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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.

168,786 papers · 148 categories

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1.7%3.4%5.1%6.8% · Feb 202119922001200920172026
48 results for tracking regret

This paper describes a new online convex optimization method which incorporates a family of candidate dynamical models and establishes novel tracking regret bounds that scale with the comparator's deviation from the best dynamical model in this family. Previous online optimization methods are designed to have a total a…

2013-01-07abs ↗pdf ↗

Study online learning with delays and capacity constraints, achieving optimal regret bounds.

problem Online learning with delays and capacity constraints.
method Novel scheduling and preemptive techniques, matching upper and lower bounds.
result Achieves optimal regret bounds across all capacity levels.

New framework shifts bandit algorithms from expected reward to preference metrics, optimizing mixtures of arms.

problem Traditional bandit algorithms focus on expected rewards, ignoring variability and risk.
method Introduces preference metrics (PMs) and designs algorithms to optimize mixtures of arms.
result Optimal policy selects mixtures of arms based on specific weights, not a single best arm.

New algorithms reduce online learning regret by tracking gradient variation.

problem Online learning with unconstrained losses and gradient variation.
method Parameter-free algorithms with adaptive updates for LL-smooth convex losses.
result Regret bounds of order O~(uVT(u)+Lu2+G4)\widetilde{O}(\|u\|\sqrt{V_T(u)} + L\|u\|^2+G^4) achieved without prior knowledge of comparator norm or Lipschitz constant.

New technique tracks geometric properties to correct base algorithms' poor performance.

problem Discrepancy between empirical performance and theoretical regret bounds in linear bandits.
method Data-driven technique that incorporates geometric information to formulate frequentist regret bound.
result Course-corrected algorithms achieve minimax optimal regret of ildeO(dT) ilde{\mathcal{O}}(d\sqrt{T}).

We use online convex optimization (OCO) for setpoint tracking with uncertain, flexible loads. We consider full feedback from the loads, bandit feedback, and two intermediate types of feedback: partial bandit where a subset of the loads are individually observed and the rest are observed in aggregate, and Bernoulli feed…

2017-09-12abs ↗pdf ↗

The paper optimizes sample allocation for multiple distributions using various distance measures.

problem Learning multiple discrete distributions uniformly well in multiple distance metrics.
method Proposes a general optimistic tracking algorithm and derives bounds for four distance measures.
result Unified sample allocation schemes for four distance measures are presented and analyzed.

Study on tracking preference shifts in dueling bandits problems.

problem Tracking significant preference shifts in dueling bandits problems.
method Analysis of dueling bandits with distribution shifts, focusing on significant shifts (Suk and Kpotufe, 2022).
result Design of adaptive algorithms with O(KildeLT)O(\sqrt{K ilde{L}T}) dynamic regret for certain preference distribution classes.

Paper presents an algorithm for optimal regret in communicating Markov decision processes.

problem Achieving optimal regret in Markov decision processes with a communicating assumption.
method The algorithm explicitly tracks the constant K(M) to learn optimally, balancing exploration, co-exploration, and exploitation.
result The algorithm achieves asymptotically optimal regret K(M)log(T)+o(log(T))K(M) \log(T) + \mathrm{o}(\log(T)) for communicating Markov decision processes.

A new method for distributed optimization with noisy function evaluations.

problem Distributed optimization with noisy function evaluations.
method Zero-order one-point estimate with distributed stochastic gradient-tracking technique.
result The method converges almost surely to the optimum with a rate of O(1k)O(\frac{1}{\sqrt{k}}).

New algorithms minimize dynamic regret in non-stationary online learning.

problem Universal dynamic regret minimization under exp-concave and smooth losses.
method Strongly Adaptive algorithms with a path variational based on second order differences of the comparator sequence.
result Achieve a dynamic regret of ildeO(d2n1/5Cn2/5d2) ilde O(d^2 n^{1/5} C_n^{2/5} \vee d^2), optimal modulo dependencies.

Optimizes decisions in time-varying distributions using online stochastic methods and Wasserstein distance.

problem Optimizing decisions in time-varying distributions using Wasserstein distance.
method Online proximal-gradient method, exact penalty method, constraint-tightening approach.
result Dynamic regret bounds for tracking and estimation error.

Near-optimal per-action regret bounds for sleeping bandits are derived.

problem Optimizing performance in sleeping bandits where arms and losses are chosen by an adversary.
method Directly minimizing per-action regret using generalized versions of EXP3, EXP3-IX, and FTRL with Tsallis entropy.
result Near-optimal bounds of order O(TAlnK)O(\sqrt{TA\ln{K}}) and O(TAK)O(\sqrt{T\sqrt{AK}}) are obtained.

New algorithms achieve optimal regret in sliding window model with limited memory.

problem Experts problem in the sliding window model with limited information.
method 2 queries, polylog(nT) memory, exponential improvement on memory.
result Achieve optimal regret of sqrt(nW)polylog(nT) with 2 queries and polylog(nT) memory.

New theorems show agents need specific internal structures to perform well under uncertainty.

problem How do agents need to be structured to perform well under uncertainty?
method Proved selection theorems showing strong task performance forces specific internal structures.
result Strong task performance forces world models, belief-like memory, and persistent regime-tracking variables.

We consider a variation on the problem of prediction with expert advice, where new forecasters that were unknown until then may appear at each round. As often in prediction with expert advice, designing an algorithm that achieves near-optimal regret guarantees is straightforward, using aggregation of experts. However, …

2017-08-31abs ↗pdf ↗

We propose a computationally efficient random walk on a convex body which rapidly mixes and closely tracks a time-varying log-concave distribution. We develop general theoretical guarantees on the required number of steps; this number can be calculated on the fly according to the distance from and the shape of the next…

2013-09-23abs ↗pdf ↗

Cascading chains of events are a salient feature of many real-world social, biological, and financial networks. In social networks, social reciprocity accounts for retaliations in gang interactions, proxy wars in nation-state conflicts, or Internet memes shared via social media. Neuron spikes stimulate or inhibit spike…

2014-08-29abs ↗pdf ↗

New method tracks significant shifts in nonparametric bandits.

problem Tracking significant changes in nonparametric contextual bandits.
method Proposed a notion of 'experienced significant shifts' to adapt to minimax rate without knowledge of change parameters.
result Experienced significant shifts count fewer changes than traditional metrics, leading to an adaptive algorithm.

In this paper, we study online convex optimization in dynamic environments, and aim to bound the dynamic regret with respect to any sequence of comparators. Existing work have shown that online gradient descent enjoys an O(T(1+PT))O(\sqrt{T}(1+P_T)) dynamic regret, where TT is the number of iterations and PTP_T is the path-le…

2018-10-25abs ↗pdf ↗

PCGS-TF uses a Transformer to adaptively control expert switching in non-stationary environments.

problem Static regret is insufficient for strictly online prediction in non-stationary settings.
method Policy-Controlled Generalized Share (PCGS) with a Transformer as an update controller.
result PCGS-TF achieves the lowest dynamic regret in non-stationary families and expert pools.

New algorithm reduces regret for many bandit algorithms with logarithmic dependence on number of algorithms.

problem Combining and learning over a large set of adversarial bandit algorithms to track the best one.
method Proposes a new algorithm (CORRAL) with logarithmic regret dependence on the number of base algorithms.
result Achieves optimal switching regret for adversarial linear bandits over a dd-dimensional p\ell_p unit-ball.

Efficient methods reduce projections in non-stationary online learning.

problem Optimizing dynamic and adaptive regret in non-stationary online learning environments.
method Presented efficient methods reducing the number of projections per round from O(logT)O(\log T) to 11.
result Reduced number of projections per round from O(logT)O(\log T) to 11 for optimizing dynamic and adaptive regret.

When dealing with time series with complex non-stationarities, low retrospective regret on individual realizations is a more appropriate goal than low prospective risk in expectation. Online learning algorithms provide powerful guarantees of this form, and have often been proposed for use with non-stationary processes …

2011-03-04abs ↗pdf ↗

New algorithms detect and react to multiple change points in online learning.

problem Learning under multiple change points in environments with unknown and frequent shifts.
method Proposed Anytime Tracking CUSUM (ATC) algorithms that balance detection of significant shifts.
result Properly tuned ATC algorithms achieve nearly minimax-optimal performance.

Paper tackles dynamic label shift in online learning, achieving optimal performance.

problem Adapting to changing class marginals in online supervised and unsupervised learning.
method Develops novel algorithms reducing adaptation to online regression, achieving optimal dynamic regret.
result Achieves superior performance in various online label shift scenarios.

Adaptive beamforming collapses in highly non-stationary environments, but the Universal Switching Beamformer resolves this by dynamically adjusting memory length.

problem Adaptive beamforming performance degrades in highly non-stationary environments.
method Integrating sequential prediction into the beamforming architecture.
result The USB achieves agility and precision in tracking highly non-stationary scenes.

OSAMD adapts online to changing distributions with limited labels.

problem Models struggle with continual distribution shifts and expensive labeling in changing environments.
method Online Active Continual Adaptation with OSAMD, an online teacher-student structure and margin-based criterion.
result OSAMD achieves favorable dynamic regret bounds under changing environments with limited labels.

Causality graphs are routinely estimated in social sciences, natural sciences, and engineering due to their capacity to efficiently represent the spatiotemporal structure of multivariate data sets in a format amenable for human interpretation, forecasting, and anomaly detection. A popular approach to mathematically for…

2019-04-03abs ↗pdf ↗

New method identifies algo trading strategies as liquidity consumers or providers.

problem Determining if algo trading strategies consume or provide liquidity.
method Analyzes trade and price history to classify strategies as liquidity consumers or providers.
result Identifies net liquidity consumption or provision of algo trading strategies.