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We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed-form recursion for the optimal strategy,…

Trading and Market Microstructure · Quantitative Finance 2023-10-31 Tao Chen , Mike Ludkovski , Moritz Voß

We present a method for learning an embedding that places images of humans in similar poses nearby. This embedding can be used as a direct method of comparing images based on human pose, avoiding potential challenges of estimating body…

Computer Vision and Pattern Recognition · Computer Science 2015-07-02 Greg Mori , Caroline Pantofaru , Nisarg Kothari , Thomas Leung , George Toderici , Alexander Toshev , Weilong Yang

Although the neural network (NN) technique plays an important role in machine learning, understanding the mechanism of NN models and the transparency of deep learning still require more basic research. In this study, we propose a novel…

Machine Learning · Computer Science 2023-11-10 Shuyue Guan , Murray Loew

Derivation of the probability density evolution provides invaluable insight into the behavior of many stochastic systems and their performance. However, for most real-time applica-tions, numerical determination of the probability density…

Machine Learning · Computer Science 2022-07-06 Seid H. Pourtakdoust , Amir H. Khodabakhsh

Bayesian optimization has been shown to be a powerful tool for solving black box problems during online accelerator optimization. The major advantage of Bayesian based optimization techniques is the ability to include prior information…

Accelerator Physics · Physics 2022-11-17 Connie Xu , Ryan Roussel , Auralee Edelen

Surrogate neural network-based models have been lately trained and used in a variety of science and engineering applications where the number of evaluations of a target function is limited by execution time. In cell phone camera systems,…

Computational Engineering, Finance, and Science · Computer Science 2022-06-29 Shantanu Shahane , Erman Guleryuz , Diab W Abueidda , Allen Lee , Joe Liu , Xin Yu , Raymond Chiu , Seid Koric , Narayana R Aluru , Placid M Ferreira

We introduce a novel framework for training deep stereo networks effortlessly and without any ground-truth. By leveraging state-of-the-art neural rendering solutions, we generate stereo training data from image sequences collected with a…

Computer Vision and Pattern Recognition · Computer Science 2023-03-31 Fabio Tosi , Alessio Tonioni , Daniele De Gregorio , Matteo Poggi

Pre-trained deep image representations are useful for post-training tasks such as classification through transfer learning, image retrieval, and object detection. Data augmentations are a crucial aspect of pre-training robust…

Computer Vision and Pattern Recognition · Computer Science 2023-02-23 Sangnie Bhardwaj , Willie McClinton , Tongzhou Wang , Guillaume Lajoie , Chen Sun , Phillip Isola , Dilip Krishnan

Prototypical network for Few shot learning tries to learn an embedding function in the encoder that embeds images with similar features close to one another in the embedding space. However, in this process, the support set samples for a…

Computer Vision and Pattern Recognition · Computer Science 2022-11-23 Manas Gogoi , Sambhavi Tiwari , Shekhar Verma

Surrogate models for computational simulations are input-output approximations that allow computationally intensive analyses, such as uncertainty propagation and inference, to be performed efficiently. When a simulation output does not…

Computational Engineering, Finance, and Science · Computer Science 2014-08-05 Alex A. Gorodetsky , Youssef M. Marzouk

Estimation of optical aberrations from volumetric intensity images is a key step in sensorless adaptive optics for 3D microscopy. Recent approaches based on deep learning promise accurate results at fast processing speeds. However,…

Image and Video Processing · Electrical Eng. & Systems 2020-10-28 Debayan Saha , Uwe Schmidt , Qinrong Zhang , Aurelien Barbotin , Qi Hu , Na Ji , Martin J. Booth , Martin Weigert , Eugene W. Myers

Neural networks have become very popular in surrogate modeling because of their ability to characterize arbitrary, high dimensional functions in a data driven fashion. This paper advocates for the training of surrogates that are consistent…

Machine Learning · Computer Science 2022-06-08 Rushil Anirudh , Jayaraman J. Thiagarajan , Peer-Timo Bremer , Brian K. Spears

Network pruning is a widely used technique to reduce computation cost and model size for deep neural networks. However, the typical three-stage pipeline significantly increases the overall training time. In this paper, we develop a…

Neural and Evolutionary Computing · Computer Science 2023-04-11 Shanglin Zhou , Mikhail A. Bragin , Lynn Pepin , Deniz Gurevin , Fei Miao , Caiwen Ding

We present an approach for constructing a surrogate from ensembles of information sources of varying cost and accuracy. The multifidelity surrogate encodes connections between information sources as a directed acyclic graph, and is trained…

Machine Learning · Computer Science 2021-08-25 Alex Gorodetsky , John D. Jakeman , Gianluca Geraci

Neural network pruning is a popular technique used to reduce the inference costs of modern, potentially overparameterized, networks. Starting from a pre-trained network, the process is as follows: remove redundant parameters, retrain, and…

Machine Learning · Computer Science 2021-03-05 Lucas Liebenwein , Cenk Baykal , Brandon Carter , David Gifford , Daniela Rus

Modern approaches for simulation-based inference rely upon deep learning surrogates to enable approximate inference with computer simulators. In practice, the estimated posteriors' computational faithfulness is, however, rarely guaranteed.…

Machine Learning · Statistics 2022-08-30 Arnaud Delaunoy , Joeri Hermans , François Rozet , Antoine Wehenkel , Gilles Louppe

This paper studies the fast adaptive beamforming for the multiuser multiple-input single-output downlink. Existing deep learning-based approaches assume that training and testing channels follow the same distribution which causes task…

Information Theory · Computer Science 2021-09-21 Juping Zhang , Yi Yuan , Gan Zheng , Ioannis Krikidis , Kai-Kit Wong

Learning controller parameters from closed-loop data has been shown to improve closed-loop performance. Bayesian optimization, a widely used black-box and sample-efficient learning method, constructs a probabilistic surrogate of the…

Machine Learning · Computer Science 2025-12-15 Sebastian Hirt , Valentinus Suwanto , Hendrik Alsmeier , Maik Pfefferkorn , Rolf Findeisen

In most practical settings and theoretical analyses, one assumes that a model can be trained until convergence. However, the growing complexity of machine learning datasets and models may violate such assumptions. Indeed, current approaches…

Computer Vision and Pattern Recognition · Computer Science 2020-07-01 Mengtian Li , Ersin Yumer , Deva Ramanan

Deep neural networks (DNNs) are poorly calibrated when trained in conventional ways. To improve confidence calibration of DNNs, we propose a novel training method, distance-based learning from errors (DBLE). DBLE bases its confidence…

Machine Learning · Computer Science 2020-02-19 Chen Xing , Sercan Arik , Zizhao Zhang , Tomas Pfister
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