arXiv research

Study on error rates for approximating rough volatility models.

Study approximates weak error for specific stochastic models with rough and Gaussian mean-reverting volatility.

Study improves weak error estimates for rough volatility models.

Establishes a microstructural foundation for a rough log-normal volatility model.

Improved machine learning models outperform their simpler counterparts by using imperfect labels.

In his seminal work, Schapire (1990) proved that weak classifiers could be improved to achieve arbitrarily high accuracy, but he never implied that a simple majority-vote mechanism could always do the trick. By comparing the asymptotic misclassification error of the majority-vote classifier with the average individual …

Improved volatility models for option pricing with weak error rates.

Study rough volatility models using path-dependent PDEs and fractional Brownian motions.

A network may have weak signals and severe degree heterogeneity, and may be very sparse in one occurrence but very dense in another. SCORE (Jin, 2015) is a recent approach to network community detection. It accommodates severe degree heterogeneity and is adaptive to different levels of sparsity, but its performance for…

New method improves Euler approximation for local stochastic volatility models.

In this paper we consider the cluster estimation problem under the Stochastic Block Model. We show that the semidefinite programming (SDP) formulation for this problem achieves an error rate that decays exponentially in the signal-to-noise ratio. The error bound implies weak recovery in the sparse graph regime with bou…

We study the community detection and recovery problem in partially-labeled stochastic block models (SBM). We develop a fast linearized message-passing algorithm to reconstruct labels for SBM (with $n$ nodes, $k$ blocks, $p,q$ intra and inter block connectivity) when $δ$ proportion of node labels are revealed. The signa…

We revisit resampling procedures for error estimation in binary classification in terms of U-statistics. In particular, we exploit the fact that the error rate estimator involving all learning-testing splits is a U-statistic. Thus, it has minimal variance among all unbiased estimators and is asymptotically normally dis…

We consider the task of training classifiers without labels. We propose a weakly supervised method---adversarial label learning---that trains classifiers to perform well against an adversary that chooses labels for training data. The weak supervision constrains what labels the adversary can choose. The method therefore…

This paper investigates tradeoffs among optimization errors, statistical rates of convergence and the effect of heavy-tailed errors for high-dimensional robust regression with nonconvex regularization. When the additive errors in linear models have only bounded second moment, we show that iteratively reweighted $\ell_1…

New bounds for generative models under weaker assumptions.

The significance of the study of the theoretical and practical properties of AdaBoost is unquestionable, given its simplicity, wide practical use, and effectiveness on real-world datasets. Here we present a few open problems regarding the behavior of "Optimal AdaBoost," a term coined by Rudin, Daubechies, and Schapire …

We introduce cylindrical projections to simulate infinite-dimensional occupation flows of diffusions.

Sharp bounds on weak convergence rate for rough volatility models.

Mixed-SCORE+ improves community detection in weak signal networks.

We characterize the asymptotic performance of nonparametric goodness of fit testing. The exponential decay rate of the type-II error probability is used as the asymptotic performance metric, and a test is optimal if it achieves the maximum rate subject to a constant level constraint on the type-I error probability. We …

Study shows how neural networks generalize with minimal training data.

The paper provides convergence guarantees for multicalibration gradient boosting.

Formalizes weak and strong verification for LLMs, controlling errors without assumptions.

We study generalization properties of weakly supervised learning. That is, learning where only a few "strong" labels (the actual target of our prediction) are present but many more "weak" labels are available. In particular, we show that having access to weak labels can significantly accelerate the learning rate for th…

We study Empirical Risk Minimizers (ERM) and Regularized Empirical Risk Minimizers (RERM) for regression problems with convex and $L$-Lipschitz loss functions. We consider a setting where $|\cO|$ malicious outliers contaminate the labels. In that case, under a local Bernstein condition, we show that the $L_2$-error rat…

Gradient descent on shallow neural networks achieves near-optimal generalization error.

Variable selection for models including interactions between explanatory variables often needs to obey certain hierarchical constraints. The weak or strong structural hierarchy requires that the existence of an interaction term implies at least one or both associated main effects to be present in the model. Lately, thi…

AdaBoost improves binary classification in robust one-bit compressed sensing with adversarial errors.

We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The method is based on linear programming only, so that its numerical implementation is…

The study explores the strengths and weaknesses of models that generalize from weak to strong supervision.

Boosting is a learning scheme that combines weak prediction rules to produce a strong composite estimator, with the underlying intuition that one can obtain accurate prediction rules by combining "rough" ones. Although boosting is proved to be consistent and overfitting-resistant, its numerical convergence rate is rela…

The AdaBoost algorithm was designed to combine many "weak" hypotheses that perform slightly better than random guessing into a "strong" hypothesis that has very low error. We study the rate at which AdaBoost iteratively converges to the minimum of the "exponential loss." Unlike previous work, our proofs do not require …

New theory for PCA under weak latent factors, improving inference and testing.

Develops weak PINNs for efficient manifold solutions of hyperbolic equations.

Large learning rates cause oscillations in NN weights that improve generalization.

This article analyzes the weak error of SGD optimization schemes.

Gradient boosting is a prediction method that iteratively combines weak learners to produce a complex and accurate model. From an optimization point of view, the learning procedure of gradient boosting mimics a gradient descent on a functional variable. This paper proposes to build upon the proximal point algorithm, wh…

Paper proposes an algorithm to recover full supervision from weakly labeled data.

Improved multi-class AdaBoost algorithm with stronger weak learnability condition.

Proposes a constrained labeling method for weakly supervised learning.

This work improves trace norm regularization for multi-task learning with limited data.

Diffusion approximation provides weak approximation for stochastic gradient descent algorithms in a finite time horizon. In this paper, we introduce new tools motivated by the backward error analysis of numerical stochastic differential equations into the theoretical framework of diffusion approximation, extending the …

Study improves robust nonparametric regression in heavy-tailed noise.

New theory explains how strong models can learn from weak ones.

Faster weak supervision framework using triplet methods.

Improved approximations for rough Heston model reduce errors.

Gradient Boosting Machine (GBM) is an extremely powerful supervised learning algorithm that is widely used in practice. GBM routinely features as a leading algorithm in machine learning competitions such as Kaggle and the KDDCup. In this work, we propose Accelerated Gradient Boosting Machine (AGBM) by incorporating Nes…