New algorithm tackles online optimization with non-additive constraints, achieving dynamic regret guarantees.
problem Online optimization with non-stationary and long-term constraints in display advertising.
method Online primal-dual algorithm with dynamic cumulative regret guarantees.
result Dynamic cumulative regret guarantees depend on penalty convexity, smoothness, and residual smoothness.
The paper explores additive explanations for non-additive models, finding that non-additive methods are more accurate.
problem Explaining non-additive models using additive methods.
method Four explanation methods: partial dependence, Shapley, distilled, and gradient-based.
result Non-additive explanations are more accurate than distilled additive explanations.
New algorithms for online path learning with non-additive gains in various settings.
problem Online path learning with non-additive gains in ensemble structured prediction.
method Developed new online algorithms for full, semi-bandit, and full bandit settings with favorable regret guarantees.
result Efficient implementation of EXP3 algorithm for full bandit setting with arbitrary non-additive gains.
We discuss multi-task online learning when a decision maker has to deal simultaneously with M tasks. The tasks are related, which is modeled by imposing that the M-tuple of actions taken by the decision maker needs to satisfy certain constraints. We give natural examples of such restrictions and then discuss a general …
We proposed a new statistical dependency measure called Copula Dependency Coefficient(CDC) for two sets of variables based on copula. It is robust to outliers, easy to implement, powerful and appropriate to high-dimensional variables. These properties are important in many applications. Experimental results show that C…
New risk measure considers horizon risk and interest rate uncertainty.
problem Dynamic risk evaluation considering horizon risk and interest rate uncertainty.
method Introduced a risk measure based on generalized Tsallis entropy.
result New q-entropic risk measure quantifies capital requirement.
Diamond method controls FDR for trustworthy feature interaction discovery in ML models.
problem Limited interpretability of ML models due to black box nature.
method Diamond method integrates model-X knockoffs framework to control FDR for non-additive interactions.
result Diamond method ensures accurate discovery of feature interactions with FDR control.
This paper introduces new risk measures for evaluating losses with varying time horizons.
problem Capturing horizon risk and cash non-additivity in risk evaluation.
method Uses BSDEs and shortfall approaches to develop h-generalized shortfall risk measures.
result Introduces hq-entropic risk measures as a new family of fully-dynamic risk measures.
The paper investigates the limitations of additive explanations for complex models.
problem The trustworthiness of additive explanations for non-additive models.
method Examine and introduce a new method to detect interactions for instance-level explanations.
result Additive explanations can be misleading for non-additive models.
The paper derives a signature formula for Lefschetz fibrations with planar fibers.
problem Proving a signature formula for Lefschetz fibrations with planar fibers.
method Using theorems of Eliashberg and McDuff, computing Maslov index, and applying Wall's non-additivity formula.
result Derives a signature formula for allowable Lefschetz fibrations over D2 with planar fiber. Proposes a lasso variant of MARS for nonparametric regression.
problem Nonparametric regression with MARS.
method Least squares estimation over convex function combinations with a complexity constraint.
result Achieves logarithmic convergence rate in dimensionality.
Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and Finance is called Quantum Econophysics. In Finance, Quantum Econophysics' contrib…
A well-known property of the signature of closed oriented 4n-dimensional manifolds is Novikov additivity, which states that if a manifold is split into two manifolds with boundary along an oriented smooth hypersurface, then the signature of the original manifold equals the sum of the signatures of the resulting manifol…
Model analyzes trading frictions in cap-and-trade markets, showing how they interact to affect market effectiveness.
problem Analyzing how trading frictions impact cap-and-trade market effectiveness.
method Developed a dynamic stochastic model with multiple trading frictions, characterized access choices in closed form, and quantified using EU ETS data.
result Trading frictions interact to amplify or dampen market responses, and their combined effect is non-additive.
Defense against Wasserstein adversarial attacks using randomized smoothing.
problem Certified robustness against Wasserstein adversarial attacks.
method Randomized smoothing applied to the space of flows between images, bounding Wasserstein distance by L_1 distance.
result Significantly improved accuracy under Wasserstein adversarial attacks compared to unprotected models.
Several proofs have been published of the Mod Z gluing formula for the eta-invariant of a Dirac operator. However, so far the integer contribution to the gluing formula for the eta-invariant is left obscure in the literature. In this article we present a gluing formula for the eta-invariant which expresses the integer …
The paper analyzes insurance pricing and capital allocation in imperfect markets.
problem Analyzing insurance pricing and capital allocation in imperfect markets.
method Non-additive distortion pricing functional and principle of equal priority of payments in default.
result Derives the natural allocation of premium and margin with properties that merit the name.
SALSA bridges the gap between additive and non-additive models in high-dimensional nonparametric regression.
problem High-dimensional nonparametric regression is challenging due to exponential lower bounds in dimension.
method SALSA allows interactions between variables while controlling model capacity via limited interaction order.
result SALSA minimizes residual sum of squares with polynomial excess risk in additive function settings.
Study uses RL to optimize risky vs. risk-free asset allocation.
problem Optimal asset allocation in volatile financial markets.
method Formulated as MDP, uses DDPG with TiDE for dynamic policy learning.
result DDPG-TiDE outperforms Q-learning and buy-and-hold strategies.
Paper proposes OPF policy for fair resource allocation with sublinear regret.
problem Fair resource allocation in an online setting against an unrestricted adversary.
method Online Proportional Fair (OPF) policy achieving approximate sublinear regret.
result OPF policy achieves cα-approximate sublinear regret with cα≤1.445. Causal Mosaic distinguishes cause from effect using nonlinear ICA and ensemble methods.
problem Distinguishing cause from effect in bivariate settings.
method Nonlinear ICA and ensemble framework (Causal Mosaic).
result Causal Mosaic shows state-of-the-art performance on artificial and real-world datasets.
We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by `controlled' Markov noise. In particular, both the faster and slower recursions have non-additive controlled Markov noise components in addition to martingale difference noise. We analyze the asymptotic…
We study online learnability of a wide class of problems, extending the results of (Rakhlin, Sridharan, Tewari, 2010) to general notions of performance measure well beyond external regret. Our framework simultaneously captures such well-known notions as internal and general Phi-regret, learning with non-additive global…
Greedy MI maximization method outperforms existing approaches in nonlinear models.
problem Maximizing mutual information in nonlinear models with non-Gaussian noise.
method Greedy approaches based on log-Sobolev inequalities for computationally inexpensive MI lower bounds.
result Proposed method outperforms random selection and Gaussian approximations.
Detects interactions in neural network weights for better interpretation.
problem Interpreting neural networks for understanding interactions.
method Directly interprets neural network weights to detect interactions.
result Significantly better or similar interaction detection compared to state-of-the-art.
SurvFD and SurvSHAP-IQ provide interpretable survival models by analyzing feature interactions.
problem Non-additivity of hazard and survival functions limits standard additive explanation methods.
method SurvFD decomposes higher-order effects into time-dependent and time-independent components, extending Shapley interactions to time-indexed functions.
result SurvFD and SurvSHAP-IQ offer a new perspective on survival explanations, explicitly characterizing feature interactions.
Reformulates Ozbagci's algorithm for Lefschetz fibrations signatures.
problem Computing signatures of Lefschetz fibrations efficiently.
method Partial fiber sum decomposition and Wall's non-additivity formula.
result Algorithm simplification and new formula for signature computation.
New bounds and examples for sphere unknotting numbers.
problem Comparing unknotting numbers for 2-spheres in 4-space.
method Algebraic and geometric techniques.
result Stabilization number is bounded above by one more than Casson-Whitney number.
Paper presents characteristic function of Tsallis q-Gaussian and its applications.
problem Modeling input quantities in measurement models using Tsallis q-Gaussians.
method Developed a characteristic function and proposed a numerical method for its inversion.
result Exact probability distribution of output quantities can be determined.
Deep neural networks correct Mie scattering in FTIR spectra of biological samples.
problem Mie scattering obscures biochemically relevant spectral information in FTIR spectra of biological samples.
method Deep neural networks to approximate the preprocessing function that removes Mie scattering.
result The model is faster and more generalizable across different tissue types.
Proposes qPO, a new acquisition strategy for batched Bayesian optimization that maximizes the probability of including the optimum.
problem Efficiently identifying top-performing compounds from a large chemical library.
method qPO (multipoint Probability of Optimality) acquisition strategy that maximizes the probability of including the true optimum.
result Empirical evidence shows that qPO is competitive with and complements other state-of-the-art methods in batched Bayesian optimization.
Computer vision is hard because of a large variability in lighting, shape, and texture; in addition the image signal is non-additive due to occlusion. Generative models promised to account for this variability by accurately modelling the image formation process as a function of latent variables with prior beliefs. Baye…
Geometric quantization extended to arbitrary connected spaces using path integration.
problem Constructing a Prequantum Groupoid for arbitrary connected parasymplectic spaces.
method Define a Total Group of Periods and a Prequantum Groupoid with connected isotropy.
result The Prequantum Groupoid Tω is isomorphic to the group of symmetries of the Dynamical System. This paper improves neural network explanations by quantifying and visualizing semantic compositions.
problem Improving neural network explanations for natural language processing tasks.
method Proposes a formal way to quantify word and phrase importance, introduces SCD and SOC algorithms.
result Our algorithms outperform prior methods in explaining neural network predictions.
Modern classification problems frequently present mild to severe label imbalance as well as specific requirements on classification characteristics, and require optimizing performance measures that are non-decomposable over the dataset, such as F-measure. Such measures have spurred much interest and pose specific chall…
Research combines econometric, machine learning, and deep learning models for financial forecasting.
problem Improving financial time series forecasting accuracy.
method Hybrid models combining ARIMA, SVM, XGBoost, and LSTM.
result Effective hybrid models outperform individual components and the Buy&Hold strategy.
A new method ranks uncertainty vectors from multiple measures for robust prediction.
problem Single scalar measures of model reliability are insufficient for comprehensive uncertainty quantification.
method Optimal transport ranks vectors of uncertainty measures, supporting flexible fusion of aleatoric and epistemic uncertainties.
result The method provides a robust ranking of uncertainty that supports various downstream tasks.
MISS identifies influential subsets in ML models.
problem Capturing collective influence of training samples.
method Analyzed and compared influence-based greedy heuristics and adaptive versions.
result Adaptive heuristics can better capture sample interactions.
Framework for transitioning financial models from risk-neutral to real-world measure.
problem Transitioning financial models from risk-neutral to real-world measure to better reflect market dynamics and investor preferences.
method Leveraging probability theory, specifically Girsanov's theorem, to incorporate real-world dynamics into financial models.
result Validation of the robustness and practical relevance of the methodology through case studies involving financial forecasts and stress tests.
Develops a new econometric model to identify structural shocks.
problem Identifying structural shocks in nonlinear systems.
method Exploits variation in conditional distributions of independent shocks induced by an exogenous variable.
result Strengthens identification results to permutation and sign changes.
New method shows MMSE inference can be solved via convex optimization in high dimensions.
problem Optimal Bayesian MMSE inference in high dimensions is computationally hard.
method Minimizing convex loss and regularizer functions smoothed versions of MAP.
result Optimal MMSE performance achievable via M-estimation in high dimensions.
Neural network fusion reduces data acquisition costs for multi-fidelity sources.
problem Reducing cost in acquiring information from multiple data sources with varying fidelity.
method Employing a novel neural network architecture for nonlinear manifold learning of multi-fidelity data.
result Our approach provides high predictive power and quantifies various sources uncertainties.
ENN method uses expectile regression for genetic data analysis of complex diseases.
problem Discover additional genetic variants contributing to complex diseases.
method Developed an expectile neural network (ENN) method integrating expectile regression and neural networks.
result ENN method outperforms existing expectile regression in discovering genetic variants predisposing to sub-populations.
The study examines how permutation-based optimization performance varies across different function representations.
problem Understanding how the order of function evaluations affects optimization performance.
method Iterative search setting with sampling without replacement, algebraic function recombination, correlation analysis, hierarchical clustering, PCA, ANOVA.
result Algebraically modified benchmarks yield stable re-rankings and coherent clusters of functions and sampling policies, indicating non-additive search effort.
This work reviews and tests risk allocation strategies in finance, highlighting Shapley allocation's advantages.
problem Risk allocation in financial institutions with non-additive risk measures and layered structures.
method Systematic review of risk allocation strategies, testing in simplified and realistic settings, including Basel 2.5 and FRTB.
result Shapley allocation offers the best compromise between simplicity, mathematical properties, and computational cost.
New KNN test improves association analysis of high-dimensional sequencing data.
problem Challenges in using neural networks for high-dimensional sequencing data analysis.
method Kernel-based neural network (KNN) test for complex association analysis.
result KNN test outperforms SKAT in detecting non-linear and interaction effects.
Unified clustering model handles both pairwise and cardinality constraints for better performance.
problem Clustering with specific constraints (pairwise and cardinality) to improve clustering quality.
method Unified integer programming formulation, binary and quadratic constraints, reformulated as continuous constraints, solved using ADMM.
result Unified model outperforms single category constraints and achieves better clustering performance.
Paper analyzes minimal investment risk with budget and concentration constraints.
problem Minimal investment risk in portfolio optimization with budget and concentration constraints.
method Replica analysis to consider the minimal investment risk.
result Minimal investment risk with concentration constraint is larger than without.