Related papers: Entropy corrected geometric Brownian motion
The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the…
In this paper, we focus on the problem of integrating Energy-based Models (EBM) as guiding priors for motion optimization. EBMs are a set of neural networks that can represent expressive probability density distributions in terms of a Gibbs…
In this paper we study a parametric class of stochastic processes to model both fast and slow anomalous diffusion. This class, called generalized grey Brownian motion (ggBm), is made up off self-similar with stationary increments processes…
The time evolution of complex systems usually can be described through stochastic processes. These processes are measured at finite resolution, what necessarily reduces them to finite sequences of real numbers. In order to relate these data…
Problems of probabilistic inference and decision making under uncertainty commonly involve continuous random variables. Often these are discretized to a few points, to simplify assessments and computations. An alternative approximation is…
In the context of time-subordinated Brownian motion models, Fourier theory and methodology are proposed to modelling the stochastic distribution of time increments. Gaussian Variance-Mean mixtures and time-subordinated models are reviewed…
We study the numerical evaluation of several functions appearing in the small time expansion of the distribution of the time-integral of the geometric Brownian motion as well as its joint distribution with the terminal value of the…
Surprisingly the looking natural random walk leading to Brownian motion occurs to be often biased in a very subtle way: usually refers to only approximate fulfillment of thermodynamical principles like maximizing uncertainty. Recently, a…
Regularization of control policies using entropy can be instrumental in adjusting predictability of real-world systems. Applications benefiting from such approaches range from, e.g., cybersecurity, which aims at maximal unpredictability, to…
Explainable boosting machines (EBMs) are popular "glass-box" models that learn a set of univariate functions using boosting trees. These achieve explainability through visualizations of each feature's effect. However, unlike linear model…
A well-known result across information theory, machine learning, and statistical physics shows that the maximum entropy distribution under a mean constraint has an exponential form called the Gibbs-Boltzmann distribution. This is used for…
We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…
Gradient Boosting Machine (GBM) introduced by Friedman is a powerful supervised learning algorithm that is very widely used in practice---it routinely features as a leading algorithm in machine learning competitions such as Kaggle and the…
We propose a Restricted Boltzmann Machine (RBM) neural network using a quantum thermodynamics formalism and the maximization of entropy as the cost function for the optimization problem. We verify the possibility of using an entropy…
Bayesian nonparametric mixture models are widely used to cluster observations. However, one major drawback of the approach is that the estimated partition often presents unbalanced clusters' frequencies with only a few dominating clusters…
Energy-based models (EBMs) are known in the Machine Learning community for decades. Since the seminal works devoted to EBMs dating back to the noughties, there have been a lot of efficient methods which solve the generative modelling…
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an…
Trigonometric and trigonometric-algebraic entropies are introduced. Regularity increases the entropy and the maximal entropy is shown to result when a regular $n$-gon is inscribed in a circle. A regular $n$-gon circumscribing a circle gives…
We study entropy-bounded computational geometry, that is, geometric algorithms whose running times depend on a given measure of the input entropy. Specifically, we introduce a measure that we call range-partition entropy, which unifies and…
Boltzmann introduced in the 1870's a logarithmic measure for the connection between the thermodynamical entropy and the probabilities of the microscopic configurations of the system. His entropic functional for classical systems was…