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A new method of deriving comparative statics information using generalized compensated derivatives is presented which yields constraint-free semidefiniteness results for any differentiable, constrained optimization problem. More generally,…
Many marketing applications, including credit card incentive programs, offer rewards to customers who exceed specific spending thresholds to encourage increased consumption. Quantifying the causal effect of these thresholds on customers is…
We recall some of the history of the information-theoretic approach to deriving core results in probability theory and indicate parts of the recent resurgence of interest in this area with current progress along several interesting…
The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail…
This paper is a review of a particular approach to the method of maximum entropy as a general framework for inference. The discussion emphasizes the pragmatic elements in the derivation. An epistemic notion of information is defined in…
Evolving feature densities across batches of training data bias cross-validation, making model selection and assessment unreliable (\cite{sugiyama2012machine}). This work takes a distributed density estimation angle to the training setting…
This paper investigates the optimal selection of portfolios for power utility maximizing investors in a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from…
The study of the stock market with the attraction of machine learning approaches is a major direction for revealing hidden market regularities. This knowledge contributes to a profound understanding of financial market dynamics and getting…
In this paper, the credit scoring problem is studied by incorporating networked information, where the advantages of such incorporation are investigated theoretically in two scenarios. Firstly, a Bayesian optimal filter is proposed to…
Decision-making under uncertainty and causal thinking are fundamental aspects of intelligent reasoning. Decision-making has been well studied when the available information is considered at the associative (probabilistic) level. The…
Cross-sectional "Information Coefficient" (IC) is a widely and deeply accepted measure in portfolio management. The paper gives an insight into IC in view of high-dimensional directional statistics: IC is a linear operator on the components…
It is well known that text compression can be achieved by predicting the next symbol in the stream of text data based on the history seen up to the current symbol. The better the prediction the more skewed the conditional probability…
We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…
The integrative analysis of multiple datasets is an important strategy in data analysis. It is increasingly popular in genomics, which enjoys a wealth of publicly available datasets that can be compared, contrasted, and combined in order to…
In recent years, self-supervised learning has played a pivotal role in advancing machine learning by allowing models to acquire meaningful representations from unlabeled data. An intriguing research avenue involves developing…
Transient phenomena play a key role in coordinating brain activity at multiple scales, however,their underlying mechanisms remain largely unknown. A key challenge for neural data science is thus to characterize the network interactions at…
The use of guidance in diffusion models was originally motivated by the premise that the guidance-modified score is that of the data distribution tilted by a conditional likelihood raised to some power. In this work we clarify this…
We address online combinatorial optimization when the player has a prior over the adversary's sequence of losses. In this framework, Russo and Van Roy proposed an information-theoretic analysis of Thompson Sampling based on the information…
This paper presents novel method for distribution-free robust trajectory optimization and control of discrete-time, nonlinear, and non-Gaussian stochastic systems, with closed-loop guarantees on chance constraint satisfaction. Our framework…
Imbalanced data, where the positive samples represent only a small proportion compared to the negative samples, makes it challenging for classification problems to balance the false positive and false negative rates. A common approach to…