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.
We outline new approaches to incorporate ideas from deep learning into wave-based least-squares imaging. The aim, and main contribution of this work, is the combination of handcrafted constraints with deep convolutional neural networks, as a way to harness their remarkable ease of generating natural images. The mathema…
We investigate multiple testing and variable selection using the Least Angle Regression (LARS) algorithm in high dimensions under the assumption of Gaussian noise. LARS is known to produce a piecewise affine solution path with change points referred to as the knots of the LARS path. The key to our results is an express…
Consider the problem of a controller sampling sequentially from a finite number of N≥2 populations, specified by random variables Xki, i=1,…,N, and k=1,2,…; where Xki denotes the outcome from population i the kth time it is sampled. It is assumed that for each fixed i, $\{…
Solves inventory control with unknown demand trend using singular control.
problem Optimally managing inventory with an unknown demand trend.
method Formulates as a stochastic control problem under partial observation, solves equivalent separated problem using transition between formulations, and applies viscosity theory.
result Constructs an optimal control rule and shows bounded Lipschitz continuity of free boundaries.
The classic N p chart gives a signal if the number of successes in a sequence of inde- pendent binary variables exceeds a control limit. Motivated by engineering applications in industrial image processing and, to some extent, financial statistics, we study a simple modification of this chart, which uses only the most …
In this paper, we propose a design of a model-free networked controller for a nonlinear plant whose mathematical model is unknown. In a networked control system, the controller and plant are located away from each other and exchange data over a network, which causes network delays that may fluctuate randomly due to net…
We consider the \mnk{classical} problem of a controller activating (or sampling) sequentially from a finite number of N≥2 populations, specified by unknown distributions. Over some time horizon, at each time n=1,2,…, the controller wishes to select a population to sample, with the goal of sampling fro…
We consider the problem of controlling an unknown linear dynamical system in the presence of (nonstochastic) adversarial perturbations and adversarial convex loss functions. In contrast to classical control, the a priori determination of an optimal controller here is hindered by the latter's dependence on the yet unkno…
This paper studies simultaneous feature selection and extraction in supervised and unsupervised learning. We propose and investigate selective reduced rank regression for constructing optimal explanatory factors from a parsimonious subset of input features. The proposed estimators enjoy sharp oracle inequalities, and w…
Finding an embedding space for a linear approximation of a nonlinear dynamical system enables efficient system identification and control synthesis. The Koopman operator theory lays the foundation for identifying the nonlinear-to-linear coordinate transformations with data-driven methods. Recently, researchers have pro…
Despite significant effort in understanding complex systems (CS), we lack a theory for modeling, inference, analysis and efficient control of time-varying complex networks (TVCNs) in uncertain environments. From brain activity dynamics to microbiome, and even chromatin interactions within the genome architecture, many …
We consider the problem of controlling a possibly unknown linear dynamical system with adversarial perturbations, adversarially chosen convex loss functions, and partially observed states, known as non-stochastic control. We introduce a controller parametrization based on the denoised observations, and prove that apply…
We consider the problem of variable selection in high-dimensional statistical models where the goal is to report a set of variables, out of many predictors X1,…,Xp, that are relevant to a response of interest. For linear high-dimensional model, where the number of parameters exceeds the number of samples $(p…
This article is concerned with learning and stochastic control in physical systems which contain unknown input signals. These unknown signals are modeled as Gaussian processes (GP) with certain parametrized covariance structures. The resulting latent force models (LFMs) can be seen as hybrid models that contain a first…
In this paper, we propose a new estimation procedure for discovering the structure of Gaussian Markov random fields (MRFs) with false discovery rate (FDR) control, making use of the sorted l1-norm (SL1) regularization. A Gaussian MRF is an acyclic graph representing a multivariate Gaussian distribution, where nodes are…
The identification of sources of advection-diffusion transport is based usually on solving complex ill-posed inverse models against the available state- variable data records. However, if there are several sources with different locations and strengths, the data records represent mixtures rather than the separate influ…
This paper extends transfer learning for linear regression to uncertain domain information.
problem Transfer learning for linear regression with uncertain domain information.
method A Dirichlet process is used to infer latent domain information from regression coefficients. A novel framework considers the joint distribution of variables.
result The proposed method controls bias better than previous pseudo-labelling approaches.
Safety filter for unknown discrete-time systems with learned models and noise covariance.
problem Ensuring safety for unknown discrete-time linear systems with Gaussian noise.
method Develops a learning-based safety filter using empirical model and noise covariance, optimizing control actions to stay within safety constraints.
result Minimally modifies nominal control actions to ensure safety with high probability, tightening constraints as more data is collected.
Proposes a new model for high-dimensional data analysis with unknown link function.
problem Estimating link function, component functions, and variable interactions in high-dimensional data.
method Generalized Sparse Additive Model with Unknown Link Function (GSAMUL) using B-spline basis and MLP network for link estimation, with ℓ2,1-norm regularizer for variable selection.
result Can realize both variable selection and hidden interaction.
Pronounced variability due to the growth of renewable energy sources, flexible loads, and distributed generation is challenging residential distribution systems. This context, motivates well fast, efficient, and robust reactive power control. Real-time optimal reactive power control is possible in theory by solving a n…
Traditional model-based RL relies on hand-specified or learned models of transition dynamics of the environment. These methods are sample efficient and facilitate learning in the real world but fail to generalize to subtle variations in the underlying dynamics, e.g., due to differences in mass, friction, or actuators a…