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.
New method uses KL-divergence to create non-informative priors for multivariate Gaussian.
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough. Upon introducing non-informed agents, we find that the latter contribute signif…
A new model trains prior and encoder/decoder networks simultaneously for efficient generation.
Proposes a method to integrate prior knowledge into trajectory prediction models.
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informative prior, we derive stochastic representations for the optimal portfolio weights at each time point of portfolio reallocation. This provide…
This paper addresses the problem of identifying a lower dimensional space where observed data can be sparsely represented. This under-complete dictionary learning task can be formulated as a blind separation problem of sparse sources linearly mixed with an unknown orthogonal mixing matrix. This issue is formulated in a…
Paper forecasts corporate default risk using Particle MCMC with expert opinions.
Robust Bayes-Assisted Conformal Prediction improves prediction set sizes.
Robust Bayes-Assisted Conformal Prediction improves prediction set sizes.
Paper introduces a core-periphery model for identifying informative network structures.
Hyper-parameters play a major role in the learning and inference process of latent Dirichlet allocation (LDA). In order to begin the LDA latent variables learning process, these hyper-parameters values need to be pre-determined. We propose an extension for LDA that we call 'Latent Dirichlet allocation Gibbs Newton' (LD…
Proposes an energy-based sliced Wasserstein distance for improved probability measure comparison.
In reinforcement learning, policy gradient algorithms optimize the policy directly and rely on sampling efficiently an environment. Nevertheless, while most sampling procedures are based on direct policy sampling, self-performance measures could be used to improve such sampling prior to each policy update. Following th…
Meta-learning performance is affected by how task diversity is allocated, not just overall variability.
Study of generalized Csiszár divergences and their application to Cramér-Rao bounds.
In this paper, we analyze the behavior of the multivariate symmetric uncertainty (MSU) measure through the use of statistical simulation techniques under various mixes of informative and non-informative randomly generated features. Experiments show how the number of attributes, their cardinalities, and the sample size …
In many application settings, the data have missing entries which make analysis challenging. An abundant literature addresses missing values in an inferential framework: estimating parameters and their variance from incomplete tables. Here, we consider supervised-learning settings: predicting a target when missing valu…
The Variational AutoEncoder (VAE) learns simultaneously an inference and a generative model, but only one of these models can be learned at optimum, this behaviour is associated to the ELBO learning objective, that is optimised by a non-informative generator. In order to solve such an issue, we provide a learning objec…
We consider the problem of matrix completion with side information (\textit{inductive matrix completion}). In real-world applications many side-channel features are typically non-informative making feature selection an important part of the problem. We incorporate feature selection into inductive matrix completion by p…
Multi-objective optimization aims at finding trade-off solutions to conflicting objectives. These constitute the Pareto optimal set. In the context of expensive-to-evaluate functions, it is impossible and often non-informative to look for the entire set. As an end-user would typically prefer a certain part of the objec…
FS&P uses birth-death process to ensure global convergence of stochastic conic particle gradient descent.
BDeu marginal likelihood score is a popular model selection criterion for selecting a Bayesian network structure based on sample data. This non-informative scoring criterion assigns same score for network structures that encode same independence statements. However, before applying the BDeu score, one must determine a …
Recent advances in multi-modal vision and language tasks enable a new set of applications. In this paper, we consider the task of generating natural language fashion feedback on outfit images. We collect a unique dataset, which contains outfit images and corresponding positive and constructive fashion feedback. We trea…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of information levels, both in the e…
New algorithms improve dueling bandit performance in multiplayer settings.
New method preserves spectral clustering performance under aggressive sparsification and quantization.
Predicting not only the target but also an accurate measure of uncertainty is important for many machine learning applications and in particular safety-critical ones. In this work we study the calibration of uncertainty prediction for regression tasks which often arise in real-world systems. We show that the existing d…
Random Forest variable importance is improved by class balancing techniques.
Predicting delayed outcomes is an important problem in recommender systems (e.g., if customers will finish reading an ebook). We formalize the problem as an adversarial, delayed online learning problem and consider how a proxy for the delayed outcome (e.g., if customers read a third of the book in 24 hours) can help mi…
New taxonomy reveals different detection limits for various types of fraud.
We consider a variant of the classic multi-armed bandit problem where the expected reward of each arm is a function of an unknown parameter. The arms are divided into different groups, each of which has a common parameter. Therefore, when the player selects an arm at each time slot, information of other arms in the sam…
Paper proposes a transfer learning framework for tensor Gaussian graphical models.
Capsule network has shown various advantages over convolutional neural network (CNN). It keeps more precise spatial information than CNN and uses equivariance instead of invariance during inference and highly potential to be a new effective tool for visual tasks. However, the current capsule networks have incompatible …
In information theory, Fisher information and Shannon information (entropy) are respectively used to quantify the uncertainty associated with the distribution modeling and the uncertainty in specifying the outcome of given variables. These two quantities are complementary and are jointly applied to information behavior…
Variation Autoencoder (VAE) has become a powerful tool in modeling the non-linear generative process of data from a low-dimensional latent space. Recently, several studies have proposed to use VAE for unsupervised clustering by using mixture models to capture the multi-modal structure of latent representations. This st…
PINNs solve neuronal parameter and state estimation problems with limited data.
The IMH suggests market price fluctuations are driven by order flow, not fundamental values.
The paper addresses bias in survival analysis due to informative censoring.
Online reviews provided by consumers are a valuable asset for e-Commerce platforms, influencing potential consumers in making purchasing decisions. However, these reviews are of varying quality, with the useful ones buried deep within a heap of non-informative reviews. In this work, we attempt to automatically identify…
The paper improves high-dimensional linear regression prediction and estimation using auxiliary samples.
A new method reduces feature screening cost from to .
CoxSE combines deep learning with self-explaining neural networks for survival analysis.
The paper tackles distribution-free prediction intervals for multi-source data.
New -Laplacian GNN model tackles heterophilic graphs by improving node classification.
Graph smoothing can improve learning performance by restoring lost information.
New algorithm learns satisficing behaviors more efficiently in complex environments.
Proposes a new model to identify unknown counterfactual outcomes for continuous variables.
Trans-GLMC tackles source heterogeneity in transfer learning for structured clusters.