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arXiv research

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.

168,742 papers · 148 categories

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21416282 · May 202619922001200920172026
48 results for recursive identification

Bayesian method improves online NARMAX model identification.

problem Online identification of nonlinear systems with small sample sizes and low noise.
method Variational Bayesian inference using message passing algorithm for polynomial NARMAX models.
result Variational Bayesian estimator outperforms recursive and offline least-squares methods.

In this paper we develop a method for learning nonlinear systems with multiple outputs and inputs. We begin by modelling the errors of a nominal predictor of the system using a latent variable framework. Then using the maximum likelihood principle we derive a criterion for learning the model. The resulting optimization…

2016-06-14abs ↗pdf ↗

We introduce a recursive adaptive group lasso algorithm for real-time penalized least squares prediction that produces a time sequence of optimal sparse predictor coefficient vectors. At each time index the proposed algorithm computes an exact update of the optimal 1,\ell_{1,\infty}-penalized recursive least squares (R…

2011-01-29abs ↗pdf ↗

Bayesian method for multivariate autoregressive models with exogenous inputs.

problem Estimating uncertainties in autoregressive models with exogenous inputs.
method Recursive Bayesian estimation via message passing in a factor graph.
result Produces full posterior distributions for autoregressive coefficients and noise precision.

The dichotomous coordinate descent (DCD) algorithm has been successfully used for significant reduction in the complexity of recursive least squares (RLS) algorithms. In this work, we generalize the application of the DCD algorithm to RLS adaptive filtering in impulsive noise scenarios and derive a unified update formu…

2019-08-18abs ↗pdf ↗

Paper addresses global convergence of MLR estimation under weak data conditions.

problem Learning mixed linear regression models with general data conditions.
method Two-step recursive identification algorithm using least squares and EM principles.
result Global convergence and optimal clustering performance established under general data conditions.

Since the machine learning techniques are improving rapidly, it has been shown that the image recognition techniques in deep neural networks can be used to detect jet substructure. And it turns out that deep neural networks can match or outperform traditional approach of expert features. However, there are disadvantage…

2017-11-07abs ↗pdf ↗

MOB-dS uses permutation to correct for dependency in discrete survival data.

problem Identifying subgroups in discrete event time data with potential spurious results.
method Model-based recursive partitioning (MOB) with modified data matrix and permutation test.
result MOB-dS controls type I error rate better than standard MOB for discrete survival data.

Modern machine learning techniques, such as convolutional, recurrent and recursive neural networks, have shown promise for jet substructure at the Large Hadron Collider. For example, they have demonstrated effectiveness at boosted top or W boson identification or for quark/gluon discrimination. We explore these methods…

2018-03-21abs ↗pdf ↗

This research connects combinatorial Teichmüller space geometry to Weil-Petersson geometry.

problem Understanding the geometry of combinatorial Teichmüller space.
method Developed a parallel between combinatorial Teichmüller space and Weil-Petersson geometry, using measured foliations and Fenchel-Nielsen coordinates.
result Established a geometric recursion and topological recursion for mapping class group invariants.

Algorithm identifies missing data distributions in graphical models.

problem Identifying missing data distributions in graphical models with interventionist perspective.
method Tree-based identification algorithm that tracks selection bias and admissible intervention strategies.
result Valid estimating equations for missingness mechanism and complete data distribution.

Bayes optimal algorithm under certain conditions doesn't achieve exponential simple regret.

problem Best arm identification with normal rewards over time.
method Fixed-budget best arm identification problem with rewards from normal distributions. Evaluates performance via simple regret.
result Bayes optimal algorithm does not yield exponential decrease in simple regret.

New method samples from any causal effect given conditional generative models.

problem Sampling from un/conditional interventional distributions in high-dimensional data.
method Sequence of push-forward computations of conditional generative models.
result Algorithm enables sampling from any identifiable interventional distribution.

NSIBF detects anomalies in CPS using neural system identification and Bayesian filtering.

problem Detecting anomalies in CPS with complex dynamics and sensor noise.
method Neural System Identification and Bayesian Filtering (NSIBF).
result NSIBF outperforms state-of-the-art methods in anomaly detection for CPS.

New method targets relative risk heterogeneity in clinical trials.

problem Identifying treatment effects across subgroups with absolute risk differences.
method Modified causal forests using a novel node-splitting procedure based on relative risk.
result Relative risk causal forests can capture heterogeneity not detected by absolute risk methods.

This paper uses Bayesian optimization to efficiently identify stochastic dynamical systems.

problem Efficiently identifying linear stochastic dynamical systems with unknown coefficients and noise variances.
method Adaptive Bayesian optimization with ensemble Gaussian processes (EGP) and Kalman filter recursion.
result BO-based estimator achieves RMSE below the Cramer-Rao bound, improving robustness and consistency.

The paper explores generalizations of Mirzakhani's recursion and computes volumes for physical gravity models.

problem Computing volumes for physical gravity models.
method Topological recursion and physical two-dimensional gravity models.
result Derivation of Virasoro constraints and cut-and-join equations for generalized Mirzakhani's recursions.

The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of strategic variables and reconnection rules. The inherent structure of node agent…

2007-01-13abs ↗pdf ↗

Harer and Zagier proved a recursion to enumerate gluings of a 2d2d-gon that result in an orientable genus gg surface, in their work on Euler characteristics of moduli spaces of curves. Analogous results have been discovered for other enumerative problems, so it is natural to pose the following question: how large is t…

2018-12-31abs ↗pdf ↗

This paper studies recursive ensembles driven by Fibonacci updates, improving learning dynamics.

problem Improving learning dynamics in recursive ensemble learning.
method Develops second-order recursive architectures with Fibonacci-type update flows.
result Establishes global convergence conditions and generalization bounds for recursive ensembles.

This work generalizes a formula linking Seiberg-Witten prepotential and topological recursion.

problem Analyzing the relationship between Seiberg-Witten curves and topological recursion.
method Analytical approach using Seiberg-Witten family of curves.
result A generalized formula relating Seiberg-Witten prepotential to the genus zero part of topological recursion on a Seiberg-Witten curve.

LASER compresses recursive model activations by exploiting their low-dimensional structure.

problem Understanding and optimizing the geometric structure of recursive reasoning trajectories.
method Dynamic low-rank basis tracking via matrix-free subspace tracking with a fidelity-triggered reset mechanism.
result Recursive activations occupy a linear, low-dimensional subspace that can be compressed efficiently.

We describe a method for recursively calculating Gromov-Witten invariants of all blowups of the projective plane. This recursive formula is different from the recursive formulas due to Göttsche and Pandharipande in the zero genus case, and Caporaso and Harris in the case of no blowups. We use tropical curves and a recu…

2014-11-20abs ↗pdf ↗

Topological recursion recovers a specific partition function for colored knots.

problem Recovering the extended Ooguri-Vafa partition function for colored HOMFLY-PT polynomials of torus knots.
method Applying topological recursion to the spectral curve of colored HOMFLY-PT polynomials of torus knots.
result Topological recursion reproduces the n-point functions of the extended Ooguri-Vafa partition function.

We derive the Do and Norbury recursion formula for the one-loop mean of an irregular spectral curve from a variant of replica method by Brezín and Hikami. We express this recursion in special times in which all terms W1(g)W_1^{(g)} of the genus expansion of the one-loop mean are polynomials. We find a generalization of th…

2015-12-31abs ↗pdf ↗

This paper concerns the recursive utility maximization problem under partial information. We first transform our problem under partial information into the one under full information. When the generator of the recursive utility is concave, we adopt the variational formulation of the recursive utility which leads to a s…

2016-05-19abs ↗pdf ↗

We derive a recursion relation for hyperbolic string vertices and apply it to string field theory.

problem Deriving a recursion relation for hyperbolic string vertices and its implications for string field theory.
method Using systolic volumes and a modified Mirzakhani's recursion, we construct a higher-order vertex determination for hyperbolic string field theory.
result The higher order vertices in hyperbolic string field theory are determined by the cubic vertex iteratively for any background.

Benchmarking recursive collapse claims with a new framework under false-positive control.

problem Evaluating recursive systems for failure patterns and warning claims.
method Developed Loopzero framework for testing recursive failures, specified claim boundaries in Lean, evaluated under FP constraint, and compared with standard detectors.
result No standard detectors or Loopzero's pre-registered quantile detector achieved the required operating point under the false-positive contract.

SRRM improves recursive transport surrogates in the small-discrepancy regime.

problem Insufficient understanding of recursive partitioning methods' statistical behavior and resolution in the small-discrepancy regime.
method Introduced Selective Recursive Rank Matching (SRRM) to improve the resolution of Recursive Rank Matching (RRM).
result SRRM yields a higher-fidelity practical surrogate for the Wasserstein distance at moderate additional computational cost.

Study mini-batch SGD noise and its limits, proving complexity guarantees.

problem Analyzing the noise in mini-batch SGD and its impact on optimization.
method Examined the conditional covariance and diffusion limits of SGD under different sampling designs.
result Proved mean-square upper bounds and Fisher van Trees lower bounds for SGD, linking them to effective dimension and condition number.

Study uses reinforcement learning to optimize portfolios under recursive utility.

problem Improving portfolio allocation using risk-sensitive objectives.
method Approximated certainty equivalent via Monte Carlo, trained actor-critic algorithms (PPO, A2C).
result Recursive-utility agent outperforms discounted baseline in Sharpe ratio, max drawdown, and cumulative return.

The paper studies risk-sensitive MDPs with recursive risk measures.

problem Risk-sensitive decision-making in MDPs with unbounded costs.
method Recursive application of static risk measures, Bellman equation derivation, existence of optimal policies.
result Existence of Markovian optimal policies for infinite planning horizons, contractive model for stationary optimal policy.

New recursive relation found for a specific torus knot.

problem Finding a recursive relation for a specific torus knot.
method Extending colored Jones polynomials to knots in (2p+1,2)(2p+1,2) torus knot complements and examining a particular knot.
result An analogous recursive relation exists for a specific (2p+1,2)(2p+1,2) torus knot.

We propose a general theory for constructing functorial assignments ΣΩΣE(Σ)Σ\longmapsto Ω_Σ \in E(Σ) for a large class of functors EE from a certain category of bordered surfaces to a suitable target category of topological vector spaces. The construction proceeds by successive excisions of homotopy classes of embedded pai…

2017-11-13abs ↗pdf ↗

Recursive training of generative models can lead to model collapse, and the recursion converges to a unique limiting distribution.

problem Model collapse in recursive training of generative models
method Recursive training on their own outputs
result Recursive training converges to a unique limiting distribution

We study topological recursion on the irregular spectral curve xy2xy+1=0xy^2-xy+1=0, which produces a weighted count of dessins d'enfant. This analysis is then applied to topological recursion on the spectral curve xy2=1xy^2=1, which takes the place of the Airy curve x=y2x=y^2 to describe asymptotic behaviour of enumerative proble…

2014-12-29abs ↗pdf ↗