pwc-archive/papers-with-abstracts huggingface dataset:
Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors
Authors: Wenyuan Wang, Kaixin Yan, Xiang Yu
Date: 2024-01-26 00:00:00
Tasks: Management

This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is periodically evaluated on the relative ratio of two adjacent wealth levels over an infinite horizon. For both power and logarithmic utilities, we formulate the auxiliary one-period optimization problems with modified utility functions, for which we develop the martingale duality approach to establish the existence of the optimal portfolio processes and the dual minimizers can be identified as the "least favorable" completion of the market. With the help of the duality results in the auxiliary problems and some fixed point arguments, we further derive and verify the optimal portfolio processes in a periodic manner for the original periodic evaluation problems over an infinite horizon.
Analysis of an aggregate loss model in a Markov renewal regime
Authors: Pepa Ramírez-Cobo, Emilio Carrizosa, Rosa Elvira Lillo
Date: 2024-01-25 00:00:00

In this article we consider an aggregate loss model with dependent losses. The losses occurrence process is governed by a two-state Markovian arrival process (MAP2), a Markov renewal process process that allows for (1) correlated inter-losses times, (2) non-exponentially distributed inter-losses times and, (3) overdisperse losses counts. Some quantities of interest to measure persistence in the loss occurrence process are obtained. Given a real operational risk database, the aggregate loss model is estimated by fitting separately the inter-losses times and severities. The MAP2 is estimated via direct maximization of the likelihood function, and severities are modeled by the heavy-tailed, double-Pareto Lognormal distribution. In comparison with the fit provided by the Poisson process, the results point out that taking into account the dependence and overdispersion in the inter-losses times distribution leads to higher capital charges.
ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market
Authors: Eeshaan Dutta, Sarthak Diwan, Siddhartha P. Chakrabarty
Date: 2024-01-26 00:00:00
Tasks: Algorithmic Trading

This paper proposes an algorithmic trading framework integrating Environmental, Social, and Governance (ESG) ratings with a pairs trading strategy. It addresses the demand for socially responsible investment solutions by developing a unique algorithm blending ESG data with methods for identifying co-integrated stocks. This allows selecting profitable pairs adhering to ESG principles. Further, it incorporates technical indicators for optimal trade execution within this sustainability framework. Extensive back-testing provides evidence of the model's effectiveness, consistently generating positive returns exceeding conventional pairs trading strategies, while upholding ESG principles. This paves the way for a transformative approach to algorithmic trading, offering insights for investors, policymakers, and academics.
Can generative AI and ChatGPT outperform humans on cognitive-demanding problem-solving tasks in science?
Authors: Xiaoming Zhai, Matthew Nyaaba, Wenchao Ma
Date: 2024-01-07 00:00:00

This study aimed to examine an assumption that generative artificial intelligence (GAI) tools can overcome the cognitive intensity that humans suffer when solving problems. We compared the performance of ChatGPT and GPT-4 on 2019 NAEP science assessments with students by cognitive demands of the items. Fifty-four tasks were coded by experts using a two-dimensional cognitive load framework, including task cognitive complexity and dimensionality. ChatGPT and GPT-4 responses were scored using the scoring keys of NAEP. The analysis of the available data was based on the average student ability scores for students who answered each item correctly and the percentage of students who responded to individual items. Results showed that both ChatGPT and GPT-4 consistently outperformed most students who answered the NAEP science assessments. As the cognitive demand for NAEP tasks increases, statistically higher average student ability scores are required to correctly address the questions. This pattern was observed for students in grades 4, 8, and 12, respectively. However, ChatGPT and GPT-4 were not statistically sensitive to the increase in cognitive demands of the tasks, except for Grade 4. As the first study focusing on comparing GAI and K-12 students in problem-solving in science, this finding implies the need for changes to educational objectives to prepare students with competence to work with GAI tools in the future. Education ought to emphasize the cultivation of advanced cognitive skills rather than depending solely on tasks that demand cognitive intensity. This approach would foster critical thinking, analytical skills, and the application of knowledge in novel contexts. Findings also suggest the need for innovative assessment practices by moving away from cognitive intensity tasks toward creativity and analytical skills to avoid the negative effects of GAI on testing more efficiently.
CAREForMe: Contextual Multi-Armed Bandit Recommendation Framework for Mental Health
Authors: Sheng Yu, Narjes Nourzad, Randye J. Semple, Yixue Zhao, Emily Zhou, Bhaskar Krishnamachari
Date: 2024-01-26 00:00:00

The COVID-19 pandemic has intensified the urgency for effective and accessible mental health interventions in people's daily lives. Mobile Health (mHealth) solutions, such as AI Chatbots and Mindfulness Apps, have gained traction as they expand beyond traditional clinical settings to support daily life. However, the effectiveness of current mHealth solutions is impeded by the lack of context-awareness, personalization, and modularity to foster their reusability. This paper introduces CAREForMe, a contextual multi-armed bandit (CMAB) recommendation framework for mental health. Designed with context-awareness, personalization, and modularity at its core, CAREForMe harnesses mobile sensing and integrates online learning algorithms with user clustering capability to deliver timely, personalized recommendations. With its modular design, CAREForMe serves as both a customizable recommendation framework to guide future research, and a collaborative platform to facilitate interdisciplinary contributions in mHealth research. We showcase CAREForMe's versatility through its implementation across various platforms (e.g., Discord, Telegram) and its customization to diverse recommendation features.
Regularized Q-Learning with Linear Function Approximation
Authors: Jiachen Xi, Alfredo Garcia, Petar Momcilovic
Date: 2024-01-26 00:00:00
Tasks: Decision Making Under Uncertainty, Q-Learning, Sequential Decision Making

Regularized Markov Decision Processes serve as models of sequential decision making under uncertainty wherein the decision maker has limited information processing capacity and/or aversion to model ambiguity. With functional approximation, the convergence properties of learning algorithms for regularized MDPs (e.g. soft Q-learning) are not well understood because the composition of the regularized Bellman operator and a projection onto the span of basis vectors is not a contraction with respect to any norm. In this paper, we consider a bi-level optimization formulation of regularized Q-learning with linear functional approximation. The {\em lower} level optimization problem aims to identify a value function approximation that satisfies Bellman's recursive optimality condition and the {\em upper} level aims to find the projection onto the span of basis vectors. This formulation motivates a single-loop algorithm with finite time convergence guarantees. The algorithm operates on two time-scales: updates to the projection of state-action values are `slow' in that they are implemented with a step size that is smaller than the one used for `faster' updates of approximate solutions to Bellman's recursive optimality equation. We show that, under certain assumptions, the proposed algorithm converges to a stationary point in the presence of Markovian noise. In addition, we provide a performance guarantee for the policies derived from the proposed algorithm.
A Decision Theoretic Framework for Measuring AI Reliance
Authors: Ziyang Guo, Yifan Wu, Jason Hartline, Jessica Hullman
Date: 2024-01-27 00:00:00
Tasks: Decision Making

Humans frequently make decisions with the aid of artificially intelligent (AI) systems. A common pattern is for the AI to recommend an action to the human who retains control over the final decision. Researchers have identified ensuring that a human has appropriate reliance on an AI as a critical component of achieving complementary performance. We argue that the current definition of appropriate reliance used in such research lacks formal statistical grounding and can lead to contradictions. We propose a formal definition of reliance, based on statistical decision theory, which separates the concepts of reliance as the probability the decision-maker follows the AI's recommendation from challenges a human may face in differentiating the signals and forming accurate beliefs about the situation. Our definition gives rise to a framework that can be used to guide the design and interpretation of studies on human-AI complementarity and reliance. Using recent AI-advised decision making studies from literature, we demonstrate how our framework can be used to separate the loss due to mis-reliance from the loss due to not accurately differentiating the signals. We evaluate these losses by comparing to a baseline and a benchmark for complementary performance defined by the expected payoff achieved by a rational decision-maker facing the same decision task as the behavioral decision-makers.
DiffuserLite: Towards Real-time Diffusion Planning
Authors: Zibin Dong, Jianye Hao, Yifu Yuan, Fei Ni, Yitian Wang, Pengyi Li, Yan Zheng
Date: 2024-01-27 00:00:00
Tasks: D4RL, Decision Making

Diffusion planning has been recognized as an effective decision-making paradigm in various domains. The capability of generating high-quality long-horizon trajectories makes it a promising research direction. However, existing diffusion planning methods suffer from low decision-making frequencies due to the expensive iterative sampling cost. To alleviate this, we introduce DiffuserLite, a super fast and lightweight diffusion planning framework, which employs a planning refinement process (PRP) to generate coarse-to-fine-grained trajectories, significantly reducing the modeling of redundant information and leading to notable increases in decision-making frequency. Our experimental results demonstrate that DiffuserLite achieves a decision-making frequency of 122.2Hz (112.7x faster than predominant frameworks) and reaches state-of-the-art performance on D4RL, Robomimic, and FinRL benchmarks. In addition, DiffuserLite can also serve as a flexible plugin to increase the decision-making frequency of other diffusion planning algorithms, providing a structural design reference for future works. More details and visualizations are available at https://diffuserlite.github.io/.
SNAP: Semantic Stories for Next Activity Prediction
Authors: Alon Oved, Segev Shlomov, Sergey Zeltyn, Nir Mashkif, Avi Yaeli
Date: 2024-01-28 00:00:00
Tasks: Activity Prediction, Decision Making, Management, Prediction

Predicting the next activity in an ongoing process is one of the most common classification tasks in the business process management (BPM) domain. It allows businesses to optimize resource allocation, enhance operational efficiency, and aids in risk mitigation and strategic decision-making. This provides a competitive edge in the rapidly evolving confluence of BPM and AI. Existing state-of-the-art AI models for business process prediction do not fully capitalize on available semantic information within process event logs. As current advanced AI-BPM systems provide semantically-richer textual data, the need for novel adequate models grows. To address this gap, we propose the novel SNAP method that leverages language foundation models by constructing semantic contextual stories from the process historical event logs and using them for the next activity prediction. We compared the SNAP algorithm with nine state-of-the-art models on six benchmark datasets and show that SNAP significantly outperforms them, especially for datasets with high levels of semantic content.
Distribution-consistency Structural Causal Models
Authors: Heyang Gong, Chaochao Lu, Yu Zhang
Date: 2024-01-29 00:00:00
Tasks: counterfactual, Counterfactual Reasoning, Decision Making

In the field of causal modeling, potential outcomes (PO) and structural causal models (SCMs) stand as the predominant frameworks. However, these frameworks face notable challenges in practically modeling counterfactuals, formalized as parameters of the joint distribution of potential outcomes. Counterfactual reasoning holds paramount importance in contemporary decision-making processes, especially in scenarios that demand personalized incentives based on the joint values of $(Y(0), Y(1))$. This paper begins with an investigation of the PO and SCM frameworks for modeling counterfactuals. Through the analysis, we identify an inherent model capacity limitation, termed as the ``degenerative counterfactual problem'', emerging from the consistency rule that is the cornerstone of both frameworks. To address this limitation, we introduce a novel \textit{distribution-consistency} assumption, and in alignment with it, we propose the Distribution-consistency Structural Causal Models (DiscoSCMs) offering enhanced capabilities to model counterfactuals. To concretely reveal the enhanced model capacity, we introduce a new identifiable causal parameter, \textit{the probability of consistency}, which holds practical significance within DiscoSCM alone, showcased with a personalized incentive example. Furthermore, we provide a comprehensive set of theoretical results about the ``Ladder of Causation'' within the DiscoSCM framework. We hope it opens new avenues for future research of counterfactual modeling, ultimately enhancing our understanding of causality and its real-world applications.
Type-based Neural Link Prediction Adapter for Complex Query Answering
Authors: Lingning Song, Yi Zu, Shan Lu, Jieyue He
Date: 2024-01-29 00:00:00
Tasks: Complex Query Answering, Knowledge Graphs, Link Prediction

Answering complex logical queries on incomplete knowledge graphs (KGs) is a fundamental and challenging task in multi-hop reasoning. Recent work defines this task as an end-to-end optimization problem, which significantly reduces the training cost and enhances the generalization of the model by a pretrained link predictors for query answering. However, most existing proposals ignore the critical semantic knowledge inherently available in KGs, such as type information, which could help answer complex logical queries. To this end, we propose TypE-based Neural Link Prediction Adapter (TENLPA), a novel model that constructs type-based entity-relation graphs to discover the latent relationships between entities and relations by leveraging type information in KGs. Meanwhile, in order to effectively combine type information with complex logical queries, an adaptive learning mechanism is introduced, which is trained by back-propagating during the complex query answering process to achieve adaptive adjustment of neural link predictors. Experiments on 3 standard datasets show that TENLPA model achieves state-of-the-art performance on complex query answering with good generalization and robustness.
Triple Disentangled Representation Learning for Multimodal Affective Analysis
Authors: Ying Zhou, Xuefeng Liang, Han Chen, Yin Zhao, Xin Chen, Lida Yu
Date: 2024-01-29 00:00:00
Tasks: Disentanglement, Representation Learning

Multimodal learning has exhibited a significant advantage in affective analysis tasks owing to the comprehensive information of various modalities, particularly the complementary information. Thus, many emerging studies focus on disentangling the modality-invariant and modality-specific representations from input data and then fusing them for prediction. However, our study shows that modality-specific representations may contain information that is irrelevant or conflicting with the tasks, which downgrades the effectiveness of learned multimodal representations. We revisit the disentanglement issue, and propose a novel triple disentanglement approach, TriDiRA, which disentangles the modality-invariant, effective modality-specific and ineffective modality-specific representations from input data. By fusing only the modality-invariant and effective modality-specific representations, TriDiRA can significantly alleviate the impact of irrelevant and conflicting information across modalities during model training. Extensive experiments conducted on four benchmark datasets demonstrate the effectiveness and generalization of our triple disentanglement, which outperforms SOTA methods.
On the generalization of learned constraints for ASP solving in temporal domains
Authors: Javier Romero, Torsten Schaub, Klaus Strauch
Date: 2024-01-29 00:00:00

The representation of a dynamic problem in ASP usually boils down to using copies of variables and constraints, one for each time stamp, no matter whether it is directly encoded or via an action or temporal language. The multiplication of variables and constraints is commonly done during grounding and the solver is completely ignorant about the temporal relationship among the different instances. On the other hand, a key factor in the performance of today's ASP solvers is conflict-driven constraint learning. Our question is now whether a constraint learned for particular time steps can be generalized and reused at other time stamps, and ultimately whether this enhances the overall solver performance on temporal problems. Knowing full well the domain of time, we study conditions under which learned dynamic constraints can be generalized. We propose a simple translation of the original logic program such that, for the translated programs, the learned constraints can be generalized to other time points. Additionally, we identify a property of temporal problems that allows us to generalize all learned constraints to all time steps. It turns out that this property is satisfied by many planning problems. Finally, we empirically evaluate the impact of adding the generalized constraints to an ASP solver. Under consideration in Theory and Practice of Logic Programming (TPLP).
Capturing Knowledge Graphs and Rules with Octagon Embeddings
Authors: Victor Charpenay, Steven Schockaert
Date: 2024-01-29 00:00:00
Tasks: Knowledge Graph Embeddings, Knowledge Graphs

Region based knowledge graph embeddings represent relations as geometric regions. This has the advantage that the rules which are captured by the model are made explicit, making it straightforward to incorporate prior knowledge and to inspect learned models. Unfortunately, existing approaches are severely restricted in their ability to model relational composition, and hence also their ability to model rules, thus failing to deliver on the main promise of region based models. With the aim of addressing these limitations, we investigate regions which are composed of axis-aligned octagons. Such octagons are particularly easy to work with, as intersections and compositions can be straightforwardly computed, while they are still sufficiently expressive to model arbitrary knowledge graphs. Among others, we also show that our octagon embeddings can properly capture a non-trivial class of rule bases. Finally, we show that our model achieves competitive experimental results.
GAPS: Geometry-Aware Problem Solver
Authors: Jiaxin Zhang, Yinghui Jiang, Yashar Moshfeghi
Date: 2024-01-29 00:00:00
Tasks: Geometry Problem Solving, Math, Mathematical Question Answering, Mathematical Reasoning

Geometry problem solving presents a formidable challenge within the NLP community. Existing approaches often rely on models designed for solving math word problems, neglecting the unique characteristics of geometry math problems. Additionally, the current research predominantly focuses on geometry calculation problems, while overlooking other essential aspects like proving. In this study, we address these limitations by proposing the Geometry-Aware Problem Solver (GAPS) model. GAPS is specifically designed to generate solution programs for geometry math problems of various types with the help of its unique problem-type classifier. To achieve this, GAPS treats the solution program as a composition of operators and operands, segregating their generation processes. Furthermore, we introduce the geometry elements enhancement method, which enhances the ability of GAPS to recognize geometry elements accurately. By leveraging these improvements, GAPS showcases remarkable performance in resolving geometry math problems. Our experiments conducted on the UniGeo dataset demonstrate the superiority of GAPS over the state-of-the-art model, Geoformer. Specifically, GAPS achieves an accuracy improvement of more than 5.3% for calculation tasks and an impressive 41.1% for proving tasks. Notably, GAPS achieves an impressive accuracy of 97.5% on proving problems, representing a significant advancement in solving geometry proving tasks.
Zero-shot Imitation Policy via Search in Demonstration Dataset
Authors: Federco Malato, Florian Leopold, Andrew Melnik, Ville Hautamaki
Date: 2024-01-29 00:00:00
Tasks: Imitation Learning, Minecraft

Behavioral cloning uses a dataset of demonstrations to learn a policy. To overcome computationally expensive training procedures and address the policy adaptation problem, we propose to use latent spaces of pre-trained foundation models to index a demonstration dataset, instantly access similar relevant experiences, and copy behavior from these situations. Actions from a selected similar situation can be performed by the agent until representations of the agent's current situation and the selected experience diverge in the latent space. Thus, we formulate our control problem as a dynamic search problem over a dataset of experts' demonstrations. We test our approach on BASALT MineRL-dataset in the latent representation of a Video Pre-Training model. We compare our model to state-of-the-art, Imitation Learning-based Minecraft agents. Our approach can effectively recover meaningful demonstrations and show human-like behavior of an agent in the Minecraft environment in a wide variety of scenarios. Experimental results reveal that performance of our search-based approach clearly wins in terms of accuracy and perceptual evaluation over learning-based models.
Learning to Manipulate under Limited Information
Authors: Wesley H. Holliday, Alexander Kristoffersen, Eric Pacuit
Date: 2024-01-29 00:00:00

By classic results in social choice theory, any reasonable preferential voting method sometimes gives individuals an incentive to report an insincere preference. The extent to which different voting methods are more or less resistant to such strategic manipulation has become a key consideration for comparing voting methods. Here we measure resistance to manipulation by whether neural networks of various sizes can learn to profitably manipulate a given voting method in expectation, given different types of limited information about how other voters will vote. We trained over 100,000 neural networks of 26 sizes to manipulate against 8 different voting methods, under 6 types of limited information, in committee-sized elections with 5-21 voters and 3-6 candidates. We find that some voting methods, such as Borda, are highly manipulable by networks with limited information, while others, such as Instant Runoff, are not, despite being quite profitably manipulated by an ideal manipulator with full information. For the three probability models for elections that we use, the overall least manipulable of the 8 methods we study are Condorcet methods, namely Minimax and Split Cycle.