Sharp large deviations and Gibbs conditioning for portfolio credit risk models.
problem Analyzing the risk of default in financial portfolios with dependent factors.
method Sharp large deviation estimates and conditional Bahadur-Rao estimates for threshold models with diverging latent factors.
result Conditioned on a large exceedance event, default indicators become asymptotically i.i.d., and loss-given-default is exponentially tilted.
Iterative tilting fine-tunes diffusion models for reward-tilted distributions.
problem Fine-tuning diffusion models for reward-tilted distributions.
method Decomposes large reward tilts into smaller, tractable tilts via first-order Taylor expansion, avoiding backpropagation.
result Validated on a two-dimensional Gaussian mixture, achieving exact closed-form solutions.
The paper examines the tilted empirical risk's generalization and robustness under negative tilt.
problem The generalization error of machine learning algorithms under negative tilt.
method Uniform and information-theoretic bounds on the tilted generalization error under negative tilt.
result The tilted empirical risk's generalization error has a convergence rate of \(O(n^{-ε/(1+ε)})\).
The study reveals the efficiency of sampling from tilted distributions.
problem Sampling from a tilted distribution of an unknown underlying distribution.
method Self-normalized importance sampling to characterize accuracy.
result Polynomial vs super-polynomial sample complexity for bounded vs unbounded distributions.
We study tilting subweibull distributions and their tail behavior.
problem Understanding tail behavior of subweibull distributions.
method Alternative characterizations and conditions for tail behavior preservation.
result Conditions for tail behavior preservation after exponential tilting.
This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall generally improves performance ov…
This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default under multi-factor models. Due to the amount of the portfolio, the heterogeneous effect of obligors, and the phenomena that default events are rare and mutually dependent, it is…
Researchers develop a method to generate diffusion-based samples from a tilted distribution.
problem Generating samples from a distribution that has been tilted by a parameter.
method Developed a plug-in estimator and proved Wasserstein bounds and TV-accuracy under certain conditions.
result The method is minimax-optimal and can be applied in various domains like finance and climate modeling.
Optimizes antenna tilt for better QoS in cellular networks.
problem Hard to learn optimal antenna tilt policies in real networks due to risk and simulation gap.
method Uses off-policy Contextual Multi-Armed-Bandit (CMAB) techniques to learn from existing data.
result Trained policies show consistent improvements over existing logging policies.
Mutation graph of support τ-tilting modules over skew-gentle algebras is connected.
problem Understanding the structure of support τ-tilting modules over skew-gentle algebras.
method Introducing mutation of maximal rigid objects and using exchange triangles to define mutations of support τ-tilting modules.
result The mutation graph of support τ-tilting modules over a skew-gentle algebra is connected.
Extends ERM with exponential tilting for improved machine learning performance.
problem Improving machine learning models by adjusting loss weights for fairness and robustness.
method Tilted Empirical Risk Minimization (TERM) using exponential tilting.
result TERM can outperform traditional ERM and deliver competitive performance with state-of-the-art methods.
Online TERM improves robustness and fairness in streaming data.
problem Streaming data's lack of worst-case fairness and robustness in ERM.
method Proposes an online TERM formulation to balance average-case accuracy with worst-case fairness and robustness.
result Negative tilting effectively suppresses outlier influence, positive tilting improves recall with minimal precision loss.
Proposes a new factor to improve BAB strategies by recognizing bad-beta assets.
problem Investors often misprice assets based on beta, ignoring bad-beta.
method Double-sorting on beta and bad-beta to create a new factor.
result The Betting Against Bad Beta factor improves BAB strategies.
A scalable algorithm for sampling and fine-tuning models using Tilt Matching.
problem Efficient sampling and fine-tuning of generative models.
method Tilt Matching, arising from a dynamical equation, minimizes variance and inherits regularity from stochastic interpolants.
result Empirically verified to be efficient and highly scalable, providing state-of-the-art results.
TILT improves target domain performance by penalizing an auxiliary component on unlabeled target inputs.
problem Improving performance on target domain under covariate shift.
method TILT uses a novel objective function to decompose the source predictor and penalize an auxiliary component on unlabeled target inputs.
result TILT improves target domain performance over source-only training and other baselines.
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a risk measure that accounts for this bias. Studies of real portfolios, in asset-by…
The study compares different models for predicting factor premiums and finds neural networks perform better but have unstable weights.
problem Predicting and timing the CMA factor premium using machine learning models.
method Compared regression models (OLS, Ridge, Random Forest, Neural Network) and tested factor timing strategies.
result Neural networks outperform linear models in explaining factor premium variance, but weights are unstable.
New optimization method improves generalization across various tasks.
problem Improving zeroth-order optimization for better generalization.
method Exponential tilting objective to connect zeroth-order optimization with sharpness-aware minimization.
result Achieves better generalization compared to vanilla zeroth-order baselines.
Consider semi-supervised learning for classification, where both labeled and unlabeled data are available for training. The goal is to exploit both datasets to achieve higher prediction accuracy than just using labeled data alone. We develop a semi-supervised logistic learning method based on exponential tilt mixture m…
ETM models improve efficiency in semi-supervised logistic regression.
problem Improving efficiency in logistic regression with limited labeled data.
method Developed exponential tilt mixture (ETM) models for semi-supervised estimation.
result ETM-based estimation demonstrates improved efficiency over supervised logistic regression.
We study the existence problem for tilted unduloids in H2×R. These are singly periodic annuli with constant mean curvature H>1/2 in H2×R, and the periodicity of these surfaces is with respect to a discrete group of translations along a geodesic that is neither verti…
Paper provides estimates for varifolds with critical mean curvature.
problem Estimating tilt-excess on varifolds with critical mean curvature.
method Generalizing Lipschitz approximation and Sobolev-Poincaré estimates to almost-integral rectifiable varifolds.
result VMO-type estimates for quadratic tilt-excess on varifolds with critical mean curvature.
Develops conformal Bayes for two-sided censored Gaussian regression under label shift.
problem Prediction under label shift with censored responses.
method Combines posterior predictive tilting with weighted conformal calibration.
result Restores marginal coverage with smaller prediction sets.
New method accelerates diffusion models for broader target distributions.
problem Current diffusion models have limited acceleration for certain target distributions.
method Developed a novel accelerated stochastic DDPM sampler.
result Achieved accelerated performance for three broad distribution classes.
Study addresses RTB model performance drops due to distribution shifts.
problem Distribution shifts between training and target environments in RTB markets.
method Applies Exponential Tilt Reweighting Alignment (ExTRA) algorithm to estimate and correct model weights.
result Demonstrates improved RTB model performance using ExTRA algorithm.
Reweighting training data to better represent new tasks.
problem Deploying machine learning models to new tasks is challenging due to training data distribution.
method Formulate an exponential tilt distribution shift model and learn train data importance weights to minimize KL divergence.
result The learned train data weights improve target performance evaluation, fine-tuning, and model selection.
This paper concerns integral varifolds of arbitrary dimension in an open subset of Euclidean space with its first variation given by either a Radon measure or a function in some Lebesgue space. Pointwise decay results for the quadratic tilt-excess are established for those varifolds. The results are optimal in terms of…
Unified framework TERM improves fairness and robustness.
problem Outliers and subgroup fairness in empirical risk minimization.
method Unified framework TERM with a hyperparameter tilt.
result TERM improves fairness and robustness.
DTM improves dLLM fine-tuning stability and performance.
problem Intractable sequence-level marginal likelihoods for masked diffusion models.
method Discrete Tilt Matching (DTM) recasts dLLM fine-tuning as state-level matching of local unmasking posteriors under reward tilting.
result DTM yields strong gains on Sudoku and Countdown while remaining competitive on MATH500 and GSM8K.
Parameters defined via General Estimating Equations (GEE) can be estimated by maximizing the Empirical Likelihood (EL). Newey and Smith (2004) have recently shown that this EL estimator exhibits desirable higher-order asymptotic properties, namely, that its O(n^-1) bias is small and that bias-corrected EL is higher-ord…
Parameters defined via general estimating equations (GEE) can be estimated by maximizing the empirical likelihood (EL). Newey and Smith [Econometrica 72 (2004) 219--255] have recently shown that this EL estimator exhibits desirable higher-order asymptotic properties, namely, that its O(n−1) bias is small and that …
Existence of Q-processes for Brownian motion on hyperbolic spaces with Poissonian potentials shown.
problem Existence of path limits (Q-processes) for Brownian motion on hyperbolic spaces with Poissonian potentials.
method Analysis of stationary random potentials with spectral and sup norm bounds, and use of foliated space defined by the point process.
result Existence of Q-processes for Brownian motion on hyperbolic spaces with Poissonian potentials shown.
Proves spacetime positive mass theorem for spin initial data sets with arbitrary ends.
problem Proving the spacetime positive mass theorem for specific spacetime configurations.
method Solving a mixed boundary value problem for the Dirac-Witten operator with a Callias potential.
result Established spacetime positive mass theorem for asymptotically flat spin initial data sets with arbitrary ends.
We give a diagrammatic presentation of the category of Uq(sl2)-tilting modules T for q being a root of unity and introduce a grading on T. This grading is a "root of unity phenomenon" and might lead to new insights about link and 3-manifold invariants deduced from $…
FEM improves attention mechanisms by applying value-driven log-linear tilts.
problem Standard attention mechanisms read via convex average, limiting channel-wise selection.
method Free Energy Mixer (FEM) applies a value-driven, per-channel log-linear tilt to a fast prior over indices.
result FEM outperforms strong baselines on NLP, vision, and time-series tasks.
We construct tilting modules over Jacobian algebras arising from knots. To a two-bridge knot L[a1,…,an], we associate a quiver Q with potential and its Jacobian algebra A. We construct a family of canonical indecomposable A-modules M(i), each supported on a different specific subquiver Q(i) of Q. E…
This paper concerns integral varifolds of arbitrary dimension in an open subset of Euclidean space satisfying integrability conditions on their first variation. Firstly, the study of pointwise power decay rates almost everywhere of the quadratic tilt-excess is completed by establishing the precise decay rate for two-di…
Method adapts frozen models for few-shot tasks without training.
problem Deployment constraints limit model updates, necessitating new adaptation methods.
method Exponential tilting of latent distribution for inference.
result Method outperforms parameter-update methods across benchmarks.
The study analyzes how neural reward models learn features for policy optimization in a Gaussian single-index model.
problem Reward modeling in policy optimization and its impact on downstream value.
method Two-stage neural reward model: first learns hidden direction, then fits readout layer.
result For any feature-learning temperature above a dimension-free threshold, a constant fraction of neurons recover the hidden direction.
Unified framework for training diffusion and flow models to sample from target distributions.
problem Training diffusion and flow models to sample from target distributions defined by exponential tilting.
method Unified framework combining stochastic optimal control and non-equilibrium thermodynamics perspectives.
result Unified bias-variance decompositions and theoretical support for adjoint-based methods.
New method improves posterior sampling for complex data models.
problem Sampling from posterior distributions in high-dimensional data.
method Tilted transport technique combining denoising oracle and log-likelihood.
result Boosted posterior is strongly log-concave, facilitating easier sampling.
We prove existence of compact spacelike hypersurfaces with prescribed k - curvature in de Sitter space, where the prescription function depends on both space and the tilt function.
New method for Bayesian inference of Lévy-driven SDEs with jumps.
problem Bayesian inference for Lévy-driven SDEs is challenging due to discontinuities and heavy tails.
method Neural exponential tilting framework for variational inference.
result Accurately captures jump dynamics and reliable posterior inference in heavy-tailed regimes.
We prove a Gamma-convergence result for a family of bending energies defined on smooth surfaces in R3 equipped with a director field. The energies strongly penalize the deviation of the director from the surface unit normal and control the derivatives of the director. Such type of energies for example arise…
Study tackles criterion collapse in learning criteria, showing conditions for loss minimization.
problem Criterion collapse in optimization, focusing on error probability minimizers.
method Analyzes various learning criteria, including DRO, OCE risks, and non-monotonic criteria.
result Non-monotonic criteria can avoid collapse, while monotonic ones cannot.
Develops theory for stable capillary minimal hypersurfaces in half-space.
problem Regularity and compactness of stable capillary minimal hypersurfaces.
method Integral curvature estimate and tilt excess function.
result Generalized Bernstein theorem for stable capillary minimal hypersurfaces.
In this work a local inequality is provided which bounds the distance of an integral varifold from a multivalued plane (height) by its tilt and mean curvature. The bounds obtained for the exponents of the Lebesgue spaces involved are shown to be sharp.
New theorem for spacetime mass in noncompact regions.
problem Mass in noncompact spacetime regions.
method Developed mass type invariant and boundary conditions; proof based on spinors.
result Proved positive mass theorem for noncompact boundaries.