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Utilizing market forecasts is pivotal in optimizing portfolio selection strategies. We introduce DeepClair, a novel framework for portfolio selection. DeepClair leverages a transformer-based time-series forecasting model to predict market…

Stochastic forecasting is critical for efficient decision-making in uncertain systems, such as energy markets and finance, where estimating the full distribution of future scenarios is essential. We propose Diffusion Scenario Tree (DST), a…

Time series forecasting models are becoming increasingly prevalent due to their critical role in decision-making across various domains. However, most existing approaches represent the coupled temporal patterns, often neglecting the…

Offline decision-making via diffusion models often produces trajectories that are misaligned with system dynamics, limiting their reliability for control. We propose Model Predictive Diffuser (MPDiffuser), a compositional diffusion…

Diffusion models demonstrate remarkable capabilities in capturing complex data distributions and have achieved compelling results in many generative tasks. While they have recently been extended to dense prediction tasks such as depth…

We propose a novel conditional diffusion model for contextual portfolio optimization that learns the cross-sectional distribution of next-day stock returns conditioned on high-dimensional asset-specific factors. Our model leverages a…

Diffusion models have achieved state-of-the-art performance across multiple domains, with recent advancements extending their applicability to discrete data. However, aligning discrete diffusion models with task-specific preferences remains…

Generative diffusion models, famous for their performance in image generation, are popular in various cross-domain applications. However, their use in the communication community has been mostly limited to auxiliary tasks like data modeling…

Diffusion Probabilistic Models stand as a critical tool in generative modelling, enabling the generation of complex data distributions. This family of generative models yields record-breaking performance in tasks such as image synthesis,…

Denoising diffusion probabilistic models have transformed image generation with their impressive fidelity and diversity. We show that they also excel in estimating optical flow and monocular depth, surprisingly, without task-specific…

This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and…

Generative modelling over continuous-time geometric constructs, a.k.a such as handwriting, sketches, drawings etc., have been accomplished through autoregressive distributions. Such strictly-ordered discrete factorization however falls…

Renewable resources are strongly dependent on local and large-scale weather situations. Skillful subseasonal to seasonal (S2S) forecasts -- beyond two weeks and up to two months -- can offer significant socioeconomic advantages to the…

Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…

Building the future profit and loss (P&L) distribution of a portfolio holding, among other assets, highly non-linear and path-dependent derivatives is a challenging task. We provide a simple machinery where more and more assets could be…

In the fast-fashion industry, overproduction and unsold inventory create significant environmental problems. Precise sales forecasts for unreleased items could drastically improve the efficiency and profits of industries. However,…

Decision-focused learning (DFL) integrates predictive modeling and optimization by training predictors to optimize the downstream decision target rather than merely minimizing prediction error. To date, existing DFL methods typically rely…

This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…

Model-based reinforcement learning methods often use learning only for the purpose of estimating an approximate dynamics model, offloading the rest of the decision-making work to classical trajectory optimizers. While conceptually simple,…

Sampling from the posterior is a key technical problem in Bayesian statistics. Rigorous guarantees are difficult to obtain for Markov Chain Monte Carlo algorithms of common use. In this paper, we study an alternative class of algorithms…