Related papers: Robust Utility Optimization via a GAN Approach
In this paper, we propose a generative adversarial network (GAN) approach for efficiently computing volatility surfaces. The idea is to make use of the special GAN neural architecture so that on one hand, we can learn volatility surfaces…
Many applications in machine learning can be framed as minimization problems and solved efficiently using gradient-based techniques. However, recent applications of generative models, particularly GANs, have triggered interest in solving…
We construct realistic equity option market simulators based on generative adversarial networks (GANs). We consider recurrent and temporal convolutional architectures, and assess the impact of state compression. Option market simulators are…
We present a general computational framework for solving continuous-time financial market equilibria under minimal modeling assumptions while incorporating realistic financial frictions, such as trading costs, and supporting multiple…
Algorithmic trading relies on machine learning models to make trading decisions. Despite strong in-sample performance, these models often degrade when confronted with evolving real-world market regimes, which can shift dramatically due to…
This paper presents a novel deep learning based data-driven optimization method. A novel generative adversarial network (GAN) based data-driven distributionally robust chance constrained programming framework is proposed. GAN is applied to…
Generative Adversarial Networks (GAN) have become one of the most successful frameworks for unsupervised generative modeling. As GANs are difficult to train much research has focused on this. However, very little of this research has…
We are interested in the design of generative networks. The training of these mathematical structures is mostly performed with the help of adversarial (min-max) optimization problems. We propose a simple methodology for constructing such…
We study the design of resilient and reliable communication networks in which a signal can be transferred only up to a limited distance before its quality falls below an acceptable threshold. When excessive signal degradation occurs,…
In recent years, Generative Adversarial Networks (GANs) have drawn a lot of attentions for learning the underlying distribution of data in various applications. Despite their wide applicability, training GANs is notoriously difficult. This…
Generative adversarial networks (GANs) are powerful tools for learning generative models. In practice, the training may suffer from lack of convergence. GANs are commonly viewed as a two-player zero-sum game between two neural networks.…
Generative adversarial networks (GANs) are powerful generative models, but usually suffer from instability and generalization problem which may lead to poor generations. Most existing works focus on stabilizing the training of the…
Generative adversarial networks (GANs) are designed with the help of min-max optimization problems that are solved with stochastic gradient-type algorithms which are known to be non-robust. In this work we revisit a non-adversarial method…
In many smart infrastructure applications flexibility in achieving sustainability goals can be gained by engaging end-users. However, these users often have heterogeneous preferences that are unknown to the decision-maker tasked with…
We consider the problem of training generative models with a Generative Adversarial Network (GAN). Although GANs can accurately model complex distributions, they are known to be difficult to train due to instabilities caused by a difficult…
Matching the performance of conditional Generative Adversarial Networks with little supervision is an important task, especially in venturing into new domains. We design a new training algorithm, which is robust to missing or ambiguous…
Generative adversarial networks (GANs) form a generative modeling approach known for producing appealing samples, but they are notably difficult to train. One common way to tackle this issue has been to propose new formulations of the GAN…
Smart grids are crucial for meeting rising energy demands driven by global population growth and urbanization. By integrating renewable energy sources, they enhance efficiency, reliability, and sustainability. However, ensuring their…
Generative adversarial networks (GANs) are a class of generative models, known for producing accurate samples. The key feature of GANs is that there are two antagonistic neural networks: the generator and the discriminator. The main…
Generative Adversarial Networks (GANs) are popular and successful generative models. Despite their success, optimization is notoriously challenging. In this work, we explain the success and limitations of GANs by casting them as Bayesian…