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.
Unified method for balancing simulation and data collection.
The paper uses a simulator and optimisation to defend against cyber threats.
Bayesian optimisation tackles expensive black-box functions with constraints.
New method optimizes black-box functions using generative models and Wasserstein distance.
SA-FDR uses simulated annealing for feature selection in high-dimensional data.
Bayesian optimisation has been successfully applied to a variety of reinforcement learning problems. However, the traditional approach for learning optimal policies in simulators does not utilise the opportunity to improve learning by adjusting certain environment variables: state features that are unobservable and ran…
Develops a two-layer model to design mortgage assistance products.
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results are supported by numerical simulations in the context of the Long Term Growth Mo…
RL optimizes trading algorithms to reduce market impact and costs.
Bayesian optimisation has gained great popularity as a tool for optimising the parameters of machine learning algorithms and models. Somewhat ironically, setting up the hyper-parameters of Bayesian optimisation methods is notoriously hard. While reasonable practical solutions have been advanced, they can often fail to …
We present GLASSES: Global optimisation with Look-Ahead through Stochastic Simulation and Expected-loss Search. The majority of global optimisation approaches in use are myopic, in only considering the impact of the next function value; the non-myopic approaches that do exist are able to consider only a handful of futu…
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is minimised, in accordance with Basel II. Alternative delinquency measures, other than simply measuring payments in arrears…
Wind farm layout optimisation tackles space constraints with Bayesian multi-objective approach.
Statistical inference methods are fundamentally important in machine learning. Most state-of-the-art inference algorithms are variants of Markov chain Monte Carlo (MCMC) or variational inference (VI). However, both methods struggle with limitations in practice: MCMC methods can be computationally demanding; VI methods …
SOBER optimizes and quadrates efficiently in parallel for diverse tasks.
Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathematical aspects of calculation of an optimal renewal tariff. Our motivation comes from two important actuarial tasks, namely a) construction …
Physical systems are modelled and investigated within simulation software in an increasing range of applications. In reality an investigation of the system is often performed by empirical test scenarios which are related to typical situations. Our aim is to derive a method which generates diverse test scenarios each re…
Bayesian optimization adapted for experiments with changing environmental conditions.
New method finds better arbitrage opportunities in AMMs.
Time-limited metaheuristics find near-optimal solutions for constrained portfolio optimisation.
Investigates portfolio optimization with and without gearing constraints.
GACBO optimizes unknown causal graphs with interventions.
The portfolio optimisation problem, first raised by Harry Markowitz in 1952, has been a fundamental and central topic to understanding the stock market and making decisions. There has been plenty of works contributing to development of the mean-variance optimisation (MVO) so far. In this paper, one kind of them, namely…
TSNPE improves SBI efficiency and scalability.
Approximate Bayesian computation (ABC) is a method for Bayesian inference when the likelihood is unavailable but simulating from the model is possible. However, many ABC algorithms require a large number of simulations, which can be costly. To reduce the computational cost, Bayesian optimisation (BO) and surrogate mode…
Deep RL algorithms struggle with noisy rewards in portfolio optimisation.
Bayesian optimization guided by experimenter intuition and beliefs.
Bayesian optimisation (BO) has been a successful approach to optimise functions which are expensive to evaluate and whose observations are noisy. Classical BO algorithms, however, do not account for errors about the location where observations are taken, which is a common issue in problems with physical components. In …
Bayesian optimisation tackles stochastic MPC hyper-parameter tuning.
The paper optimizes air conditioning setpoints using machine learning.
DECAF optimizes molecular graphs for ensemble properties, improving drug design accuracy.
Bayesian Optimisation (BO) is a technique used in optimising a -dimensional function which is typically expensive to evaluate. While there have been many successes for BO in low dimensions, scaling it to high dimensions has been notoriously difficult. Existing literature on the topic are under very restrictive setti…
In-BO optimizes complex constrained domains using SIn-GP surrogate models.
Policy gradient methods ignore the potential value of adjusting environment variables: unobservable state features that are randomly determined by the environment in a physical setting, but are controllable in a simulator. This can lead to slow learning, or convergence to suboptimal policies, if the environment variabl…
In the automation of many kinds of processes, the observable outcome can often be described as the combined effect of an entire sequence of actions, or controls, applied throughout its execution. In these cases, strategies to optimise control policies for individual stages of the process might not be applicable, and in…
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial and final time, we optimise our cost function given the prices of a finite number…
We introduce a novel paradigm for learning non-parametric drift and diffusion functions for stochastic differential equation (SDE). The proposed model learns to simulate path distributions that match observations with non-uniform time increments and arbitrary sparseness, which is in contrast with gradient matching that…
Applying causal inference models in areas such as economics, healthcare and marketing receives great interest from the machine learning community. In particular, estimating the individual-treatment-effect (ITE) in settings such as precision medicine and targeted advertising has peaked in application. Optimising this IT…
This paper explores optimising acquisition functions in Bayesian optimisation.
Urbanism is no longer planned on paper thanks to powerful models and 3D simulation platforms. However, current work is not open to the public and lacks an optimisation agent that could help in decision making. This paper describes the creation of an open-source simulation based on an existing Dutch liveability score wi…
New framework reduces cost of financial option pricing simulations on FPGAs.
New framework converts multi-objective to single-objective optimisation.
This paper is on Bayesian inference for parametric statistical models that are defined by a stochastic simulator which specifies how data is generated. Exact sampling is then possible but evaluating the likelihood function is typically prohibitively expensive. Approximate Bayesian Computation (ABC) is a framework to pe…
Unified Bayesian Optimisation for mixed variables improves performance.
Enhances weak lensing inference with neural summaries.
A new method learns priors for Bayesian optimisation to improve performance.
Paper uses variational inference to estimate nonlinear models.
Novel framework optimizes experiments for implicit models using mutual information.