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In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of…

Portfolio Management · Quantitative Finance 2023-11-14 Maxime Markov , Vladimir Markov

In the context of precision medicine, covariate-adjusted response-adaptive randomization (CARA) has garnered much attention from both academia and industry due to its benefits in providing ethical and tailored treatment assignments based on…

Methodology · Statistics 2024-11-26 Jiahui Xin , Wei Ma

Preference-based Reinforcement Learning (PbRL) entails a variety of approaches for aligning models with human intent to alleviate the burden of reward engineering. However, most previous PbRL work has not investigated the robustness to…

Machine Learning · Computer Science 2025-06-17 Sara Rajaram , R. James Cotton , Fabian H. Sinz

Autoregressive moving average (ARMA) models are widely used for analyzing time series data. However, standard likelihood-based inference methodology for ARMA models has avoidable limitations. We show that currently accepted standards for…

Methodology · Statistics 2025-10-28 Jesse Wheeler , Edward L. Ionides

Recently popularized randomized methods for principal component analysis (PCA) efficiently and reliably produce nearly optimal accuracy --- even on parallel processors --- unlike the classical (deterministic) alternatives. We adapt one of…

Computation · Statistics 2011-12-23 Nathan Halko , Per-Gunnar Martinsson , Yoel Shkolnisky , Mark Tygert

Enumeration algorithms have been one of recent hot topics in theoretical computer science. Different from other problems, enumeration has many interesting aspects, such as the computation time can be shorter than the total output size, by…

Data Structures and Algorithms · Computer Science 2014-07-16 Takeaki Uno

Simulation-based methods for statistical inference have evolved dramatically over the past 50 years, keeping pace with technological advancements. The field is undergoing a new revolution as it embraces the representational capacity of…

Machine Learning · Statistics 2024-10-11 Andrew Zammit-Mangion , Matthew Sainsbury-Dale , Raphaël Huser

We introduce a new recursive aggregation procedure called Bernstein Online Aggregation (BOA). The exponential weights include an accuracy term and a second order term that is a proxy of the quadratic variation as in Hazan and Kale (2010).…

Machine Learning · Statistics 2016-09-14 Olivier Wintenberger

In many data classification problems, there is no linear relationship between an explanatory and the dependent variables. Instead, there may be ranges of the input variable for which the observed outcome is signficantly more or less likely.…

Machine Learning · Computer Science 2016-04-13 Mallory Sheth , Roy Welsch , Natasha Markuzon

We study the quadratic prediction error method -- i.e., nonlinear least squares -- for a class of time-varying parametric predictor models satisfying a certain identifiability condition. While this method is known to asymptotically achieve…

Statistics Theory · Mathematics 2024-04-17 Charis Stamouli , Ingvar Ziemann , George J. Pappas

Naive approaches to amortized inference in probabilistic programs with unbounded loops can produce estimators with infinite variance. This is particularly true of importance sampling inference in programs that explicitly include rejection…

Retrieval-based multimodal document QA aims to identify and integrate relevant information from visually rich documents with complex multimodal structures. While retrieval-augmented generation (RAG) has shown strong performance in…

Information Retrieval · Computer Science 2026-04-21 Hui Wu , Haoquan Zhai , Yuchen Li , Hengyi Cai , Peirong Zhang , Yidan Zhang , Lei Wang , Chunle Wang , Yingyan Hou , Shuaiqiang Wang , Dawei Yin

We present counting reward automata-a finite state machine variant capable of modelling any reward function expressible as a formal language. Unlike previous approaches, which are limited to the expression of tasks as regular languages, our…

Artificial Intelligence · Computer Science 2024-02-20 Tristan Bester , Benjamin Rosman , Steven James , Geraud Nangue Tasse

Apart from the high accuracy of machine learning models, what interests many researchers in real-life problems (e.g., fraud detection, credit scoring) is to find hidden patterns in data; particularly when dealing with their challenging…

Explainable recommendation is a technique that combines prediction and generation tasks to produce more persuasive results. Among these tasks, textual generation demands large amounts of data to achieve satisfactory accuracy. However,…

Social and Information Networks · Computer Science 2024-05-28 Hao Cheng , Shuo Wang , Wensheng Lu , Wei Zhang , Mingyang Zhou , Kezhong Lu , Hao Liao

Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…

Optimization and Control · Mathematics 2020-01-01 Dragos Florin Ciocan , Velibor V. Mišić

We consider the problem of expected cost analysis over nondeterministic probabilistic programs, which aims at automated methods for analyzing the resource-usage of such programs. Previous approaches for this problem could only handle…

Programming Languages · Computer Science 2019-03-26 Peixin Wang , Hongfei Fu , Amir Kafshdar Goharshady , Krishnendu Chatterjee , Xudong Qin , Wenjun Shi

We introduce the use of two machine learning algorithms to create an empirical model of an experimental apparatus, which is able to reduce the number of measurements necessary for generic optimisation tasks exponentially as compared to…

Quantum Physics · Physics 2020-05-20 Pascal Kobel , Martin Link , Michael Köhl

Several new algorithms for deciding emptiness of Boolean combinations of regular languages and of languages of alternating automata (AFA) have been proposed recently, especially in the context of analysing regular expressions and in string…

Formal Languages and Automata Theory · Computer Science 2023-04-12 Tomáš Fiedor , Lukáš Holík , Martin Hruška , Adam Rogalewicz , Juraj Síč , Pavol Vargovčík

Adaptive robust optimization (ARO) extends static robust optimization by allowing decisions to depend on the realized uncertainty - weakly dominating static solutions within the modeled uncertainty set. However, ARO makes previous…

Optimization and Control · Mathematics 2025-11-20 Karl Zhu , Dimitris Bertsimas
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