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.
The problem of detecting data anomaly is considered. Under the null hypothesis that models anomaly-free data, measurements are assumed to be from an unknown distribution with some authenticated historical samples. Under the composite alternative hypothesis, measurements are from an unknown distribution positive distanc…
When eliciting judgements from humans for an unknown quantity, one often has the choice of making direct-scoring (cardinal) or comparative (ordinal) measurements. In this paper we study the relative merits of either choice, providing empirical and theoretical guidelines for the selection of a measurement scheme. We pro…
Quantum machine learning has received significant attention in recent years, and promising progress has been made in the development of quantum algorithms to speed up traditional machine learning tasks. In this work, however, we focus on investigating the information-theoretic upper bounds of sample complexity - how ma…
The paper analyzes sparse high-dimensional linear regression with random design and unknown error variance, providing adaptiveness and concentration rates.
problem Sparse high-dimensional linear regression with random design and unknown error variance.
method Analysis of posterior concentration rates, employing techniques to address model misspecification.
result Adaptiveness and concentration rates of the posterior for sparse high-dimensional linear regression.
We evaluate the uncertainty quality in neural networks using anomaly detection. We extract uncertainty measures (e.g. entropy) from the predictions of candidate models, use those measures as features for an anomaly detector, and gauge how well the detector differentiates known from unknown classes. We assign higher unc…
We consider the robust phase retrieval problem of recovering the unknown signal from the magnitude-only measurements, where the measurements can be contaminated by both sparse arbitrary corruption and bounded random noise. We propose a new nonconvex algorithm for robust phase retrieval, namely Robust Wirtinger Flow to …
The paper assesses quality measures for machine learning models using cross-validation.
problem Evaluating the accuracy and robustness of quality measures for machine learning models.
method Cross-validation approach to estimate prediction error and quantify explained variation. Confidence bounds and local quality measures derived from residuals.
result The reliability and robustness of quality measures are assessed through numerical examples and confidence bounds.
We introduce the SaaS Algorithm for semi-supervised learning, which uses learning speed during stochastic gradient descent in a deep neural network to measure the quality of an iterative estimate of the posterior probability of unknown labels. Training speed in supervised learning correlates strongly with the percentag…
This paper analyzes DONE, an online optimization algorithm that iteratively minimizes an unknown function based on costly and noisy measurements. The algorithm maintains a surrogate of the unknown function in the form of a random Fourier expansion (RFE). The surrogate is updated whenever a new measurement is available,…
The theory of Compressed Sensing (CS) asserts that an unknown signal x∈Rp can be accurately recovered from an underdetermined set of n linear measurements with n≪p, provided that x is sufficiently sparse. However, in applications, the degree of sparsity ∥x∥0 is typically unknown, and the pro…
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is evaluated on the estimated mixture instead of the (unknown) true one, then it is impor…
Measurement error in the observed values of the variables can greatly change the output of various causal discovery methods. This problem has received much attention in multiple fields, but it is not clear to what extent the causal model for the measurement-error-free variables can be identified in the presence of meas…
In "Unlabeled Sensing", one observes a set of linear measurements of an underlying signal with incomplete or missing information about their ordering, which can be modeled in terms of an unknown permutation. Previous work on the case of a single noisy measurement vector has exposed two main challenges: 1) a high requir…
The problem of estimating an unknown discrete distribution from its samples is a fundamental tenet of statistical learning. Over the past decade, it attracted significant research effort and has been solved for a variety of divergence measures. Surprisingly, an equally important problem, estimating an unknown Markov ch…
In the theory of compressed sensing (CS), the sparsity ||x||_0 of the unknown signal x\in\R^p is commonly assumed to be a known parameter. However, it is typically unknown in practice. Due to the fact that many aspects of CS depend on knowing ||x||_0, it is important to estimate this parameter in a data-driven way. A s…