Study Nash equilibrium in non-zero-sum game with Bermudan strategies.
problem Optimizing pay-offs in non-linear non-zero-sum games.
method Recursive construction to find Nash equilibrium.
result Existence of Nash equilibrium in non-zero-sum game.
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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.
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48 results for “non-linear assessment functional”
Machine learning improves joint default assessment by capturing non-linear dependencies.
problem Capturing non-linear dependencies among covariates for accurate joint default assessment.
method Application of machine learning techniques to credit card dataset, comparing with logistic regression.
result Machine learning outperforms logistic regression in assessing portfolio riskiness.
Wiener-Granger causality is a widely used framework of causal analysis for temporally resolved events. We introduce a new measure of Wiener-Granger causality based on kernelization of partial canonical correlation analysis with specific advantages in the context of large high-dimensional data. The introduced measure is…
Study assesses health plan risk measures for Solvency Capital Requirement.
problem Assessing risk measures for health plans to meet Solvency Capital Requirement.
method Three-part regression model with three GLMs for claim counts, episode allocation, and severity.
result Reduction in regression models compared to traditional methods.
Deep learning improves macroeconomic forecasting and risk assessment.
problem Improving accuracy in macroeconomic forecasting and sovereign risk assessment.
method Nowcasting and forecasting using deep learning techniques.
result Deep learning methods outperform traditional econometric techniques in out-of-sample performance.
A new method estimates rare failure events in complex systems.
problem Estimating the probability of rare failure events in non-linear systems.
method Stochastic Spectral Embedding (SSE) combined with modifications for efficient rare event estimation.
result Rare failure probability decomposed into conditional probabilities for easier computation.
Proposes a modified Morgan-Pitman test for evaluating variances in machine learning models.
problem Limited ability to account for sampling variability in model selection.
method Enhances the classic Morgan-Pitman test for robustness in non-linear models with heavy-tailed distributions or outliers.
result Demonstrates the test's effectiveness and practical utility in model evaluation and selection.
Adversarial Regression uses GANs for non-linear regression with uncertainty estimation.
problem Performing high-dimensional non-linear regression with uncertainty estimation.
method Conditional Generative Adversarial Network (CGAN) approach.
result CGANs provide an approximate predictive distribution for new observations.
Computer vision model automates residual plot assessment for diagnosing model assumptions.
problem Automating residual plot assessment for model diagnostics.
method Trains a computer vision model to predict disparity between residual distributions and reference distributions using Kullback-Leibler divergence.
result Computer vision model is less sensitive to non-linearity but more sensitive than human judgment and conventional tests.
Robustly Extracting Medical Knowledge from EHRs: A Case Study of Learning a Health Knowledge Graphstat.AP
This study evaluates a health knowledge graph for robustness in EHRs.
problem Evaluate robustness of a health knowledge graph in EHRs.
method Analyze sample size, unmeasured confounders, and non-linear functions.
result Identify sample size and unmeasured confounders as major sources of error.
We define two non-linear operations with random (not necessarily closed) sets in Banach space: the conditional core and the conditional convex hull. While the first is sublinear, the second one is superlinear (in the reverse set inclusion ordering). Furthermore, we introduce the generalised conditional expectation of r…
The paper introduces a non-linear version of the process convolution formalism for building covariance functions for multi-output Gaussian processes. The non-linearity is introduced via Volterra series, one series per each output. We provide closed-form expressions for the mean function and the covariance function of t…
Optimal algorithms for non-linear ridge bandits reduce burn-in cost.
problem Non-linear models introduce a burn-in period with fixed cost.
method Two-stage algorithm: find initial action, then treat locally linear.
result Two-stage algorithm is statistically optimal.
Enhances Cox model for survival analysis with symbolic non-linear log-risk functions.
problem Limited interpretability and non-linearity in traditional Cox models.
method Introduces GCPH model using Kolmogorov-Arnold Networks for symbolic non-linear log-risk functions.
result GCPH achieves competitive performance and superior interpretability.
New neural network models for functional data.
problem Handling non-linear functional data.
method Functional Direct Neural Network (FDNN) and Functional Basis Neural Network (FBNN) with gradient-based optimization.
result Demonstrated effectiveness in complex functional models.
We show how the tangent functor extends from ordinary smooth maps to "microformal morphisms" (also called "thick morphisms") of supermanifolds. Microformal morphisms generalize ordinary maps and correspond to formal canonical relations between the cotangent bundles specified by generating functions depending on positio…
ENIAC method optimizes and explores complex RL problems with non-linear policies.
problem Theoretical understanding of non-linear policies in RL with strategic exploration.
method ENIAC, an actor-critic method for non-linear function approximation.
result ENIAC finds near-optimal policies in polynomial exploration rounds under bounded eluder dimension.
The role of feature space in atomistic learningphysics.comp-ph
A framework to compare atomistic descriptors and their transformations.
problem Comparing and understanding different atomistic descriptors and their transformations.
method Introducing a framework to compare different sets of descriptors and their transformations by metrics and kernels.
result Diagnostic tools to determine equivalent information and distorted common information between feature spaces.
New method for interpreting non-linear models using forward marginal effects.
problem Interpreting non-linear models' feature effects is challenging.
method Introducing forward marginal effects and partitioning feature space for better interpretation.
result Improved interpretation of non-linear prediction functions.
Optimizes non-linear outcomes from summed contributions.
problem Maximizing a non-linear function of summed small contributions.
method Derives a scalable descent algorithm leveraging concentration properties.
result Directly optimizes for stated objective, e.g., A/B test success criterion.
DPLS improves asset pricing by capturing non-linear risk factor structures.
problem Estimating asset pricing models with non-linear risk factor structures.
method Deep Partial Least Squares (DPLS) for dynamic and flexible factor modeling.
result DPLS models outperform linear models in asset pricing, capturing non-linear risk factor interactions.
Quantum computing offers a quadratic speedup for estimating non-linear functionals.
problem Estimating non-linear functionals of probability distributions.
method Proposes a quantum-inside-quantum Monte Carlo algorithm for a broad class of non-linear estimation problems.
result Achieves a quadratic speedup for non-linear estimation problems, including nested conditional expectations and stochastic optimization.
New neural network models for complex functional data analysis.
problem Complex relations between functional predictors and responses.
method Function-on-Function regression models using neural networks with continuous hidden layers.
result Demonstrated power and flexibility in handling complex functional models.
RCAV quantifies model sensitivity to semantic concepts, improving interpretability methods.
problem Lack of semantic interpretability in image classification models.
method RCAV calculates concept gradients and ascent steps to assess model sensitivity to semantic concepts.
result RCAV yields more accurate and robust interpretations of model behavior.
Traditional linear methods for forecasting multivariate time series are not able to satisfactorily model the non-linear dependencies that may exist in non-Gaussian series. We build on the theory of learning vector-valued functions in the reproducing kernel Hilbert space and develop a method for learning prediction func…
Study non-linear combinatorial bandits with polynomial rewards, finding significant differences from linear cases.
problem Adversarial combinatorial bandits with general non-linear reward functions.
method Extending existing work on adversarial linear combinatorial bandits, analyzing minimax optimal regret for polynomial and non-polynomial reward functions.
result Minimax optimal regret bounds for adversarial combinatorial bandits with general non-linear reward functions.
The goal of a recommendation system is to predict the interest of a user in a given item by exploiting the existing set of ratings as well as certain user/item features. A standard approach to modeling this problem is Inductive Matrix Completion where the predicted rating is modeled as an inner product of the user and …
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivativesq-fin.CP
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide downside protection. A tractable stochastic mortality model with age dependent …
In recent work on both generative and discriminative score to log-likelihood-ratio calibration, it was shown that linear transforms give good accuracy only for a limited range of operating points. Moreover, these methods required tailoring of the calibration training objective functions in order to target the desired r…
Agents learn state ambiguity from non-linear sensor data using Gaussian approximations.
problem Learning state representation from non-linear sensor data.
method Second-order Taylor approximation of Gaussian distribution for non-linear measurement functions.
result Induces a preference for states based on inferability from observations.
New model for Knightian uncertainty with jumps.
problem Knightian uncertainty and non-linear jumps.
method Probabilistic construction of non-linear affine processes with jumps.
result Tractable model for Knightian uncertainty with sublinear expectations.
Diffusion Maps improves on Functional PCA for non-linear functional data.
problem Functional PCA's linear manifold assumption fails for non-linear functional data.
method Extends Diffusion Maps to functional data and compares it to Functional PCA.
result Diffusion Maps outperforms Functional PCA in non-linear functional data analysis.
This paper conditions non-linear infinite-dimensional diffusion processes.
problem Conditioning non-linear and infinite-dimensional diffusion processes.
method Infinite-dimensional Girsanov's theorem to condition function-valued stochastic processes.
result Conditioning of non-linear infinite-dimensional diffusion processes is achieved.
Developing Knowledge States: Technology and the Enhancement of National Statistical Capacityq-fin.GN
National statistical systems are the enterprises tasked with collecting, validating and reporting societal attributes. These data serve many purposes - they allow governments to improve services, economic actors to traverse markets, and academics to assess social theories. National statistical systems vary in quality, …
Papers learn from data to make decisions without interacting, improving on previous methods.
problem Achieving optimal decision-making from offline data with non-linear function approximation.
method Pessimistic Nonlinear Least-Square Value Iteration (PNLSVI) with three innovative components.
result Achieves minimax optimal instance-dependent regret for non-linear function approximation.
Paper introduces non-linear discounting models for default compensation and climate valuation.
problem Valuation of non-replicable value and damage under default risk.
method Develops two models: one for risk-neutralising discounting and another for survival probability dependent discounting.
result Non-decaying discount factors (negative discount rates) are possible under certain scenarios.
New method optimizes non-linear functionals over probability measures.
problem Optimizing non-linear functionals defined over probability measures.
method N-particle underdamped Langevin algorithm with spacetime discretization.
result Converges globally in total variation distance.
Non-linear shrinkage isn't optimal for portfolio optimization, especially when asset dependence is non-stationary.
problem Optimizing portfolios with non-stationary asset dependence structures.
method Derived and compared non-linear shrinkage with an optimal target for covariance matrix estimation.
result Non-linear shrinkage can be significantly improved for portfolio optimization.
Improves sparse recovery with non-linear Fourier features.
problem Sparse recovery challenges with non-linear Fourier features.
method Characterizes sufficient data points for perfect recovery.
result Sufficient data points depend on kernel matrix.
Paper establishes limits for accurately estimating low-rank matrices from noisy, non-linear data.
problem Estimating low-rank matrices from noisy, non-linear observations.
method Proves strong universality result with equivalent Gaussian model and effective prior parameters.
result Signal-to-noise ratio requirement grows as $N^{ rac 12 (1-1/k_F)}$ for accurate reconstruction.
The paper estimates CoVaR with various models for financial risk analysis.
problem Estimating conditional value-at-risk with financial time series data.
method Fitting multivariate parametric models and copula functions to capture stylized facts of equity returns.
result Backtesting shows that certain models provide better risk estimates than others.
This paper extends semi-structured networks to functional data.
problem Maintaining interpretability in functional data analysis while capturing non-linearities and interactions.
method Proposes a functional SSN method that scales well and improves predictive performance.
result The functional SSN method accurately recovers underlying signals and performs favorably compared to competing methods.
fiBAG integrates multiplatform genomic data to identify disease markers.
problem Understanding complex mechanisms underlying human diseases from multiplatform genomic data.
method fiBAG uses Gaussian process models and Bayes factors to identify functional evidence and guide variable selection.
result fiBAG improves detection of disease-related markers compared to non-integrative methods.
We examine an analytic variational inference scheme for the Gaussian Process State Space Model (GPSSM) - a probabilistic model for system identification and time-series modelling. Our approach performs variational inference over both the system states and the transition function. We exploit Markov structure in the true…
This research evaluates learning models for bionic robots, focusing on transfer function identification.
problem Developers need guidance on selecting and constructing transfer functions for bionic robots.
method Comprehensive evaluation strategy including data collection, learning model selection, comparative analysis, and transfer function identification.
result A framework for effectively dealing with multi-input multi-output robotic data.
GP-KAN uses Gaussian Processes in KANs for robust, parameter-efficient non-linear modeling.
problem Non-linear modeling with limited parameters and uncertainty estimates.
method Integrates Gaussian Processes into Kolmogorov Arnold Networks (KANs) for robust non-linear modeling.
result GP-KAN achieves 98.5% accuracy on MNIST with 80k parameters compared to 1.5M for state-of-the-art models.
Agent optimizes perpetual contract liquidation with transaction costs and risk.
problem Optimizing perpetual contract liquidation with transaction costs and risk.
method Solving stochastic control problem for optimal trading strategy.
result Closed-form expression and approximations for optimal strategy.
This work optimizes reservoir computing models by linking recurrence and non-linear dynamics.
problem Understanding how recurrence and non-linear dynamics in cortical networks contribute to their function.
method Transformed time-continuous, recurrent dynamics into an effective feed-forward structure of linear and non-linear temporal kernels.
result Optimal time-series classifiers can be built from random reservoir networks, demonstrating significant performance gains.