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This paper explores the practical approach to portfolio selection methods for investments. The study delves into portfolio theory, discussing concepts such as expected return, variance, asset correlation, and opportunity sets. It also presents the efficient frontier and its application in the Markowitz model, which employs mean-variance optimization techniques. An alternative approach based on the mean-semivariance model is introduced. This model accounts for the skewness and kurtosis of the asset return distribution, providing a more comprehensive view of risk and return. The study also addresses the practical implementation of these models, including the use of genetic algorithms to optimize portfolio selection. Additionally, transaction costs and integer constraints in portfolio optimization are considered, demonstrating the applicability of the Markowitz model. -- Este documento explorar la aproximaci\'on pr\'actica a los m\'etodos de selecci\'on de portafolios para inversiones. El estudio profundiza en la teor\'ia de los portafolios, discutiendo conceptos como el rendimiento esperado, la varianza, la correlaci\'on entre activos y los conjuntos de oportunidades. Tambi\'en presenta la frontera eficiente y su aplicaci\'on en el modelo de Markowitz, que utiliza t\'ecnicas de optimizaci\'on media-varianza. Se introduce un enfoque alternativo basado en el modelo media-semivarianza. Este modelo tiene en cuenta la asimetr\'ia y la curtosis de la distribuci\'on de retornos de los activos, proporcionando una visi\'on m\'as completa de riesgo y rendimiento. El estudio tambi\'en aborda la implementaci\'on pr\'actica de estos modelos, incluyendo el uso de algoritmos gen\'eticos para optimizar la selecci\'on de portafolios. Adem\'as, se consideran los costos de transacci\'on y las restricciones enteras en la optimizaci\'on del portafolio., Comment: 78 pages, in Spanish

Scaling political actors based on their individual characteristics and behavior helps profiling and grouping them as well as understanding changes in the political landscape. In this paper we introduce the Structural Text-Based Scaling (STBS) model to infer ideological positions of speakers for latent topics from text data. We expand the usual Poisson factorization specification for topic modeling of text data and use flexible shrinkage priors to induce sparsity and enhance interpretability. We also incorporate speaker-specific covariates to assess their association with ideological positions. Applying STBS to U.S. Senate speeches from Congress session 114, we identify immigration and gun violence as the most polarizing topics between the two major parties in Congress. Additionally, we find that, in discussions about abortion, the gender of the speaker significantly influences their position, with female speakers focusing more on women's health. We also see that a speaker's region of origin influences their ideological position more than their religious affiliation., Comment: 22 pages including 2.5 pages of references, 7 figures 20 additional pages of appendix (supplement), 5 figures, 2 tables

This paper investigates a partially linear spatial autoregressive panel data model that incorporates fixed effects, constant and time-varying regression coefficients, and a time-varying spatial lag coefficient. A two-stage least squares estimation method based on profile local linear dummy variables (2SLS-PLLDV) is proposed to estimate both constant and time-varying coefficients without the need for first differencing. The asymptotic properties of the estimator are derived under certain conditions. Furthermore, a residual-based goodness-of-fit test is constructed for the model, and a residual-based bootstrap method is used to obtain p-values. Simulation studies show the good performance of the proposed method in various scenarios. The Chinese provincial carbon emission data set is analyzed for illustration., Comment: 26 pages, 3 figures, codes

Deep learning methods - consisting of a class of deep neural networks (DNNs) trained by a stochastic gradient descent (SGD) optimization method - are nowadays key tools to solve data driven supervised learning problems. Despite the great success of SGD methods in the training of DNNs, it remains a fundamental open problem of research to explain the success and the limitations of such methods in rigorous theoretical terms. In particular, even in the standard setup of data driven supervised learning problems, it remained an open research problem to prove (or disprove) that SGD methods converge in the training of DNNs with the popular rectified linear unit (ReLU) activation function with high probability to global minimizers in the optimization landscape. In this work we answer this question negatively. Specifically, in this work we prove for a large class of SGD methods that the considered optimizer does with high probability not converge to global minimizers of the optimization problem. It turns out that the probability to not converge to a global minimizer converges at least exponentially quickly to one as the width of the first hidden layer of the ANN and the depth of the ANN, respectively, increase. The general non-convergence results of this work do not only apply to the plain vanilla standard SGD method but also to a large class of accelerated and adaptive SGD methods such as the momentum SGD, the Nesterov accelerated SGD, the Adagrad, the RMSProp, the Adam, the Adamax, the AMSGrad, and the Nadam optimizers., Comment: 91 pages

Generative Flow Networks (GFlowNets) are amortized inference models designed to sample from unnormalized distributions over composable objects, with applications in generative modeling for tasks in fields such as causal discovery, NLP, and drug discovery. Traditionally, the training procedure for GFlowNets seeks to minimize the expected log-squared difference between a proposal (forward policy) and a target (backward policy) distribution, which enforces certain flow-matching conditions. While this training procedure is closely related to variational inference (VI), directly attempting standard Kullback-Leibler (KL) divergence minimization can lead to proven biased and potentially high-variance estimators. Therefore, we first review four divergence measures, namely, Renyi-$\alpha$'s, Tsallis-$\alpha$'s, reverse and forward KL's, and design statistically efficient estimators for their stochastic gradients in the context of training GFlowNets. Then, we verify that properly minimizing these divergences yields a provably correct and empirically effective training scheme, often leading to significantly faster convergence than previously proposed optimization. To achieve this, we design control variates based on the REINFORCE leave-one-out and score-matching estimators to reduce the variance of the learning objectives' gradients. Our work contributes by narrowing the gap between GFlowNets training and generalized variational approximations, paving the way for algorithmic ideas informed by the divergence minimization viewpoint., Comment: Accepted at NeurIPS 2024, https://openreview.net/forum?id=N5H4z0Pzvn

A $k$-height on a graph $G=(V, E)$ is an assignment $V\to\{0, \ldots, k\}$ such that the value on ajacent vertices differs by at most $1$. We study the Markov chain on $k$-heights that in each step selects a vertex at random, and, if admissible, increases or decreases the value at this vertex by one. In the cases of $2$-heights and $3$-heights we show that this Markov chain is rapidly mixing on certain families of grid-like graphs and on planar cubic $3$-connected graphs. The result is based on a novel technique called block coupling, which is derived from the well-established monotone coupling approach. This technique may also be effective when analyzing other Markov chains that operate on configurations of spin systems that form a distributive lattice. It is therefore of independent interest., Comment: 31 pages, 8 figures. Supplemental code available at Zenodo, doi:10.5281/zenodo.13912818

We propose the $\textit{lifted linear model}$, and derive model-free prediction intervals that become tighter as the correlation between predictions and observations increases. These intervals motivate the $\textit{Lifted Coefficient of Determination}$, a model comparison criterion for arbitrary loss functions in prediction-based settings, e.g., regression, classification or counts. We extend the prediction intervals to more general error distributions, and propose a fast model-free outlier detection algorithm for regression. Finally, we illustrate the framework via numerical experiments., Comment: 14 pages, 5 figures

The MultiQueue is a relaxed concurrent priority queue consisting of $n$ internal priority queues, where an insertion uses a random queue and a deletion considers two random queues and deletes the minimum from the one with the smaller minimum. The rank error of the deletion is the number of smaller elements in the MultiQueue. Alistarh et al. [2] have demonstrated in a sophisticated potential argument that the expected rank error remains bounded by $O(n)$ over long sequences of deletions. In this paper we present a simpler analysis by identifying the stable distribution of an underlying Markov chain and with it the long-term distribution of the rank error exactly. Simple calculations then reveal the expected long-term rank error to be $\tfrac{5}{6}n-1+\tfrac{1}{6n}$. Our arguments generalize to deletion schemes where the probability to delete from a given queue depends only on the rank of the queue. Specifically, this includes deleting from the best of $c$ randomly selected queues for any $c>1$.

It has recently been discovered that the conclusions of many highly influential econometrics studies can be overturned by removing a very small fraction of their samples (often less than $0.5\%$). These conclusions are typically based on the results of one or more Ordinary Least Squares (OLS) regressions, raising the question: given a dataset, can we certify the robustness of an OLS fit on this dataset to the removal of a given number of samples? Brute-force techniques quickly break down even on small datasets. Existing approaches which go beyond brute force either can only find candidate small subsets to remove (but cannot certify their non-existence) [BGM20, KZC21], are computationally intractable beyond low dimensional settings [MR22], or require very strong assumptions on the data distribution and too many samples to give reasonable bounds in practice [BP21, FH23]. We present an efficient algorithm for certifying the robustness of linear regressions to removals of samples. We implement our algorithm and run it on several landmark econometrics datasets with hundreds of dimensions and tens of thousands of samples, giving the first non-trivial certificates of robustness to sample removal for datasets of dimension $4$ or greater. We prove that under distributional assumptions on a dataset, the bounds produced by our algorithm are tight up to a $1 + o(1)$ multiplicative factor., Comment: 65 pages, 2 figures

We consider the problem of estimating a structured multivariate density, subject to Markov conditions implied by an undirected graph. In the worst case, without Markovian assumptions, this problem suffers from the curse of dimensionality. Our main result shows how the curse of dimensionality can be avoided or greatly alleviated under the Markov property, and applies to arbitrary graphs. While existing results along these lines focus on sparsity or manifold assumptions, we introduce a new graphical quantity called "graph resilience" and show how it controls the sample complexity. Surprisingly, although one might expect the sample complexity of this problem to scale with local graph parameters such as the degree, this turns out not to be the case. Through explicit examples, we compute uniform deviation bounds and illustrate how the curse of dimensionality in density estimation can thus be circumvented. Notable examples where the rate improves substantially include sequential, hierarchical, and spatial data., Comment: Work accepted to NeurIPS 2024

Mutual information provides a powerful, general-purpose metric for quantifying the amount of shared information between variables. Estimating normalized mutual information using a k-Nearest Neighbor (k-NN) based approach involves the calculation of the scaling-invariant k-NN radius. Calculation of the radius suffers from numerical overflow when the joint dimensionality of the data becomes high, typically in the range of several hundred dimensions. To address this issue, we propose a logarithmic transformation technique that improves the numerical stability of the radius calculation in high-dimensional spaces. By applying the proposed transformation during the calculation of the radius, numerical overflow is avoided, and precision is maintained. Proposed transformation is validated through both theoretical analysis and empirical evaluation, demonstrating its ability to stabilize the calculation without compromizing the precision of the results., Comment: 4+1 pages, 2 figures, 20 equations

Causal structure discovery methods are commonly applied to structured data where the causal variables are known and where statistical testing can be used to assess the causal relationships. By contrast, recovering a causal structure from unstructured natural language data such as news articles contains numerous challenges due to the absence of known variables or counterfactual data to estimate the causal links. Large Language Models (LLMs) have shown promising results in this direction but also exhibit limitations. This work investigates LLM's abilities to build causal graphs from text documents and perform counterfactual causal inference. We propose an end-to-end causal structure discovery and causal inference method from natural language: we first use an LLM to extract the instantiated causal variables from text data and build a causal graph. We merge causal graphs from multiple data sources to represent the most exhaustive set of causes possible. We then conduct counterfactual inference on the estimated graph. The causal graph conditioning allows reduction of LLM biases and better represents the causal estimands. We use our method to show that the limitations of LLMs in counterfactual causal reasoning come from prediction errors and propose directions to mitigate them. We demonstrate the applicability of our method on real-world news articles., Comment: 22 pages, 10 pages for the main paper, 12 pages for the references and appendix, 5 figures

Deep neural networks can obtain impressive performance on various tasks under the assumption that their training domain is identical to their target domain. Performance can drop dramatically when this assumption does not hold. One explanation for this discrepancy is the presence of spurious domain-specific correlations in the training data that the network exploits. Causal mechanisms, in the other hand, can be made invariant under distribution changes as they allow disentangling the factors of distribution underlying the data generation. Yet, learning causal mechanisms to improve out-of-distribution generalisation remains an under-explored area. We propose a Bayesian neural architecture that disentangles the learning of the the data distribution from the inference process mechanisms. We show theoretically and experimentally that our model approximates reasoning under causal interventions. We demonstrate the performance of our method, outperforming point estimate-counterparts, on out-of-distribution image recognition tasks where the data distribution acts as strong adversarial confounders., Comment: 16 pages, 10 pages for main paper and 6 pages for references and appendix, 8 figures

Event knowledge graphs (EKG) extend the classical notion of a trace to capture multiple, interacting views of a process execution. In this paper, we tackle the open problem of automating EKG discovery from uncurated data through a principled, probabilistic framing based on the outcome space resulting from featured-derived partial orders on events. From this, we derive an EKG discovery algorithm based upon statistical inference rather than an ad-hoc or heuristic-based strategy, or relying on manual analysis from domain experts. This approach comes at the computational cost of exploring a large, non-convex hypothesis space. In particular, solving the maximum likelihood term involves counting the number of linear extensions of posets, which in general is #P-complete. Fortunately, bound estimates suffice for model comparison, and admit incorporation into a bespoke branch-and-bound algorithm. We show that the posterior probability as defined is antitonic w.r.t. search depth for branching rules that are monotonic w.r.t. model inclusion. This allows pruning of large portions of the search space, which we show experimentally leads to rapid convergence toward optimal solutions that are consistent with manually built EKGs.

Classical finance models are based on the premise that investors act rationally and utilize all available information when making portfolio decisions. However, these models often fail to capture the anomalies observed in intertemporal choices and decision-making under uncertainty, particularly when accounting for individual differences in preferences and consumption patterns. Such limitations hinder traditional finance theory's ability to address key questions like: How do personal preferences shape investment choices? What drives investor behaviour? And how do individuals select their portfolios? One prominent contribution is Pompian's model of four Behavioral Investor Types (BITs), which links behavioural finance studies with Keirsey's temperament theory, highlighting the role of personality in financial decision-making. Yet, traditional parametric models struggle to capture how these distinct temperaments influence intertemporal decisions, such as how individuals evaluate trade-offs between present and future outcomes. To address this gap, the present study employs Functional Data Analysis (FDA) to specifically investigate temporal discounting behaviours revealing nuanced patterns in how different temperaments perceive and manage uncertainty over time. Our findings show heterogeneity within each temperament, suggesting that investor profiles are far more diverse than previously thought. This refined classification provides deeper insights into the role of temperament in shaping intertemporal financial decisions, offering practical implications for financial advisors to better tailor strategies to individual risk preferences and decision-making styles.

Decision trees are powerful for predictive modeling but often suffer from high variance when modeling continuous relationships. While algorithms like Multivariate Adaptive Regression Splines (MARS) excel at capturing such continuous relationships, they perform poorly when modeling discontinuities. To address the limitations of both approaches, we introduce Spline-based Multivariate Adaptive Regression Trees (SMART), which uses a decision tree to identify subsets of data with distinct continuous relationships and then leverages MARS to fit these relationships independently. Unlike other methods that rely on the tree structure to model interaction and higher-order terms, SMART leverages MARS's native ability to handle these terms, allowing the tree to focus solely on identifying discontinuities in the relationship. We test SMART on various datasets, demonstrating its improvement over state-of-the-art methods in such cases. Additionally, we provide an open-source implementation of our method to be used by practitioners.

Nonlinear time series models with exogenous regressors are essential in econometrics, queuing theory, and machine learning, though their statistical analysis remains incomplete. Key results, such as the law of large numbers and the functional central limit theorem, are known for weakly dependent variables. We demonstrate the transfer of mixing properties from the exogenous regressor to the response via coupling arguments. Additionally, we study Markov chains in random environments with drift and minorization conditions, even under non-stationary environments with favorable mixing properties, and apply this framework to single-server queuing models., Comment: 32 pages, 1 figure

We study the parameters identification of a dynamic model of a population living in a given host environment governed by a logistic law. We use a statistic Kullback-Leibler type method to derive the algorithm for estimating the parameters of the model in two levels. The first level AIG is an offline algorithm and global it is obtained using the critical points of the reestimation transformation between two parameters. It estimates the parameters in a global iterative manner starting from a block of data. The second level ARE is adaptive recursive and is used online. It constitutes a refinement of the AIG algorithm. The convergence of the AIG algorithm is an open problem. The convergence of the ARE algorithm is demonstrated by constructing a new model, a new space and a new probability law., Comment: 11 pages, in French language

Studying the reliability of complex systems using machine learning techniques involves facing a series of technical and practical challenges, ranging from the intrinsic nature of the system and data to the difficulties in modeling and effectively deploying models in real-world scenarios. This study compares the effectiveness of classical statistical techniques and machine learning methods for improving complex system analysis in reliability assessments. We aim to demonstrate that classical statistical algorithms often yield more precise and interpretable results than black-box machine learning approaches in many practical applications. The evaluation is conducted using both real-world data and simulated scenarios. We report the results obtained from statistical modeling algorithms, as well as from machine learning methods including neural networks, K-nearest neighbors, and random forests., Comment: 33 pages; 5 figures

We present a purely deep neural network-based approach for estimating long memory parameters of time series models that incorporate the phenomenon of long-range dependence. Parameters, such as the Hurst exponent, are critical in characterizing the long-range dependence, roughness, and self-similarity of stochastic processes. The accurate and fast estimation of these parameters holds significant importance across various scientific disciplines, including finance, physics, and engineering. We harnessed efficient process generators to provide high-quality synthetic training data, enabling the training of scale-invariant 1D Convolutional Neural Networks (CNNs) and Long Short-Term Memory (LSTM) models. Our neural models outperform conventional statistical methods, even those augmented with neural networks. The precision, speed, consistency, and robustness of our estimators are demonstrated through experiments involving fractional Brownian motion (fBm), the Autoregressive Fractionally Integrated Moving Average (ARFIMA) process, and the fractional Ornstein-Uhlenbeck (fOU) process. We believe that our work will inspire further research in the field of stochastic process modeling and parameter estimation using deep learning techniques., Comment: 14 pages, 16 figures, https://github.com/aielte-research/LMSParEst

Recent work has focused on nonparametric estimation of conditional treatment effects, but inference has remained relatively unexplored. We propose a class of nonparametric tests for both quantitative and qualitative treatment effect heterogeneity. The tests can incorporate a variety of structured assumptions on the conditional average treatment effect, allow for both continuous and discrete covariates, and do not require sample splitting. Furthermore, we show how the tests are tailored to detect alternatives where the population impact of adopting a personalized decision rule differs from using a rule that discards covariates. The proposal is thus relevant for guiding treatment policies. The utility of the proposal is borne out in simulation studies and a re-analysis of an AIDS clinical trial.

Agents are a special kind of AI-based software in that they interact in complex environments and have increased potential for emergent behaviour. Explaining such emergent behaviour is key to deploying trustworthy AI, but the increasing complexity and opaque nature of many agent implementations makes this hard. In this work, we propose a Probabilistic Graphical Model along with a pipeline for designing such model -- by which the behaviour of an agent can be deliberated about -- and for computing a robust numerical value for the intentions the agent has at any moment. We contribute measurements that evaluate the interpretability and reliability of explanations provided, and enables explainability questions such as `what do you want to do now?' (e.g. deliver soup) `how do you plan to do it?' (e.g. returning a plan that considers its skills and the world), and `why would you take this action at this state?' (e.g. explaining how that furthers or hinders its own goals). This model can be constructed by taking partial observations of the agent's actions and world states, and we provide an iterative workflow for increasing the proposed measurements through better design and/or pointing out irrational agent behaviour., Comment: 57 pages, 8 figures, 5 tables

Creation of synthetic data models has represented a significant advancement across diverse scientific fields, but this technology also brings important privacy considerations for users. This work focuses on enhancing a non-parametric copula-based synthetic data generation model, DPNPC, by incorporating Differential Privacy through an Enhanced Fourier Perturbation method. The model generates synthetic data for mixed tabular databases while preserving privacy. We compare DPNPC with three other models (PrivBayes, DP-Copula, and DP-Histogram) across three public datasets, evaluating privacy, utility, and execution time. DPNPC outperforms others in modeling multivariate dependencies, maintaining privacy for small $\epsilon$ values, and reducing training times. However, limitations include the need to assess the model's performance with different encoding methods and consider additional privacy attacks. Future research should address these areas to enhance privacy-preserving synthetic data generation., Comment: 12 pages, 5 figures, deciding 2025 conference to which to submit

The positioning of this research falls within the scalar-on-function classification literature, a field of significant interest across various domains, particularly in statistics, mathematics, and computer science. This study introduces an advanced methodology for supervised classification by integrating Functional Data Analysis (FDA) with tree-based ensemble techniques for classifying high-dimensional time series. The proposed framework, Enriched Functional Tree-Based Classifiers (EFTCs), leverages derivative and geometric features, benefiting from the diversity inherent in ensemble methods to further enhance predictive performance and reduce variance. While our approach has been tested on the enrichment of Functional Classification Trees (FCTs), Functional K-NN (FKNN), Functional Random Forest (FRF), Functional XGBoost (FXGB), and Functional LightGBM (FLGBM), it could be extended to other tree-based and non-tree-based classifiers, with appropriate considerations emerging from this investigation. Through extensive experimental evaluations on seven real-world datasets and six simulated scenarios, this proposal demonstrates fascinating improvements over traditional approaches, providing new insights into the application of FDA in complex, high-dimensional learning problems.

Identification of heterogeneous treatment effects (HTEs) has been increasingly popular and critical in various penalized strategy decisions using the A/B testing approach, especially in the scenario of a consecutive online collection of samples. However, in high-dimensional settings, such an identification remains challenging in the sense of lack of detection power of HTEs with insufficient sample instances for each batch sequentially collected online. In this article, a novel high-dimensional test is proposed, named as the penalized online sequential test (POST), to identify HTEs and select useful covariates simultaneously under continuous monitoring in generalized linear models (GLMs), which achieves high detection power and controls the Type I error. A penalized score test statistic is developed along with an extended p-value process for the online collection of samples, and the proposed POST method is further extended to multiple online testing scenarios, where both high true positive rates and under-controlled false discovery rates are achieved simultaneously. Asymptotic results are established and justified to guarantee properties of the POST, and its performance is evaluated through simulations and analysis of real data, compared with the state-of-the-art online test methods. Our findings indicate that the POST method exhibits selection consistency and superb detection power of HTEs as well as excellent control over the Type I error, which endows our method with the capability for timely and efficient inference for online A/B testing in high-dimensional GLMs framework., Comment: 2 figures and 6 tables in main text, 3 tables in appendix

While fuzzing is widely accepted as an efficient program testing technique, it is still unclear how to measure the comparative quality of different fuzzers. The current de facto quality metrics are edge coverage and the number of discovered bugs, but they are frequently discredited by inconclusive, exaggerated, or even counter-intuitive results. To establish a more reliable quality metric, we first note that fuzzing aims to reduce the number of unknown abnormal behaviors by observing more interesting (i.e., relating to unknown abnormal) behaviors. The more interesting behaviors a fuzzer has observed, the stronger guarantee it can provide about the absence of unknown abnormal behaviors. This suggests that the number of observed interesting behaviors must directly indicate the fuzzing quality. In this work, we propose logic state coverage as a proxy metric to count observed interesting behaviors. A logic state is a set of satisfied branches during one execution, where its coverage is the count of individual observed logic states during a fuzzing campaign. A logic state distinguishes less repetitive (i.e., more interesting) behaviors in a finer granularity, making the amount of logic state coverage reliably proportional to the number of observed interesting behaviors. We implemented logic state coverage using a bloom filter and performed a preliminary evaluation with AFL++ and XMLLint., Comment: 7 pages, 6 figures

Although research has produced promising results demonstrating the utility of active inference (AIF) in Markov decision processes (MDPs), there is relatively less work that builds AIF models in the context of environments and problems that take the form of partially observable Markov decision processes (POMDPs). In POMDP scenarios, the agent must infer the unobserved environmental state from raw sensory observations, e.g., pixels in an image. Additionally, less work exists in examining the most difficult form of POMDP-centered control: continuous action space POMDPs under sparse reward signals. In this work, we address issues facing the AIF modeling paradigm by introducing novel prior preference learning techniques and self-revision schedules to help the agent excel in sparse-reward, continuous action, goal-based robotic control POMDP environments. Empirically, we show that our agents offer improved performance over state-of-the-art models in terms of cumulative rewards, relative stability, and success rate. The code in support of this work can be found at https://github.com/NACLab/robust-active-inference., Comment: 20 pages, 2 algorithms, 2 tables, 5 figures, submitted to ICRA 2025

This paper introduces Adaptive Mixture Importance Sampling (AMIS) as a novel approach for optimizing key performance indicators (KPIs) in large-scale recommender systems, such as online ad auctions. Traditional importance sampling (IS) methods face challenges in dynamic environments, particularly in navigating through complexities of multi-modal landscapes and avoiding entrapment in local optima for the optimization task. Instead of updating importance weights and mixing samples across iterations, as in canonical adaptive IS and multiple IS, our AMIS framework leverages a mixture distribution as the proposal distribution and dynamically adjusts both the mixture parameters and their mixing rates at each iteration, thereby enhancing search diversity and efficiency. Through extensive offline simulations, we demonstrate that AMIS significantly outperforms simple Gaussian Importance Sampling (GIS), particularly in noisy environments. Moreover, our approach is validated in real-world scenarios through online A/B experiments on a major search engine, where AMIS consistently identifies optimal tuning points that are more likely to be adopted as mainstream configurations. These findings indicate that AMIS enhances convergence in noisy environments, leading to more accurate and reliable decision-making in the context of importance sampling off-policy estimators., Comment: Accepted at the CONSEQUENCES '24 workshop, co-located with ACM RecSys '24

This research presents a comprehensive framework for transitioning financial diffusion models from the risk-neutral (RN) measure to the real-world (RW) measure, leveraging results from probability theory, specifically Girsanov's theorem. The RN measure, fundamental in derivative pricing, is contrasted with the RW measure, which incorporates risk premiums and better reflects actual market behavior and investor preferences, making it crucial for risk management. We address the challenges of incorporating real-world dynamics into financial models, such as accounting for market premiums, producing realistic term structures of market indicators, and fitting any arbitrarily given market curve. Our framework is designed to be general, applicable to a variety of diffusion models, including those with non-additive noise such as the CIR++ model. Through case studies involving Goldman Sachs' 2024 global credit outlook forecasts and the European Banking Authority (EBA) 2023 stress tests, we validate the robustness, practical relevance and applicability of our methodology. This work contributes to the literature by providing a versatile tool for better risk measures and enhancing the realism of financial models under the RW measure. Our model's versatility extends to stress testing and scenario analysis, providing practitioners with a powerful tool to evaluate various what-if scenarios and make well-informed decisions, particularly in pricing and risk management strategies.

Electrification of vehicles is a potential way of reducing fossil fuel usage and thus lessening environmental pollution. Electric Vehicles (EVs) of various types for different transport modes (including air, water, and land) are evolving. Moreover, different EV user groups (commuters, commercial or domestic users, drivers) may use different charging infrastructures (public, private, home, and workplace) at various times. Therefore, usage patterns and energy demand are very stochastic. Characterizing and forecasting the charging demand of these diverse EV usage profiles is essential in preventing power outages. Previously developed data-driven load models are limited to specific use cases and locations. None of these models are simultaneously adaptive enough to transfer knowledge of day-ahead forecasting among EV charging sites of diverse locations, trained with limited data, and cost-effective. This article presents a location-based load forecasting of EV charging sites using a deep Multi-Quantile Temporal Convolutional Network (MQ-TCN) to overcome the limitations of earlier models. We conducted our experiments on data from four charging sites, namely Caltech, JPL, Office-1, and NREL, which have diverse EV user types like students, full-time and part-time employees, random visitors, etc. With a Prediction Interval Coverage Probability (PICP) score of 93.62\%, our proposed deep MQ-TCN model exhibited a remarkable 28.93\% improvement over the XGBoost model for a day-ahead load forecasting at the JPL charging site. By transferring knowledge with the inductive Transfer Learning (TL) approach, the MQ-TCN model achieved a 96.88\% PICP score for the load forecasting task at the NREL site using only two weeks of data., Comment: 11 pages, 10 figures

The Statistical Classification of Economic Activities in the European Community (NACE) is the standard classification system for the categorization of economic and industrial activities within the European Union. This paper proposes a novel approach to transform the NACE classification into low-dimensional embeddings, using state-of-the-art models and dimensionality reduction techniques. The primary challenge is the preservation of the hierarchical structure inherent within the original NACE classification while reducing the number of dimensions. To address this issue, we introduce custom metrics designed to quantify the retention of hierarchical relationships throughout the embedding and reduction processes. The evaluation of these metrics demonstrates the effectiveness of the proposed methodology in retaining the structural information essential for insightful analysis. This approach not only facilitates the visual exploration of economic activity relationships, but also increases the efficacy of downstream tasks, including clustering, classification, integration with other classifications, and others. Through experimental validation, the utility of our proposed framework in preserving hierarchical structures within the NACE classification is showcased, thereby providing a valuable tool for researchers and policymakers to understand and leverage any hierarchical data.

This paper presents a comprehensive review of stochastic processes, with a particular focus on Markov chains and jump processes. The main results related to queuing systems are analyzed. Additionally, conditions that ensure the stability, or ergodicity, of such systems are presented. The paper also discusses stability results for queuing networks and their extension to visiting systems. Finally, key contributions concerning the Probability Generating Function, an essential tool in the analysis of the aforementioned processes, are introduced. The review is conducted from the perspective of queuing theory, grounded in the Kendall-Lee notation, emphasizing stability results and the computation of performance measures based on the specific characteristics of each process., Comment: in Spanish language

Time series are ubiquitous and occur naturally in a variety of applications -- from data recorded by sensors in manufacturing processes, over financial data streams to climate data. Different tasks arise, such as regression, classification or segmentation of the time series. However, to reliably solve these challenges, it is important to filter out abnormal observations that deviate from the usual behavior of the time series. While many anomaly detection methods exist for independent data and stationary time series, these methods are not applicable to non-stationary time series. To allow for non-stationarity in the data, while simultaneously detecting anomalies, we propose OML-AD, a novel approach for anomaly detection (AD) based on online machine learning (OML). We provide an implementation of OML-AD within the Python library River and show that it outperforms state-of-the-art baseline methods in terms of accuracy and computational efficiency., Comment: 14 pages, 4 figures, 4 tables

This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily addresses two gaps in the literature. The first is the lack of credit spread models founded on a stochastic basis that enables continuous modeling, as many existing models rely on factorial assumptions. The second is the limited availability of models that directly yield a term structure of credit spreads. An intermediate result of our model is the provision of a term structure for the prices of defaultable bonds. We present the model alongside an innovative, practical, and conservative calibration approach that minimizes the error between historical and theoretical volatilities of default intensities. We demonstrate the robustness of both the model and its calibration process by comparing its behavior to historical credit spread values. Our findings indicate that the model not only produces realistic credit spread term structure curves but also exhibits consistent diffusion over time. Additionally, the model accurately fits the initial term structure of implied survival probabilities and provides an analytical expression for the credit spread of any given maturity at any future time.

This study presents a dynamic Bayesian network framework that facilitates intuitive gradual edge changes. We use two conditional dynamics to model the edge addition and deletion, and edge selection separately. Unlike previous research that uses a mixture network approach, which restricts the number of possible edge changes, or structural priors to induce gradual changes, which can lead to unclear network evolution, our model induces more frequent and intuitive edge change dynamics. We employ Markov chain Monte Carlo (MCMC) sampling to estimate the model structures and parameters and demonstrate the model's effectiveness in a portfolio selection application.

Functional data analysis (FDA) and ensemble learning can be powerful tools for analyzing complex environmental time series. Recent literature has highlighted the key role of diversity in enhancing accuracy and reducing variance in ensemble methods.This paper introduces Randomized Spline Trees (RST), a novel algorithm that bridges these two approaches by incorporating randomized functional representations into the Random Forest framework. RST generates diverse functional representations of input data using randomized B-spline parameters, creating an ensemble of decision trees trained on these varied representations. We provide a theoretical analysis of how this functional diversity contributes to reducing generalization error and present empirical evaluations on six environmental time series classification tasks from the UCR Time Series Archive. Results show that RST variants outperform standard Random Forests and Gradient Boosting on most datasets, improving classification accuracy by up to 14\%. The success of RST demonstrates the potential of adaptive functional representations in capturing complex temporal patterns in environmental data. This work contributes to the growing field of machine learning techniques focused on functional data and opens new avenues for research in environmental time series analysis., Comment: 20 pages

Random delays between the occurrence of accident events and the corresponding reporting times of insurance claims is a standard feature of insurance data. The time lag between the reporting and the processing of a claim depends on whether the claim can be processed without delay as it arrives or whether it remains unprocessed for some time because of temporarily insufficient processing capacity that is shared between all incoming claims. We aim to explain and analyze the nature of processing delays and build-up of backlogs. We show how to select processing capacity optimally in order to minimize claims costs, taking delay-adjusted costs and fixed costs for claims settlement capacity into account. Theoretical results are combined with a large-scale numerical study that demonstrates practical usefulness of our proposal.

The demand for innovation in product design necessitates a prolific ideation phase. Conversational AI (CAI) systems that use Large Language Models (LLMs) such as GPT (Generative Pre-trained Transformer) have been shown to be fruitful in augmenting human creativity, providing numerous novel and diverse ideas. Despite the success in ideation quantity, the qualitative assessment of these ideas remains challenging and traditionally reliant on expert human evaluation. This method suffers from limitations such as human judgment errors, bias, and oversight. Addressing this gap, our study introduces a comprehensive mathematical framework for automated analysis to objectively evaluate the plethora of ideas generated by CAI systems and/or humans. This framework is particularly advantageous for novice designers who lack experience in selecting promising ideas. By converting the ideas into higher dimensional vectors and quantitatively measuring the diversity between them using tools such as UMAP, DBSCAN and PCA, the proposed method provides a reliable and objective way of selecting the most promising ideas, thereby enhancing the efficiency of the ideation phase., Comment: 20 pages, 12 figures, 5 tables

Global trade is shaped by a complex mix of factors beyond supply and demand, including tangible variables like transport costs and tariffs, as well as less quantifiable influences such as political and economic relations. Traditionally, economists model trade using gravity models, which rely on explicit covariates but often struggle to capture these subtler drivers of trade. In this work, we employ optimal transport and a deep neural network to learn a time-dependent cost function from data, without imposing a specific functional form. This approach consistently outperforms traditional gravity models in accuracy while providing natural uncertainty quantification. Applying our framework to global food and agricultural trade, we show that the global South suffered disproportionately from the war in Ukraine's impact on wheat markets. We also analyze the effects of free-trade agreements and trade disputes with China, as well as Brexit's impact on British trade with Europe, uncovering hidden patterns that trade volumes alone cannot reveal.

We develop variational search distributions (VSD), a method for finding discrete, combinatorial designs of a rare desired class in a batch sequential manner with a fixed experimental budget. We formalize the requirements and desiderata for this problem and formulate a solution via variational inference. In particular, VSD uses off-the-shelf gradient based optimization routines, can learn powerful generative models for designs, and can take advantage of scalable predictive models. We derive asymptotic convergence rates for learning the true conditional generative distribution of designs with certain configurations of our method. After illustrating the generative model on images, we empirically demonstrate that VSD can outperform existing baseline methods on a set of real sequence-design problems in various biological systems., Comment: 34 pages with supplementary material included

This article gives an integrative review of research using projective methods in the consumer research domain. We give a general historical overview of the use of projective methods, both in psychology and in consumer research applications, and discuss the reliability and validity aspects and measurement for projective techniques. We review the literature on projective techniques in the areas of marketing, hospitality & tourism, and consumer & food science, with a mixed methods research focus on the interplay of qualitative and quantitative techniques. We review the use of several quantitative techniques used for structuring and analyzing projective data and run an empirical reanalysis of previously gathered data. We give recommendations for improved rigor and for potential future work involving mixed methods in projective techniques.

It is important for official statistics production to apply ML with statistical rigor, as it presents both opportunities and challenges. Although machine learning has enjoyed rapid technological advances in recent years, its application does not possess the methodological robustness necessary to produce high quality statistical results. In order to account for all sources of error in machine learning models, the Total Machine Learning Error (TMLE) is presented as a framework analogous to the Total Survey Error Model used in survey methodology. As a means of ensuring that ML models are both internally valid as well as externally valid, the TMLE model addresses issues such as representativeness and measurement errors. There are several case studies presented, illustrating the importance of applying more rigor to the application of machine learning in official statistics., Comment: 29 pages, 4 figures, 1 table. To appear in the proceedings of the conference on Foundations and Advances of Machine Learning in Official Statistics, which was held in Wiesbaden, from 3rd to 5th April, 2024

This article considers a problem arising from a two-player game based on the classical secretary problem. First, Player 1 selects one object from a sequence as in the secretary problem. All of the other objects are then presented to Player 2 in the same order as in the original sequence. The goal of both players is to select the best object. The optimal response of Player 2 is adapted to the optimal strategy in the secretary problem. This means that when Player 2 observes an object that is the best seen so far, it can be inferred whether Player 1 selected one of the earlier objects in the original sequence. However, Player 2 cannot compare the current object with the one selected by Player 1. Hence, this game defines an auxiliary problem in which Player 2 has incomplete information on the relative rank of an object. It is shown that the optimal strategy of Player 2 is based on both the number of objects to have appeared and the probability that the current object is better than the object chosen by Player 1 (if Player 1 chose an earlier object in the sequence). However, this probability is dependent on the previously observed objects. A lower bound on the optimal expected reward in the auxiliary problem is defined by limiting the memory of Player 2. An upper bound is derived by giving Player 2 additional information at appropriate times. The methods used illustrate approaches that can be used to approximate the optimal reward in a stopping problem when there is incomplete information on the ranks of objects and/or the optimal strategy is history dependent, as in the Robbins' problem, Comment: 52 pages

In this paper we present computational experiments with the Markov Chain Monte Carlo Matrix Inversion ($(\text{MC})^2\text{MI}$) on several accelerator architectures and investigate their impact on performance and scalability of the method. The method is used as a preconditioner and for solving the corresponding system of linear equations iterative methods, such as generalized minimal residuals (GMRES) or bi-conjugate gradient (stabilized) (BICGstab), are used. Numerical experiments are carried out to highlight the benefits and deficiencies of both approaches and to assess their overall usefulness in light of scalability of the method., Comment: 10 pages, 8 figures, 2 pages IEEE artifact information, accepted to the 9th Workshop on Latest Advances in Scalable Algorithms for Large-Scale Systems

In this paper, we propose an approach for an application of Bayesian optimization using Sequential Monte Carlo (SMC) and concepts from the statistical physics of classical systems. Our method leverages the power of modern machine learning libraries such as NumPyro and JAX, allowing us to perform Bayesian optimization on multiple platforms, including CPUs, GPUs, TPUs, and in parallel. Our approach enables a low entry level for exploration of the methods while maintaining high performance. We present a promising direction for developing more efficient and effective techniques for a wide range of optimization problems in diverse fields., Comment: 8 pages, 7 figures, accepted to the International Conference on Computer Science 2023

The predominant method for computing confidence intervals (CI) in few-shot learning (FSL) is based on sampling the tasks with replacement, i.e.\ allowing the same samples to appear in multiple tasks. This makes the CI misleading in that it takes into account the randomness of the sampler but not the data itself. To quantify the extent of this problem, we conduct a comparative analysis between CIs computed with and without replacement. These reveal a notable underestimation by the predominant method. This observation calls for a reevaluation of how we interpret confidence intervals and the resulting conclusions in FSL comparative studies. Our research demonstrates that the use of paired tests can partially address this issue. Additionally, we explore methods to further reduce the (size of the) CI by strategically sampling tasks of a specific size. We also introduce a new optimized benchmark, which can be accessed at https://github.com/RafLaf/FSL-benchmark-again

Recently, many self-supervised learning methods for image reconstruction have been proposed that can learn from noisy data alone, bypassing the need for ground-truth references. Most existing methods cluster around two classes: i) Noise2Self and similar cross-validation methods that require very mild knowledge about the noise distribution, and ii) Stein's Unbiased Risk Estimator (SURE) and similar approaches that assume full knowledge of the distribution. The first class of methods is often suboptimal compared to supervised learning, and the second class tends to be impractical, as the noise level is often unknown in real-world applications. In this paper, we provide a theoretical framework that characterizes this expressivity-robustness trade-off and propose a new approach based on SURE, but unlike the standard SURE, does not require knowledge about the noise level. Throughout a series of experiments, we show that the proposed estimator outperforms other existing self-supervised methods on various imaging inverse problems

When entering French university, the students' foreign language level is assessed through a placement test. In this work, we model the placement test results using binary latent block models which allow to simultaneously form homogeneous groups of students and of items. However, a major difficulty in latent block models is to select correctly the number of groups of rows and the number of groups of columns. The first purpose of this paper is to tune the number of initializations needed to limit the initial values problem in the estimation algorithm in order to propose a model selection procedure in the placement test context. Computational studies based on simulated data sets and on two placement test data sets are investigated. The second purpose is to investigate the robustness of the proposed model selection procedure in terms of stability of the students groups when the number of students varies., Comment: 23 pages, 6 figures, 8 tables, soumission

The article focuses on the urgent issue of femicide in Veracruz, Mexico, and the development of the MFM_FEM_VER_CP_2024 model, a mathematical framework designed to predict femicide risk using fuzzy logic. This model addresses the complexity and uncertainty inherent in gender based violence by formalizing risk factors such as coercive control, dehumanization, and the cycle of violence. These factors are mathematically modeled through membership functions that assess the degree of risk associated with various conditions, including personal relationships and specific acts of violence. The study enhances the original model by incorporating new rules and refining existing membership functions, which significantly improve the model predictive accuracy., Comment: 24 pages, 2 tables, 3 figures

Our focus is on simulating the dynamics of non-interacting particles, which, under certain assumptions, can be formally described by the Dean-Kawasaki equation. The Dean-Kawasaki equation can be solved numerically using standard finite volume methods. However, the numerical approximation implicitly requires a sufficiently large number of particles to ensure the positivity of the solution and accurate approximation of the stochastic flux. To address this challenge, we extend hybrid algorithms for particle systems to scenarios where the density is low. The aim is to create a hybrid algorithm that switches from a finite volume discretization to a particle-based method when the particle density falls below a certain threshold. We develop criteria for determining this threshold by comparing higher-order statistics obtained from the finite volume method with particle simulations. We then demonstrate the use of the resulting criteria for dynamic adaptation in both two- and three-dimensional spatial settings.