相关论文: Robust volatility updates for Hierarchical Gaussia…

I propose a novel approach for nonlinear Logistic regression using a two-layer neural network (NN) model structure with hierarchical priors on the network weights. I present a hybrid of expectation propagation called Variational Expectation…

We introduce hybrid gausslet/Gaussian basis sets, where a standard Gaussian basis is added to a gausslet basis in order to increase accuracy near the nuclei while keeping the spacing of the grid of gausslets relatively large. The Gaussians…

Volatility is a key variable in option pricing, trading and hedging strategies. The purpose of this paper is to improve the accuracy of forecasting implied volatility using an extension of genetic programming (GP) by means of dynamic…

Accurate flood forecasting remains a challenge for water-resource management, as it demands modeling of local, time-varying runoff drivers (e.g., rainfall-induced peaks, baseflow trends) and complex spatial interactions across a river…

Graph convolutional networks (GCNs) have been successfully applied in node classification tasks of network mining. However, most of these models based on neighborhood aggregation are usually shallow and lack the "graph pooling" mechanism,…

This thesis is devoted to the investigations of gravitational wave (GW) data analysis from a continuous source e.g. a pulsar, a binary star system. The first Chapter is an introduction to gravitational wave and second Chapter is on the data…

This work investigates fault-resilient federated learning when the data samples are non-uniformly distributed across workers, and the number of faulty workers is unknown to the central server. In the presence of adversarially faulty workers…

Stochastic variational inference algorithms are derived for fitting various heteroskedastic time series models. We examine Gaussian, t, and skew-t response GARCH models and fit these using Gaussian variational approximating densities. We…

Models with random effects, such as generalised linear mixed models (GLMMs), are often used for analysing clustered data. Parameter inference with these models is difficult because of the presence of cluster-specific random effects, which…

Graph Neural Networks (GNN) have gained significant traction in the forecasting domain, especially for their capacity to simultaneously account for intra-series temporal correlations and inter-series relationships. This paper introduces a…

We present a novel methodology for modeling and forecasting multivariate realized volatilities using customized graph neural networks to incorporate spillover effects across stocks. The proposed model offers the benefits of incorporating…

Fine-tuning flow matching models is a central challenge in settings with limited data, evolving distributions, or strict efficiency demands, where unconstrained fine-tuning can erode the accuracy and efficiency gains learned during…

Variational Bayesian neural networks combine the flexibility of deep learning with Bayesian uncertainty estimation. However, inference procedures for flexible variational posteriors are computationally expensive. A recently proposed method,…

Many methods for machine learning rely on approximate inference from intractable probability distributions. Variational inference approximates such distributions by tractable models that can be subsequently used for approximate inference.…

Stochastic Gradient Descent (SGD) and its momentum variants form the backbone of deep learning optimization, yet the underlying dynamics of their gradient behavior remain insufficiently understood. In this work, we reinterpret gradient…

Stochastic models with global parameters and latent variables are common, and for which variational inference (VI) is popular. However, existing methods are often either slow or inaccurate in high dimensions. We suggest a fast and accurate…

This paper presents a comparative analysis of univariate and multivariate GARCH-family models and machine learning algorithms in modeling and forecasting the volatility of major energy commodities: crude oil, gasoline, heating oil, and…

Constraining a numerical weather prediction (NWP) model with observations via 4D variational (4D-Var) data assimilation is often difficult to implement in practice due to the need to develop and maintain a software-based tangent linear…

To model time-varying nonlinear temporal dynamics in sequential data, a recurrent network capable of varying and adjusting the recurrence depth between input intervals is examined. The recurrence depth is extended by several intermediate…

Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…