We present a derivation and theoretical investigation of the Adams-Bashforth and Adams-Moulton family of linear multistep methods for solving ordinary differential equations, starting from a Gaussian process (GP) framework. In the limit, this formulation coincides with the classical deterministic methods, which have be…
The process of transforming observed data into predictive mathematical models of the physical world has always been paramount in science and engineering. Although data is currently being collected at an ever-increasing pace, devising meaningful models out of such observations in an automated fashion still remains an op…
Continuous semi-implicit models enable faster training and better performance in generative modeling.
New methods improve deep reinforcement learning by accelerating credit assignment.
New method for pricing options in stochastic volatility models.
Motivated by the widespread use of temporal-difference (TD-) and Q-learning algorithms in reinforcement learning, this paper studies a class of biased stochastic approximation (SA) procedures under a mild "ergodic-like" assumption on the underlying stochastic noise sequence. Building upon a carefully designed multistep…
Framework improves clinical timeline reconstruction from text and tables.
We propose and analyze a block coordinate descent proximal algorithm (BCD-prox) for simultaneous filtering and parameter estimation of ODE models. As we show on ODE systems with up to d=40 dimensions, as compared to state-of-the-art methods, BCD-prox exhibits increased robustness (to noise, parameter initialization, an…
Proposes exact inference for continuous-time Gaussian process dynamics.
While physics conveys knowledge of nature built from an interplay between observations and theory, it has been considered less importantly in deep neural networks. Especially, there are few works leveraging physics behaviors when the knowledge is given less explicitly. In this work, we propose a novel architecture call…
The study proposes using TD error for selecting σ in Q(σ, λ).
Regularized nonlinear acceleration (RNA) estimates the minimum of a function by post-processing iterates from an algorithm such as the gradient method. It can be seen as a regularized version of Anderson acceleration, a classical acceleration scheme from numerical analysis. The new scheme provably improves the rate of …
COLoKe adapts Koopman embeddings online, reducing overfitting and improving long-term predictions.
In this paper, we present a differential privacy version of convex and nonconvex sparse classification approach. Based on alternating direction method of multiplier (ADMM) algorithm, we transform the solving of sparse problem into the multistep iteration process. Then we add exponential noise to stable steps to achieve…
New algorithm solves complex equations using deep learning.
Generative models for complex stochastic dynamics using adversarial learning.
Gaussian Process Latent Variable Model (GPLVM) is a flexible framework to handle uncertain inputs in Gaussian Processes (GPs) and incorporate GPs as components of larger graphical models. Nonetheless, the standard GPLVM variational inference approach is tractable only for a narrow family of kernel functions. The most p…
Optimal reconciliation keeps some forecasts unchanged in hierarchical forecasting.
Short-term load forecasting is a critical element of power systems energy management systems. In recent years, probabilistic load forecasting (PLF) has gained increased attention for its ability to provide uncertainty information that helps to improve the reliability and economics of system operation performances. This…
Combining forecasts of 16 ED causes improves accuracy and stability.
Conditional forecasts improve performative prediction accuracy.
Study improves seasonal forecasts using deep learning.
For2For combines forecasts to improve time series forecasting.
Two new methods improve forecasting of functional time series data.
A new machine learning method for Bayesian inverse problems in function spaces.
Deep learning improves time series forecasting, outperforming other methods.
Nowadays, with the unprecedented penetration of renewable distributed energy resources (DERs), the necessity of an efficient energy forecasting model is more demanding than before. Generally, forecasting models are trained using observed weather data while the trained models are applied for energy forecasting using for…
MPANF improves naive forecast by incorporating directional information.
Simplifies forecast combination by using diversity of out-of-sample forecasts.
Develops forecast hedging for improved calibration of forecasts.
Microdata improves inflation forecasts after major shocks, study finds.
Improved forecast accuracy for Knitwear by 20% using adaptive AI/ML model.
Given a nonlinear model, a probabilistic forecast may be obtained by Monte Carlo simulations. At a given forecast horizon, Monte Carlo simulations yield sets of discrete forecasts, which can be converted to density forecasts. The resulting density forecasts will inevitably be downgraded by model mis-specification. In o…
Paper proposes a new method for selecting the best hierarchical forecasting approach.
Proposes a neural network for accurate and reconciled hierarchical time series forecasting.
The key contribution of this paper is to propose a classification into two dimensions of the load forecasting studies to decide which forecasting tools to use in which case. This classification aims to provide a synthetic view of the relevant forecasting techniques and methodologies by forecasting problem. In addition,…
This paper reviews forecast combinations over 50 years, highlighting their evolution and utility.
This paper improves forecast stability without sacrificing accuracy using dynamic loss weighting.