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 study evaluates AI model performance measures for medical use.
A new weighted MCC measure improves classifier performance evaluation.
Study proposes worst+gap measure for better DG evaluation.
Confidence intervals improve evaluation of binary prediction rules in data mining.
Improves comparison of F-measures for imbalanced datasets.
Paper introduces a new performance metric for class imbalance datasets.
Decentralized learning achieves centralized performance via Gibbs measures.
We introduce a new measure of performance of investment strategies, the monotone Sharpe ratio. We study its properties, establish a connection with coherent risk measures, and obtain an efficient representation for using in applications.
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…
In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the LM-measure and the notion of the update rule that, we believe, are the key tools for stud…
The paper optimizes stock portfolios with constraints based on performance attribution.
Complex performance measures, beyond the popular measure of accuracy, are increasingly being used in the context of binary classification. These complex performance measures are typically not even decomposable, that is, the loss evaluated on a batch of samples cannot typically be expressed as a sum or average of losses…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and certainty equivalent to conditional acceptability indexes. We provide the characteriza…
Introduces new performance measures using scaled utility functions.
Paper tackles noisy labels for non-decomposable performance measures.
Investigates the use of Information Coefficient as a stock selection model performance measure.
Study dynamic risk measures and performance indices using distortion functions.
Measures strategy durability through minimum regime performance, revealing trade-offs between efficiency and resilience.
Simplifies F-measure for better interpretability.
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement framework. We introduce the notation of suitability of allocations for performance me…
Improved MoM estimator enhances classical shadows protocol for quantum measurements.
Dynamic regressor selection (DRS) systems work by selecting the most competent regressors from an ensemble to estimate the target value of a given test pattern. This competence is usually quantified using the performance of the regressors in local regions of the feature space around the test pattern. However, choosing …
The estimation of class prevalence, i.e., the fraction of a population that belongs to a certain class, is a very useful tool in data analytics and learning, and finds applications in many domains such as sentiment analysis, epidemiology, etc. For example, in sentiment analysis, the objective is often not to estimate w…
Logistic regression is a widely used method in several fields. When applying logistic regression to imbalanced data, for which majority classes dominate over minority classes, all class labels are estimated as `majority class.' In this article, we use an F-measure optimization method to improve the performance of logis…
New method tests risk measures for various distortions.
Classical signal recovery based on minimization solves the least squares problem with all available measurements via sparsity-promoting regularization. In practice, it is often the case that not all measurements are available or required for recovery. Measurements might be corrupted/missing or they arrive sequ…
Develops a new minimax probability machine for imbalanced classification tasks.
Two entropy measures quantify suboptimal portfolio performance.
The area under the ROC curve is widely used as a measure of performance of classification rules. However, it has recently been shown that the measure is fundamentally incoherent, in the sense that it treats the relative severities of misclassifications differently when different classifiers are used. To overcome this, …
The paper critiques and expands on common evaluation metrics in machine learning.
New algorithms optimize spectral risk measures, improving interpolation between average and worst-case performance.
In this study, we establish a basis for selecting similarity measures when applying machine learning techniques to solve materials science problems. This selection is considered with an emphasis on the distinctiveness between materials that reflect their nature well. We perform a case study with a dataset of rare-earth…
In the last few years, many different performance measures have been introduced to overcome the weakness of the most natural metric, the Accuracy. Among them, Matthews Correlation Coefficient has recently gained popularity among researchers not only in machine learning but also in several application fields such as bio…
A new method for virtual drug screening detects top treatments.
The study formalizes temporal precision and recall for anomaly detection in sequences.
In order to be useful, visualizations need to be interpretable. This paper uses a user-based approach to combine and assess quality measures in order to better model user preferences. Results show that cluster separability measures are outperformed by a neighborhood conservation measure, even though the former are usua…
New measure assesses deep neural networks' robustness to adversarial attacks.
New measure of interference helps understand and mitigate learning issues in reinforcement learning.
The F-measure, which has originally been introduced in information retrieval, is nowadays routinely used as a performance metric for problems such as binary classification, multi-label classification, and structured output prediction. Optimizing this measure is a statistically and computationally challenging problem, s…
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an sy…
Unified approach for learning quantum operations from measurements.
Paper generalizes kernel mean embedding to von Neumann-algebra-valued measures.
Bandit algorithms have been predominantly analyzed in the convex setting with function-value based stationary regret as the performance measure. In this paper, motivated by online reinforcement learning problems, we propose and analyze bandit algorithms for both general and structured nonconvex problems with nonstation…
Unified framework for learning quantum models from limited measurements.
Recent work has demonstrated the effectiveness of gradient descent for directly recovering the factors of low-rank matrices from random linear measurements in a globally convergent manner when initialized properly. However, the performance of existing algorithms is highly sensitive in the presence of outliers that may …
A scalable approach to learning from probability measures using quantization.
Deep neural networks (DNNs) have achieved superior performance in various prediction tasks, but can be very vulnerable to adversarial examples or perturbations. Therefore, it is crucial to measure the sensitivity of DNNs to various forms of perturbations in real applications. We introduce a novel perturbation manifold …
We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model completely ignores the presence of fat tails in the distribution function, which is an important feature of financial data. Nevertheless, it was …