Related papers: Robust Utility Optimization via a GAN Approach
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market information and its dependence with tradable assets is…
Generative adversarial networks (GANs) provide an algorithmic framework for constructing generative models with several appealing properties: they do not require a likelihood function to be specified, only a generating procedure; they…
Generative adversarial networks (GANs) provide a way to learn deep representations without extensively annotated training data. They achieve this through deriving backpropagation signals through a competitive process involving a pair of…
Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or…
In topology optimization using deep learning, load and boundary conditions represented as vectors or sparse matrices often miss the opportunity to encode a rich view of the design problem, leading to less than ideal generalization results.…
We present a deep learning model for data-driven simulations of random dynamical systems without a distributional assumption. The deep learning model consists of a recurrent neural network, which aims to learn the time marching structure,…
Generative adversarial networks (GANs), modeled as a zero-sum game between a generator (G) and a discriminator (D), allow generating synthetic data with formal guarantees. Noting that D is a classifier, we begin by reformulating the GAN…
We present a novel method and analysis to train generative adversarial networks (GAN) in a stable manner. As shown in recent analysis, training is often undermined by the probability distribution of the data being zero on neighborhoods of…
Generative Adversarial Networks (GANs) are formulated as minimax game problems, whereby generators attempt to approach real data distributions by virtue of adversarial learning against discriminators. The intrinsic problem complexity poses…
In this paper, a novel experienced deep reinforcement learning (deep-RL) framework is proposed to provide model-free resource allocation for ultra reliable low latency communication (URLLC). The proposed, experienced deep-RL framework can…
We introduce a method to stabilize Generative Adversarial Networks (GANs) by defining the generator objective with respect to an unrolled optimization of the discriminator. This allows training to be adjusted between using the optimal…
Generative adversarial networks (GANs) are a family of generative models that do not minimize a single training criterion. Unlike other generative models, the data distribution is learned via a game between a generator (the generative…
We present a generative approach to price options and extract risk-neutral densities from the market. Specifically, we model the underlying log-returns on the time-to-maturity continuum as a generative model from standard normal. Neural…
Robust scatter estimation is a fundamental task in statistics. The recent discovery on the connection between robust estimation and generative adversarial nets (GANs) by Gao et al. (2018) suggests that it is possible to compute depth-like…
One of the most significant challenges in statistical signal processing and machine learning is how to obtain a generative model that can produce samples of large-scale data distribution, such as images and speeches. Generative Adversarial…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
The choice of parameters, and the design of the network architecture are important factors affecting the performance of deep neural networks. However, there has not been much work on developing an established and systematic way of building…
Generative adversarial networks (GANs) are a class of machine-learning models that use adversarial training to generate new samples with the same (potentially very complex) statistics as the training samples. One major form of training…
Ideally, what confuses neural network should be confusing to humans. However, recent experiments have shown that small, imperceptible perturbations can change the network prediction. To address this gap in perception, we propose a novel…
Many machine learning methods have been recently developed to circumvent the high computational cost of the gradient-based topology optimization. These methods typically require extensive and costly datasets for training, have a difficult…