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.
Fixed-parameter tractability of private synthetic data generation
Unified tractability conditions for various compositional inference queries.
In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm for approximating the value of a discrete and continuous time optimal stopping problem. We prove that in the discrete case the WSM algorithm leads to semi-tractability of the corresponding optimal problems in the sense that its complexity is bounded …
We consider the problem of transforming samples from one continuous source distribution into samples from another target distribution. We demonstrate with optimal transport theory that when the source distribution can be easily sampled from and the target distribution is log-concave, this can be tractably solved with c…
Survey of tractable nonconvex problems using symmetry.
Many polynomial invariants of knots and links, including the Jones and HOMFLY-PT polynomials, are widely used in practice but #P-hard to compute. It was shown by Makowsky in 2001 that computing the Jones polynomial is fixed-parameter tractable in the treewidth of the link diagram, but the parameterised complexity of th…
Group-based sparsity models are proven instrumental in linear regression problems for recovering signals from much fewer measurements than standard compressive sensing. The main promise of these models is the recovery of "interpretable" signals through the identification of their constituent groups. In this paper, we e…
A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The computational tractable formulation expresses the non-convex optimization problem as transformations of Euclidean conditional expectation. …
Unified framework for tractable inference scenarios in machine learning models.
Develops a computationally tractable high-dimensional differential privacy estimator.
New bandit algorithm works without realizability assumption.
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.
AST provides a method to validate safe autonomy without unsafe simplifications.
A central problem in machine learning involves modeling complex data-sets using highly flexible families of probability distributions in which learning, sampling, inference, and evaluation are still analytically or computationally tractable. Here, we develop an approach that simultaneously achieves both flexibility and…
Study on teaching complexity in graphs, proving hardness and tractability.
PNCs balance tractability and expressiveness in probabilistic modeling.
There has been significant interest in the use of fully-connected graphical models and deep-structured graphical models for the purpose of structured inference. However, fully-connected and deep-structured graphical models have been largely explored independently, leaving the unification of these two concepts ripe for …
Thompson sampling has emerged as an effective heuristic for a broad range of online decision problems. In its basic form, the algorithm requires computing and sampling from a posterior distribution over models, which is tractable only for simple special cases. This paper develops ensemble sampling, which aims to approx…
The paper develops sum-of-squares relaxations for computing -divergences.
Despite the fundamental nature of the inhomogeneous Poisson process in the theory and application of stochastic processes, and its attractive generalizations (e.g. Cox process), few tractable nonparametric modeling approaches of intensity functions exist, especially when observed points lie in a high-dimensional space.…
Active learning methods, like uncertainty sampling, combined with probabilistic prediction techniques have achieved success in various problems like image classification and text classification. For more complex multivariate prediction tasks, the relationships between labels play an important role in designing structur…
We derive computationally tractable methods to select a small subset of experiment settings from a large pool of given design points. The primary focus is on linear regression models, while the technique extends to generalized linear models and Delta's method (estimating functions of linear regression models) as well. …
Voltage control plays an important role in the operation of electricity distribution networks, especially with high penetration of distributed energy resources. These resources introduce significant and fast varying uncertainties. In this paper, we focus on reactive power compensation to control voltage in the presence…
Optimizes liquidity provision intervals for profitable AMM participation.
Hybrid model combines continuous and tractable probabilistic models.
Simplifies inference for simulators with or without tractable likelihoods.
We develop a tractable and flexible approach for incorporating side information into dynamic optimization under uncertainty. The proposed framework uses predictive machine learning methods (such as -nearest neighbors, kernel regression, and random forests) to weight the relative importance of various data-driven unc…
New tractable density models from squaring neural networks.
In graph theory, Courcelle's theorem essentially states that, if an algorithmic problem can be formulated in monadic second-order logic, then it can be solved in linear time for graphs of bounded treewidth. We prove such a metatheorem for a general class of triangulations of arbitrary fixed dimension d, including all t…
We study the fundamental tradeoffs between statistical accuracy and computational tractability in the analysis of high dimensional heterogeneous data. As examples, we study sparse Gaussian mixture model, mixture of sparse linear regressions, and sparse phase retrieval model. For these models, we exploit an oracle-based…
OMLE combines optimism and MLE for efficient sequential decision making.
Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach based on a maximum regret function. Although the latter problems are NP-hard in general, we show that tractable inner and outer approximations e…
This paper is concerned with the study of constrained statistical learning problems, the unconstrained version of which are at the core of virtually all of modern information processing. Accounting for constraints, however, is paramount to incorporate prior knowledge and impose desired structural and statistical proper…
Proposes Exogenous Matching for efficient counterfactual estimation.
Incorporating constraints is a major concern in probabilistic machine learning. A wide variety of problems require predictions to be integrated with reasoning about constraints, from modelling routes on maps to approving loan predictions. In the former, we may require the prediction model to respect the presence of phy…
Probabilistic models learned as density estimators can be exploited in representation learning beside being toolboxes used to answer inference queries only. However, how to extract useful representations highly depends on the particular model involved. We argue that tractable inference, i.e. inference that can be compu…
BP fails to find sparsest solution for structured matrices.
We present a novel tractable generative model that extends Sum-Product Networks (SPNs) and significantly boosts their power. We call it Sum-Product-Quotient Networks (SPQNs), whose core concept is to incorporate conditional distributions into the model by direct computation using quotient nodes, e.g. $P(A|B) = \frac{P(…
Optimal Morse matchings reveal essential structures of cell complexes which lead to powerful tools to study discrete geometrical objects, in particular discrete 3-manifolds. However, such matchings are known to be NP-hard to compute on 3-manifolds, through a reduction to the erasability problem. Here, we refine the stu…
Geometric families of low-rank covariances improve flexibility and tractability in high dimensions.
The Schatten quasi-norm was introduced to bridge the gap between the trace norm and rank function. However, existing algorithms are too slow or even impractical for large-scale problems. Motivated by the equivalence relation between the trace norm and its bilinear spectral penalty, we define two tractable Schatten norm…
New approach to convex hulls for low-rank problems.
New method approximates complex kernel norms with random features, making learning tractable.
TRUST improves structure learning with tractable uncertainty.
This is a survey of motivations, constructions and applications of higher prequantum geometry. In section 1 we highlight the open problem of prequantizing local field theory in a local and gauge invariant way, and we survey how a solution to this problem exists in higher differential geometry. In section 2 we survey ex…
Despite widespread interest and practical use, the theoretical properties of random forests are still not well understood. In this paper we contribute to this understanding in two ways. We present a new theoretically tractable variant of random regression forests and prove that our algorithm is consistent. We also prov…
We call an Ising model tractable when it is possible to compute its partition function value (statistical inference) in polynomial time. The tractability also implies an ability to sample configurations of this model in polynomial time. The notion of tractability extends the basic case of planar zero-field Ising models…
Inference and learning of graphical models are both well-studied problems in statistics and machine learning that have found many applications in science and engineering. However, exact inference is intractable in general graphical models, which suggests the problem of seeking the best approximation to a collection of …