Related papers: Superposition-Assisted Stochastic Optimization for…

This paper considers online optimization for a system that performs a sequence of back-to-back tasks. Each task can be processed in one of multiple processing modes that affect the duration of the task, the reward earned, and an additional…

Evolutionary strategies have recently been shown to achieve competing levels of performance for complex optimization problems in reinforcement learning. In such problems, one often needs to optimize an objective function subject to a set of…

This paper proposes the first-ever algorithmic framework for tuning hyper-parameters of stochastic optimization algorithm based on reinforcement learning. Hyper-parameters impose significant influences on the performance of stochastic…

As a powerful tool of asynchronous event sequence analysis, point processes have been studied for a long time and achieved numerous successes in different fields. Among various point process models, Hawkes process and its variants attract…

It is often assumed that events cannot occur simultaneously when modelling data with point processes. This raises a problem as real-world data often contains synchronous observations due to aggregation or rounding, resulting from…

The Hawkes process is a class of point processes whose future depends on their own history. Previous theoretical work on the Hawkes process is limited to a special case in which a past event can only increase the occurrence of future…

Multivariate Hawkes Processes (MHPs) are an important class of temporal point processes that have enabled key advances in understanding and predicting social information systems. However, due to their complex modeling of temporal…

Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrated Hawkes process, of concern is the statistical fit to…

Hyperparameter optimization (HPO) is generally treated as a bi-level optimization problem that involves fitting a (probabilistic) surrogate model to a set of observed hyperparameter responses, e.g. validation loss, and consequently…

Multivariate Hawkes processes are past-dependant point processes originally introduced to model excitation effects, later extended to a nonlinear framework to account for the opposite effect, known as inhibition. Motivated by applications…

Most machine learning algorithms are configured by one or several hyperparameters that must be carefully chosen and often considerably impact performance. To avoid a time consuming and unreproducible manual trial-and-error process to find…

High frequency financial data is burdened by a level of randomness that is unavoidable and obfuscates the task of modelling. This idea is reflected in the intraday evolution of limit orders book data for many financial assets and suggests…

Multi-time-scale stochastic approximation is an iterative algorithm for finding the fixed point of a set of $N$ coupled operators given their noisy samples. It has been observed that due to the coupling between the decision variables and…

We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with…

Game theory serves as a powerful tool for distributed optimization in multi-agent systems in different applications. In this paper we consider multi-agent systems that can be modeled by means of potential games whose potential function…

In this work, multiplicative stochasticity is applied to the learning rate of stochastic optimization algorithms, giving rise to stochastic learning-rate schemes. In-expectation theoretical convergence results of Stochastic Gradient Descent…

We present a probabilistic model for stochastic iterative algorithms with the use case of optimization algorithms in mind. Based on this model, we present PAC-Bayesian generalization bounds for functions that are defined on the trajectory…

We propose an effective method to solve the event sequence clustering problems based on a novel Dirichlet mixture model of a special but significant type of point processes --- Hawkes process. In this model, each event sequence belonging to…

Stochastic resetting, where a dynamical process is intermittently returned to a fixed reference state, has emerged as a powerful mechanism for optimizing first-passage properties. Existing theory largely treats static, non-learning…

Stochastic convex optimization algorithms are the most popular way to train machine learning models on large-scale data. Scaling up the training process of these models is crucial, but the most popular algorithm, Stochastic Gradient Descent…