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.
Given two sets of variables, derived from a common set of samples, sparse Canonical Correlation Analysis (CCA) seeks linear combinations of a small number of variables in each set, such that the induced canonical variables are maximally correlated. Sparse CCA is NP-hard. We propose a novel combinatorial algorithm for s…
We present a novel method for exact hierarchical sparse polynomial regression. Our regressor is that degree r polynomial which depends on at most k inputs, counting at most ℓ monomial terms, which minimizes the sum of the squares of its prediction errors. The previous hierarchical sparse specification aligns w…
EASIER-net uses sparse networks to improve prediction accuracy for high-dimensional data.
problem Limited use of neural networks in high-dimensional data with small samples.
method Ensemble by Averaging Sparse-Input Hierarchical networks (EASIER-net) with small modifications to neural network architecture and training procedure.
result EASIER-net achieves higher prediction accuracy than off-the-shelf methods on average.
Applying machine learning techniques to the quickly growing data in science and industry requires highly-scalable algorithms. Large datasets are most commonly processed "data parallel" distributed across many nodes. Each node's contribution to the overall gradient is summed using a global allreduce. This allreduce is t…
While most classical approaches to Granger causality detection repose upon linear time series assumptions, many interactions in neuroscience and economics applications are nonlinear. We develop an approach to nonlinear Granger causality detection using multilayer perceptrons where the input to the network is the past t…
The sparse pseudo-input Gaussian process (SPGP) is a new approximation method for speeding up GP regression in the case of a large number of data points N. The approximation is controlled by the gradient optimization of a small set of M `pseudo-inputs', thereby reducing complexity from N^3 to NM^2. One limitation of th…
The class of Gaussian Process (GP) methods for Temporal Difference learning has shown promise for data-efficient model-free Reinforcement Learning. In this paper, we consider a recent variant of the GP-SARSA algorithm, called Sparse Pseudo-input Gaussian Process SARSA (SPGP-SARSA), and derive recursive formulas for its…
New DRGP models improve prediction accuracy for sequential data.
problem Modeling sequential data for applications like autonomous driving.
method Introduces Deep recurrent Gaussian process (DRGP) models based on Sparse Spectrum Gaussian process (SSGP) and variational Sparse Spectrum Gaussian process (VSSGP).
result Improves prediction accuracy compared to current state of the art methods.
Neural networks are usually not the tool of choice for nonparametric high-dimensional problems where the number of input features is much larger than the number of observations. Though neural networks can approximate complex multivariate functions, they generally require a large number of training observations to obtai…
Standard sparse pseudo-input approximations to the Gaussian process (GP) cannot handle complex functions well. Sparse spectrum alternatives attempt to answer this but are known to over-fit. We suggest the use of variational inference for the sparse spectrum approximation to avoid both issues. We model the covariance fu…
We consider the following multi-component sparse PCA problem: given a set of data points, we seek to extract a small number of sparse components with disjoint supports that jointly capture the maximum possible variance. These components can be computed one by one, repeatedly solving the single-component problem and def…
Sparse coding is an unsupervised learning algorithm that learns a succinct high-level representation of the inputs given only unlabeled data; it represents each input as a sparse linear combination of a set of basis functions. Originally applied to modeling the human visual cortex, sparse coding has also been shown to …
Kernel regression is a popular non-parametric fitting technique. It aims at learning a function which estimates the targets for test inputs as precise as possible. Generally, the function value for a test input is estimated by a weighted average of the surrounding training examples. The weights are typically computed b…
Sparse coding is a crucial subroutine in algorithms for various signal processing, deep learning, and other machine learning applications. The central goal is to learn an overcomplete dictionary that can sparsely represent a given input dataset. However, a key challenge is that storage, transmission, and processing of …
Sparse principal component analysis (SPCA) has emerged as a powerful technique for modern data analysis, providing improved interpretation of low-rank structures by identifying localized spatial structures in the data and disambiguating between distinct time scales. We demonstrate a robust and scalable SPCA algorithm b…
SGM combines deep learning and planning for robust long-horizon tasks.
problem Combining deep learning and planning for robust long-horizon tasks.
method Sparse Graphical Memory (SGM) that stores states and feasible transitions in a sparse memory, aggregating states according to a two-way consistency objective.
result SGM significantly outperforms current state of the art methods on long horizon, sparse-reward visual navigation tasks.