pwc-archive/papers-with-abstracts huggingface dataset:
Applying Reinforcement Learning to Option Pricing and Hedging
Authors: Zoran Stoiljkovic
Date: 2023-10-06 00:00:00
Tasks: Q-Learning, reinforcement-learning, Reinforcement Learning

This thesis provides an overview of the recent advances in reinforcement learning in pricing and hedging financial instruments, with a primary focus on a detailed explanation of the Q-Learning Black Scholes approach, introduced by Halperin (2017). This reinforcement learning approach bridges the traditional Black and Scholes (1973) model with novel artificial intelligence algorithms, enabling option pricing and hedging in a completely model-free and data-driven way. This paper also explores the algorithm's performance under different state variables and scenarios for a European put option. The results reveal that the model is an accurate estimator under different levels of volatility and hedging frequency. Moreover, this method exhibits robust performance across various levels of option's moneyness. Lastly, the algorithm incorporates proportional transaction costs, indicating diverse impacts on profit and loss, affected by different statistical properties of the state variables.
Saliency-Guided Hidden Associative Replay for Continual Learning
Authors: Guangji Bai, Qilong Zhao, Xiaoyang Jiang, Yifei Zhang, Liang Zhao
Date: 2023-10-06 00:00:00
Tasks: Continual Learning, Retrieval

Continual Learning is a burgeoning domain in next-generation AI, focusing on training neural networks over a sequence of tasks akin to human learning. While CL provides an edge over traditional supervised learning, its central challenge remains to counteract catastrophic forgetting and ensure the retention of prior tasks during subsequent learning. Amongst various strategies to tackle this, replay based methods have emerged as preeminent, echoing biological memory mechanisms. However, these methods are memory intensive, often preserving entire data samples, an approach inconsistent with humans selective memory retention of salient experiences. While some recent works have explored the storage of only significant portions of data in episodic memory, the inherent nature of partial data necessitates innovative retrieval mechanisms. Current solutions, like inpainting, approximate full data reconstruction from partial cues, a method that diverges from genuine human memory processes. Addressing these nuances, this paper presents the Saliency Guided Hidden Associative Replay for Continual Learning. This novel framework synergizes associative memory with replay-based strategies. SHARC primarily archives salient data segments via sparse memory encoding. Importantly, by harnessing associative memory paradigms, it introduces a content focused memory retrieval mechanism, promising swift and near-perfect recall, bringing CL a step closer to authentic human memory processes. Extensive experimental results demonstrate the effectiveness of our proposed method for various continual learning tasks.
Robust Losses for Decision-Focused Learning
Authors: Noah Schutte, Krzysztof Postek, Neil Yorke-Smith
Date: 2023-10-06 00:00:00

Optimization models used to make discrete decisions often contain uncertain parameters that are context-dependent and estimated through prediction. To account for the quality of the decision made based on the prediction, decision-focused learning (end-to-end predict-then-optimize) aims at training the predictive model to minimize regret, i.e., the loss incurred by making a suboptimal decision. Despite the challenge of the gradient of this loss w.r.t. the predictive model parameters being zero almost everywhere for optimization problems with a linear objective, effective gradient-based learning approaches have been proposed to minimize the expected loss, using the empirical loss as a surrogate. However, empirical regret can be an ineffective surrogate because empirical optimal decisions can vary substantially from expected optimal decisions. To understand the impact of this deficiency, we evaluate the effect of aleatoric and epistemic uncertainty on the accuracy of empirical regret as a surrogate. Next, we propose three novel loss functions that approximate expected regret more robustly. Experimental results show that training two state-of-the-art decision-focused learning approaches using robust regret losses improves test-sample empirical regret in general while keeping computational time equivalent relative to the number of training epochs.
Program Synthesis with Best-First Bottom-Up Search
Authors: Saqib Ameen, Levi H. S. Lelis
Date: 2023-10-06 00:00:00
Tasks: Program Synthesis

Cost-guided bottom-up search (BUS) algorithms use a cost function to guide the search to solve program synthesis tasks. In this paper, we show that current state-of-the-art cost-guided BUS algorithms suffer from a common problem: they can lose useful information given by the model and fail to perform the search in a best-first order according to a cost function. We introduce a novel best-first bottom-up search algorithm, which we call Bee Search, that does not suffer information loss and is able to perform cost-guided bottom-up synthesis in a best-first manner. Importantly, Bee Search performs best-first search with respect to the generation of programs, i.e., it does not even create in memory programs that are more expensive than the solution program. It attains best-first ordering with respect to generation by performing a search in an abstract space of program costs. We also introduce a new cost function that better uses the information provided by an existing cost model. Empirical results on string manipulation and bit-vector tasks show that Bee Search can outperform existing cost-guided BUS approaches when employing more complex domain-specific languages (DSLs); Bee Search and previous approaches perform equally well with simpler DSLs. Furthermore, our new cost function with Bee Search outperforms previous cost functions on string manipulation tasks.
Adjustable Robust Reinforcement Learning for Online 3D Bin Packing
Date: 2023-10-06 00:00:00
Proceeding: NeurIPS 2023 11
Tasks: 3D Bin Packing, Deep Reinforcement Learning, reinforcement-learning, Reinforcement Learning

Designing effective policies for the online 3D bin packing problem (3D-BPP) has been a long-standing challenge, primarily due to the unpredictable nature of incoming box sequences and stringent physical constraints. While current deep reinforcement learning (DRL) methods for online 3D-BPP have shown promising results in optimizing average performance over an underlying box sequence distribution, they often fail in real-world settings where some worst-case scenarios can materialize. Standard robust DRL algorithms tend to overly prioritize optimizing the worst-case performance at the expense of performance under normal problem instance distribution. To address these issues, we first introduce a permutation-based attacker to investigate the practical robustness of both DRL-based and heuristic methods proposed for solving online 3D-BPP. Then, we propose an adjustable robust reinforcement learning (AR2L) framework that allows efficient adjustment of robustness weights to achieve the desired balance of the policy's performance in average and worst-case environments. Specifically, we formulate the objective function as a weighted sum of expected and worst-case returns, and derive the lower performance bound by relating to the return under a mixture dynamics. To realize this lower bound, we adopt an iterative procedure that searches for the associated mixture dynamics and improves the corresponding policy. We integrate this procedure into two popular robust adversarial algorithms to develop the exact and approximate AR2L algorithms. Experiments demonstrate that AR2L is versatile in the sense that it improves policy robustness while maintaining an acceptable level of performance for the nominal case.
Distributed Deep Joint Source-Channel Coding with Decoder-Only Side Information
Authors: Selim F. Yilmaz, Ezgi Ozyilkan, Deniz Gunduz, Elza Erkip
Date: 2023-10-06 00:00:00
Tasks: Decoder

We consider low-latency image transmission over a noisy wireless channel when correlated side information is present only at the receiver side (the Wyner-Ziv scenario). In particular, we are interested in developing practical schemes using a data-driven joint source-channel coding (JSCC) approach, which has been previously shown to outperform conventional separation-based approaches in the practical finite blocklength regimes, and to provide graceful degradation with channel quality. We propose a novel neural network architecture that incorporates the decoder-only side information at multiple stages at the receiver side. Our results demonstrate that the proposed method succeeds in integrating the side information, yielding improved performance at all channel conditions in terms of the various quality measures considered here, especially at low channel signal-to-noise ratios (SNRs) and small bandwidth ratios (BRs). We have made the source code of the proposed method public to enable further research, and the reproducibility of the results.
Convergent ADMM Plug and Play PET Image Reconstruction
Authors: Florent Sureau, Mahdi Latreche, Marion Savanier, Claude Comtat
Date: 2023-10-06 00:00:00
Tasks: Image Reconstruction

In this work, we investigate hybrid PET reconstruction algorithms based on coupling a model-based variational reconstruction and the application of a separately learnt Deep Neural Network operator (DNN) in an ADMM Plug and Play framework. Following recent results in optimization, fixed point convergence of the scheme can be achieved by enforcing an additional constraint on network parameters during learning. We propose such an ADMM algorithm and show in a realistic [18F]-FDG synthetic brain exam that the proposed scheme indeed lead experimentally to convergence to a meaningful fixed point. When the proposed constraint is not enforced during learning of the DNN, the proposed ADMM algorithm was observed experimentally not to converge.
Identifying Representations for Intervention Extrapolation
Authors: Sorawit Saengkyongam, Elan Rosenfeld, Pradeep Ravikumar, Niklas Pfister, Jonas Peters
Date: 2023-10-06 00:00:00
Tasks: Representation Learning

The premise of identifiable and causal representation learning is to improve the current representation learning paradigm in terms of generalizability or robustness. Despite recent progress in questions of identifiability, more theoretical results demonstrating concrete advantages of these methods for downstream tasks are needed. In this paper, we consider the task of intervention extrapolation: predicting how interventions affect an outcome, even when those interventions are not observed at training time, and show that identifiable representations can provide an effective solution to this task even if the interventions affect the outcome non-linearly. Our setup includes an outcome Y, observed features X, which are generated as a non-linear transformation of latent features Z, and exogenous action variables A, which influence Z. The objective of intervention extrapolation is to predict how interventions on A that lie outside the training support of A affect Y. Here, extrapolation becomes possible if the effect of A on Z is linear and the residual when regressing Z on A has full support. As Z is latent, we combine the task of intervention extrapolation with identifiable representation learning, which we call Rep4Ex: we aim to map the observed features X into a subspace that allows for non-linear extrapolation in A. We show that the hidden representation is identifiable up to an affine transformation in Z-space, which is sufficient for intervention extrapolation. The identifiability is characterized by a novel constraint describing the linearity assumption of A on Z. Based on this insight, we propose a method that enforces the linear invariance constraint and can be combined with any type of autoencoder. We validate our theoretical findings through synthetic experiments and show that our approach succeeds in predicting the effects of unseen interventions.
Towards Foundational Models for Molecular Learning on Large-Scale Multi-Task Datasets
Authors: Dominique Beaini, Shenyang Huang, Joao Alex Cunha, Zhiyi Li, Gabriela Moisescu-Pareja, Oleksandr Dymov, Samuel Maddrell-Mander, Callum McLean, Frederik Wenkel, Luis Müller, Jama Hussein Mohamud, Ali Parviz, Michael Craig, Michał Koziarski, Jiarui Lu, Zhaocheng Zhu, Cristian Gabellini, Kerstin Klaser, Josef Dean, Cas Wognum, Maciej Sypetkowski, Guillaume Rabusseau, Reihaneh Rabbany, Jian Tang, Christopher Morris, Ioannis Koutis, Mirco Ravanelli, Guy Wolf, Prudencio Tossou, Hadrien Mary, Therence Bois, Andrew Fitzgibbon, Błażej Banaszewski, Chad Martin, Dominic Masters
Date: 2023-10-06 00:00:00

Recently, pre-trained foundation models have enabled significant advancements in multiple fields. In molecular machine learning, however, where datasets are often hand-curated, and hence typically small, the lack of datasets with labeled features, and codebases to manage those datasets, has hindered the development of foundation models. In this work, we present seven novel datasets categorized by size into three distinct categories: ToyMix, LargeMix and UltraLarge. These datasets push the boundaries in both the scale and the diversity of supervised labels for molecular learning. They cover nearly 100 million molecules and over 3000 sparsely defined tasks, totaling more than 13 billion individual labels of both quantum and biological nature. In comparison, our datasets contain 300 times more data points than the widely used OGB-LSC PCQM4Mv2 dataset, and 13 times more than the quantum-only QM1B dataset. In addition, to support the development of foundational models based on our proposed datasets, we present the Graphium graph machine learning library which simplifies the process of building and training molecular machine learning models for multi-task and multi-level molecular datasets. Finally, we present a range of baseline results as a starting point of multi-task and multi-level training on these datasets. Empirically, we observe that performance on low-resource biological datasets show improvement by also training on large amounts of quantum data. This indicates that there may be potential in multi-task and multi-level training of a foundation model and fine-tuning it to resource-constrained downstream tasks.
Assessing Robustness via Score-Based Adversarial Image Generation
Authors: Marcel Kollovieh, Lukas Gosch, Yan Scholten, Marten Lienen, Stephan Günnemann
Date: 2023-10-06 00:00:00
Tasks: Image Generation

Most adversarial attacks and defenses focus on perturbations within small $\ell_p$-norm constraints. However, $\ell_p$ threat models cannot capture all relevant semantic-preserving perturbations, and hence, the scope of robustness evaluations is limited. In this work, we introduce Score-Based Adversarial Generation (ScoreAG), a novel framework that leverages the advancements in score-based generative models to generate adversarial examples beyond $\ell_p$-norm constraints, so-called unrestricted adversarial examples, overcoming their limitations. Unlike traditional methods, ScoreAG maintains the core semantics of images while generating realistic adversarial examples, either by transforming existing images or synthesizing new ones entirely from scratch. We further exploit the generative capability of ScoreAG to purify images, empirically enhancing the robustness of classifiers. Our extensive empirical evaluation demonstrates that ScoreAG matches the performance of state-of-the-art attacks and defenses across multiple benchmarks. This work highlights the importance of investigating adversarial examples bounded by semantics rather than $\ell_p$-norm constraints. ScoreAG represents an important step towards more encompassing robustness assessments.
On the Error-Propagation of Inexact Hotelling's Deflation for Principal Component Analysis
Authors: Fangshuo Liao, Junhyung Lyle Kim, Cruz Barnum, Anastasios Kyrillidis
Date: 2023-10-06 00:00:00

Principal Component Analysis (PCA) aims to find subspaces spanned by the so-called principal components that best represent the variance in the dataset. The deflation method is a popular meta-algorithm that sequentially finds individual principal components, starting from the most important ones and working towards the less important ones. However, as deflation proceeds, numerical errors from the imprecise estimation of principal components propagate due to its sequential nature. This paper mathematically characterizes the error propagation of the inexact Hotelling's deflation method. We consider two scenarios: $i)$ when the sub-routine for finding the leading eigenvector is abstract and can represent various algorithms; and $ii)$ when power iteration is used as the sub-routine. In the latter case, the additional directional information from power iteration allows us to obtain a tighter error bound than the sub-routine agnostic case. For both scenarios, we explicitly characterize how the errors progress and affect subsequent principal component estimations.
Deep learning modelling of manufacturing and build variations on multi-stage axial compressors aerodynamics
Authors: Giuseppe Bruni, Sepehr Maleki, Senthil K. Krishnababu
Date: 2023-10-06 00:00:00
Tasks: Dimensionality Reduction, Physical Simulations

Applications of deep learning to physical simulations such as Computational Fluid Dynamics have recently experienced a surge in interest, and their viability has been demonstrated in different domains. However, due to the highly complex, turbulent, and three-dimensional flows, they have not yet been proven usable for turbomachinery applications. Multistage axial compressors for gas turbine applications represent a remarkably challenging case, due to the high-dimensionality of the regression of the flow field from geometrical and operational variables. This paper demonstrates the development and application of a deep learning framework for predictions of the flow field and aerodynamic performance of multistage axial compressors. A physics-based dimensionality reduction approach unlocks the potential for flow-field predictions, as it re-formulates the regression problem from an unstructured to a structured one, as well as reducing the number of degrees of freedom. Compared to traditional "black-box" surrogate models, it provides explainability to the predictions of the overall performance by identifying the corresponding aerodynamic drivers. The model is applied to manufacturing and build variations, as the associated performance scatter is known to have a significant impact on $CO_2$ emissions, which poses a challenge of great industrial and environmental relevance. The proposed architecture is proven to achieve an accuracy comparable to that of the CFD benchmark, in real-time, for an industrially relevant application. The deployed model is readily integrated within the manufacturing and build process of gas turbines, thus providing the opportunity to analytically assess the impact on performance with actionable and explainable data.
Improving Reinforcement Learning Efficiency with Auxiliary Tasks in Non-Visual Environments: A Comparison
Authors: Moritz Lange, Noah Krystiniak, Raphael C. Engelhardt, Wolfgang Konen, Laurenz Wiskott
Date: 2023-10-06 00:00:00
Tasks: Continuous Control, reinforcement-learning, Reinforcement Learning (RL), Representation Learning

Real-world reinforcement learning (RL) environments, whether in robotics or industrial settings, often involve non-visual observations and require not only efficient but also reliable and thus interpretable and flexible RL approaches. To improve efficiency, agents that perform state representation learning with auxiliary tasks have been widely studied in visual observation contexts. However, for real-world problems, dedicated representation learning modules that are decoupled from RL agents are more suited to meet requirements. This study compares common auxiliary tasks based on, to the best of our knowledge, the only decoupled representation learning method for low-dimensional non-visual observations. We evaluate potential improvements in sample efficiency and returns for environments ranging from a simple pendulum to a complex simulated robotics task. Our findings show that representation learning with auxiliary tasks only provides performance gains in sufficiently complex environments and that learning environment dynamics is preferable to predicting rewards. These insights can inform future development of interpretable representation learning approaches for non-visual observations and advance the use of RL solutions in real-world scenarios.
Bringing Quantum Algorithms to Automated Machine Learning: A Systematic Review of AutoML Frameworks Regarding Extensibility for QML Algorithms
Authors: Dennis Klau, Marc Zöller, Christian Tutschku
Date: 2023-10-06 00:00:00
Tasks: AutoML, Benchmarking, Quantum Machine Learning

This work describes the selection approach and analysis of existing AutoML frameworks regarding their capability of a) incorporating Quantum Machine Learning (QML) algorithms into this automated solving approach of the AutoML framing and b) solving a set of industrial use-cases with different ML problem types by benchmarking their most important characteristics. For that, available open-source tools are condensed into a market overview and suitable frameworks are systematically selected on a multi-phase, multi-criteria approach. This is done by considering software selection approaches, as well as in terms of the technical perspective of AutoML. The requirements for the framework selection are divided into hard and soft criteria regarding their software and ML attributes. Additionally, a classification of AutoML frameworks is made into high- and low-level types, inspired by the findings of. Finally, we select Ray and AutoGluon as the suitable low- and high-level frameworks respectively, as they fulfil all requirements sufficiently and received the best evaluation feedback during the use-case study. Based on those findings, we build an extended Automated Quantum Machine Learning (AutoQML) framework with QC-specific pipeline steps and decision characteristics for hardware and software constraints.
A Fixed-Parameter Tractable Algorithm for Counting Markov Equivalence Classes with the same Skeleton
Authors: Vidya Sagar Sharma
Date: 2023-10-06 00:00:00

Causal DAGs (also known as Bayesian networks) are a popular tool for encoding conditional dependencies between random variables. In a causal DAG, the random variables are modeled as vertices in the DAG, and it is stipulated that every random variable is independent of its ancestors conditioned on its parents. It is possible, however, for two different causal DAGs on the same set of random variables to encode exactly the same set of conditional dependencies. Such causal DAGs are said to be Markov equivalent, and equivalence classes of Markov equivalent DAGs are known as Markov Equivalent Classes (MECs). Beautiful combinatorial characterizations of MECs have been developed in the past few decades, and it is known, in particular that all DAGs in the same MEC must have the same "skeleton" (underlying undirected graph) and v-structures (induced subgraph of the form $a\rightarrow b \leftarrow c$). These combinatorial characterizations also suggest several natural algorithmic questions. One of these is: given an undirected graph $G$ as input, how many distinct Markov equivalence classes have the skeleton $G$? Much work has been devoted in the last few years to this and other closely related problems. However, to the best of our knowledge, a polynomial time algorithm for the problem remains unknown. In this paper, we make progress towards this goal by giving a fixed parameter tractable algorithm for the above problem, with the parameters being the treewidth and the maximum degree of the input graph $G$. The main technical ingredient in our work is a construction we refer to as shadow, which lets us create a "local description" of long-range constraints imposed by the combinatorial characterizations of MECs.