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.
The paper develops a computational method for efficient online filtering of diffusion processes.
Develops Bayesian filtering for online learning and related problems.
Online convex optimization is a sequential prediction framework with the goal to track and adapt to the environment through evaluating proper convex loss functions. We study efficient particle filtering methods from the perspective of such a framework. We formulate an efficient particle filtering methods for the non-st…
Neural Jump ODEs improve online filtering and classification with robust performance.
Robust Kalman filtering method for outlier detection.
Improved real-time UAV terrain following with RVM-RLS filter.
LatentTrack generates model parameters online for nonstationary data.
Ensemble Kalman Filter improves GPSSM inference for online learning.
MoE-F combines LLMs online for better time-series prediction.
We cast Amari's natural gradient in statistical learning as a specific case of Kalman filtering. Namely, applying an extended Kalman filter to estimate a fixed unknown parameter of a probabilistic model from a series of observations, is rigorously equivalent to estimating this parameter via an online stochastic natural…
This paper explores online learning of dynamics and state using ensemble Kalman filters.
In this paper, we consider the problem of predicting observations generated online by an unknown, partially observed linear system, which is driven by stochastic noise. For such systems the optimal predictor in the mean square sense is the celebrated Kalman filter, which can be explicitly computed when the system model…
We consider the problem of online collaborative filtering in the online setting, where items are recommended to the users over time. At each time step, the user (selected by the environment) consumes an item (selected by the agent) and provides a rating of the selected item. In this paper, we propose a novel algorithm …
An incremental/online state dynamic learning method is proposed for identification of the nonlinear Gaussian state space models. The method embeds the stochastic variational sparse Gaussian process as the probabilistic state dynamic model inside a particle filter framework. Model updating is done at measurement sample …
We investigate the convergence and stability properties of the decoupled extended Kalman filter learning algorithm (DEKF) within the long-short term memory network (LSTM) based online learning framework. For this purpose, we model DEKF as a perturbed extended Kalman filter and derive sufficient conditions for its stabi…
Online DEM improves tracking of latent states in dynamic systems.
Online learners track optimal solutions with constant step-size.
Efficiently learns neural network parameters from streaming data.
New method learns decisions from collective preferences without individual covariates.
We revisit the problem of estimating the parameters of a partially observed diffusion process, consisting of a hidden state process and an observed process, with a continuous time parameter. The estimation is to be done online, i.e. the parameter estimate should be updated recursively based on the observation filtratio…
High fidelity behavior prediction of intelligent agents is critical in many applications. However, the prediction model trained on the training set may not generalize to the testing set due to domain shift and time variance. The challenge motivates the adoption of online adaptation algorithms to update prediction model…
Collaborative filtering (CF) allows the preferences of multiple users to be pooled to make recommendations regarding unseen products. We consider in this paper the problem of online and interactive CF: given the current ratings associated with a user, what queries (new ratings) would most improve the quality of the rec…
Algorithm learns dynamics from past observations.
Novel filter uses deep BSDE for nonlinear density approximation.
In today's day and age when almost every industry has an online presence with users interacting in online marketplaces, personalized recommendations have become quite important. Traditionally, the problem of collaborative filtering has been tackled using Matrix Factorization which is linear in nature. We extend the wor…
This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where the subsequent data in on…
Extends DRFGP to make GPs more robust and adaptive for dynamic, noisy data.
A simplified Bayesian approach for online sports rating.
Most traditional online learning algorithms are based on variants of mirror descent or follow-the-leader. In this paper, we present an online algorithm based on a completely different approach, tailored for transductive settings, which combines "random playout" and randomized rounding of loss subgradients. As an applic…
We provide a method for approximating Bayesian inference using rejection sampling. We not only make the process efficient, but also dramatically reduce the memory required relative to conventional methods by combining rejection sampling with particle filtering. We also provide an approximate form of rejection sampling …
Recommendation systems have been integrated into the majority of large online systems to filter and rank information according to user profiles. It thus influences the way users interact with the system and, as a consequence, bias the evaluation of the performance of a recommendation algorithm computed using historical…
Motivated by the needs of online large-scale recommender systems, we specialize the decoupled extended Kalman filter (DEKF) to factorization models, including factorization machines, matrix and tensor factorization, and illustrate the effectiveness of the approach through numerical experiments on synthetic and on real-…
Nonlinear state-space models are powerful tools to describe dynamical structures in complex time series. In a streaming setting where data are processed one sample at a time, simultaneous inference of the state and its nonlinear dynamics has posed significant challenges in practice. We develop a novel online learning f…
A new method estimates time-varying parameters in earth system models using offline and online data assimilation.
Gaussian process regression is a machine learning approach which has been shown its power for estimation of unknown functions. However, Gaussian processes suffer from high computational complexity, as in a basic form they scale cubically with the number of observations. Several approaches based on inducing points were …
New BED method handles online inference for partially observed dynamical systems.
Online method for state estimation and parameter learning in SSMs.
Many kinds of data can be represented as a network or graph. It is crucial to infer the latent structure underlying such a network and to predict unobserved links in the network. Mixed Membership Stochastic Blockmodel (MMSB) is a promising model for network data. Latent variables and unknown parameters in MMSB have bee…
Despite the prevalence of collaborative filtering in recommendation systems, there has been little theoretical development on why and how well it works, especially in the "online" setting, where items are recommended to users over time. We address this theoretical gap by introducing a model for online recommendation sy…
This paper proves long-time accuracy of ensemble Kalman filters for chaotic and machine-learned systems.
Triangular, overlapping Mel-scaled filters ("f-banks") are the current standard input for acoustic models that exploit their input's time-frequency geometry, because they provide a psycho-acoustically motivated time-frequency geometry for a speech signal. F-bank coefficients are provably robust to small deformations in…
This paper explores estimating chaotic dynamics and parameters using local ensemble Kalman filters.
A new flow-based Bayesian filter tackles high-dimensional nonlinear stochastic systems.
We propose a Conditional Density Filtering (C-DF) algorithm for efficient online Bayesian inference. C-DF adapts MCMC sampling to the online setting, sampling from approximations to conditional posterior distributions obtained by propagating surrogate conditional sufficient statistics (a function of data and parameter …
The prevalence of online media has attracted researchers from various domains to explore human behavior and make interesting predictions. In this research, we leverage heterogeneous social media data collected from various online platforms to predict Taiwan's 2016 presidential election. In contrast to most existing res…
There is much empirical evidence that item-item collaborative filtering works well in practice. Motivated to understand this, we provide a framework to design and analyze various recommendation algorithms. The setup amounts to online binary matrix completion, where at each time a random user requests a recommendation a…
Bayesian neural networks learn weights with closed-form updates.
A new numerical scheme approximates nonlinear filtering densities for noisy and partial measurements.