pwc-archive/papers-with-abstracts huggingface dataset:
AI and ethics in insurance: a new solution to mitigate proxy discrimination in risk modeling
Authors: Marguerite Sauce, Antoine Chancel, Antoine Ly
Date: 2023-07-25 00:00:00
Tasks: Articles, Ethics, Philosophy

The development of Machine Learning is experiencing growing interest from the general public, and in recent years there have been numerous press articles questioning its objectivity: racism, sexism, \dots Driven by the growing attention of regulators on the ethical use of data in insurance, the actuarial community must rethink pricing and risk selection practices for fairer insurance. Equity is a philosophy concept that has many different definitions in every jurisdiction that influence each other without currently reaching consensus. In Europe, the Charter of Fundamental Rights defines guidelines on discrimination, and the use of sensitive personal data in algorithms is regulated. If the simple removal of the protected variables prevents any so-called `direct' discrimination, models are still able to `indirectly' discriminate between individuals thanks to latent interactions between variables, which bring better performance (and therefore a better quantification of risk, segmentation of prices, and so on). After introducing the key concepts related to discrimination, we illustrate the complexity of quantifying them. We then propose an innovative method, not yet met in the literature, to reduce the risks of indirect discrimination thanks to mathematical concepts of linear algebra. This technique is illustrated in a concrete case of risk selection in life insurance, demonstrating its simplicity of use and its promising performance.
Multi-GPU Approach for Training of Graph ML Models on large CFD Meshes
Authors: Sebastian Strönisch, Maximilian Sander, Andreas Knüpfer, Marcus Meyer
Date: 2023-07-25 00:00:00
Tasks: GPU, Graph Neural Network

Mesh-based numerical solvers are an important part in many design tool chains. However, accurate simulations like computational fluid dynamics are time and resource consuming which is why surrogate models are employed to speed-up the solution process. Machine Learning based surrogate models on the other hand are fast in predicting approximate solutions but often lack accuracy. Thus, the development of the predictor in a predictor-corrector approach is the focus here, where the surrogate model predicts a flow field and the numerical solver corrects it. This paper scales a state-of-the-art surrogate model from the domain of graph-based machine learning to industry-relevant mesh sizes of a numerical flow simulation. The approach partitions and distributes the flow domain to multiple GPUs and provides halo exchange between these partitions during training. The utilized graph neural network operates directly on the numerical mesh and is able to preserve complex geometries as well as all other properties of the mesh. The proposed surrogate model is evaluated with an application on a three dimensional turbomachinery setup and compared to a traditionally trained distributed model. The results show that the traditional approach produces superior predictions and outperforms the proposed surrogate model. Possible explanations, improvements and future directions are outlined.
Settling the Sample Complexity of Online Reinforcement Learning
Authors: Zihan Zhang, Yuxin Chen, Jason D. Lee, Simon S. Du
Date: 2023-07-25 00:00:00
Tasks: reinforcement-learning, Reinforcement Learning, Reinforcement Learning (RL)

A central issue lying at the heart of online reinforcement learning (RL) is data efficiency. While a number of recent works achieved asymptotically minimal regret in online RL, the optimality of these results is only guaranteed in a ``large-sample'' regime, imposing enormous burn-in cost in order for their algorithms to operate optimally. How to achieve minimax-optimal regret without incurring any burn-in cost has been an open problem in RL theory. We settle this problem for the context of finite-horizon inhomogeneous Markov decision processes. Specifically, we prove that a modified version of Monotonic Value Propagation (MVP), a model-based algorithm proposed by \cite{zhang2020reinforcement}, achieves a regret on the order of (modulo log factors) \begin{equation*} \min\big\{ \sqrt{SAH^3K}, \,HK \big\}, \end{equation*} where $S$ is the number of states, $A$ is the number of actions, $H$ is the planning horizon, and $K$ is the total number of episodes. This regret matches the minimax lower bound for the entire range of sample size $K\geq 1$, essentially eliminating any burn-in requirement. It also translates to a PAC sample complexity (i.e., the number of episodes needed to yield $\varepsilon$-accuracy) of $\frac{SAH^3}{\varepsilon^2}$ up to log factor, which is minimax-optimal for the full $\varepsilon$-range. Further, we extend our theory to unveil the influences of problem-dependent quantities like the optimal value/cost and certain variances. The key technical innovation lies in the development of a new regret decomposition strategy and a novel analysis paradigm to decouple complicated statistical dependency -- a long-standing challenge facing the analysis of online RL in the sample-hungry regime.
Comparing Forward and Inverse Design Paradigms: A Case Study on Refractory High-Entropy Alloys
Authors: Arindam Debnath, Lavanya Raman, Wenjie Li, Adam M. Krajewski, Marcia Ahn, Shuang Lin, Shunli Shang, Allison M. Beese, Zi-Kui Liu, Wesley F. Reinhart
Date: 2023-07-25 00:00:00

The rapid design of advanced materials is a topic of great scientific interest. The conventional, ``forward'' paradigm of materials design involves evaluating multiple candidates to determine the best candidate that matches the target properties. However, recent advances in the field of deep learning have given rise to the possibility of an ``inverse'' design paradigm for advanced materials, wherein a model provided with the target properties is able to find the best candidate. Being a relatively new concept, there remains a need to systematically evaluate how these two paradigms perform in practical applications. Therefore, the objective of this study is to directly, quantitatively compare the forward and inverse design modeling paradigms. We do so by considering two case studies of refractory high-entropy alloy design with different objectives and constraints and comparing the inverse design method to other forward schemes like localized forward search, high throughput screening, and multi objective optimization.
PT$\mathrm{L}^{p}$: Partial Transport $\mathrm{L}^{p}$ Distances
Authors: Xinran Liu, Yikun Bai, Huy Tran, Zhanqi Zhu, Matthew Thorpe, Soheil Kolouri
Date: 2023-07-25 00:00:00

Optimal transport and its related problems, including optimal partial transport, have proven to be valuable tools in machine learning for computing meaningful distances between probability or positive measures. This success has led to a growing interest in defining transport-based distances that allow for comparing signed measures and, more generally, multi-channeled signals. Transport $\mathrm{L}^{p}$ distances are notable extensions of the optimal transport framework to signed and possibly multi-channeled signals. In this paper, we introduce partial transport $\mathrm{L}^{p}$ distances as a new family of metrics for comparing generic signals, benefiting from the robustness of partial transport distances. We provide theoretical background such as the existence of optimal plans and the behavior of the distance in various limits. Furthermore, we introduce the sliced variation of these distances, which allows for rapid comparison of generic signals. Finally, we demonstrate the application of the proposed distances in signal class separability and nearest neighbor classification.
Node Injection Link Stealing Attack
Authors: Oualid Zari, Javier Parra-Arnau, Ayşe Ünsal, Melek Önen
Date: 2023-07-25 00:00:00
Tasks: Privacy Preserving

In this paper, we present a stealthy and effective attack that exposes privacy vulnerabilities in Graph Neural Networks (GNNs) by inferring private links within graph-structured data. Focusing on the inductive setting where new nodes join the graph and an API is used to query predictions, we investigate the potential leakage of private edge information. We also propose methods to preserve privacy while maintaining model utility. Our attack demonstrates superior performance in inferring the links compared to the state of the art. Furthermore, we examine the application of differential privacy (DP) mechanisms to mitigate the impact of our proposed attack, we analyze the trade-off between privacy preservation and model utility. Our work highlights the privacy vulnerabilities inherent in GNNs, underscoring the importance of developing robust privacy-preserving mechanisms for their application.
Transfer Learning for Portfolio Optimization
Authors: Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum
Date: 2023-07-25 00:00:00
Tasks: Management, Portfolio Optimization, Transfer Learning

In this work, we explore the possibility of utilizing transfer learning techniques to address the financial portfolio optimization problem. We introduce a novel concept called "transfer risk", within the optimization framework of transfer learning. A series of numerical experiments are conducted from three categories: cross-continent transfer, cross-sector transfer, and cross-frequency transfer. In particular, 1. a strong correlation between the transfer risk and the overall performance of transfer learning methods is established, underscoring the significance of transfer risk as a viable indicator of "transferability"; 2. transfer risk is shown to provide a computationally efficient way to identify appropriate source tasks in transfer learning, enhancing the efficiency and effectiveness of the transfer learning approach; 3. additionally, the numerical experiments offer valuable new insights for portfolio management across these different settings.
A model for efficient dynamical ranking in networks
Authors: Andrea Della Vecchia, Kibidi Neocosmos, Daniel B. Larremore, Cristopher Moore, Caterina De Bacco
Date: 2023-07-25 00:00:00
Tasks: model

We present a physics-inspired method for inferring dynamic rankings in directed temporal networks - networks in which each directed and timestamped edge reflects the outcome and timing of a pairwise interaction. The inferred ranking of each node is real-valued and varies in time as each new edge, encoding an outcome like a win or loss, raises or lowers the node's estimated strength or prestige, as is often observed in real scenarios including sequences of games, tournaments, or interactions in animal hierarchies. Our method works by solving a linear system of equations and requires only one parameter to be tuned. As a result, the corresponding algorithm is scalable and efficient. We test our method by evaluating its ability to predict interactions (edges' existence) and their outcomes (edges' directions) in a variety of applications, including both synthetic and real data. Our analysis shows that in many cases our method's performance is better than existing methods for predicting dynamic rankings and interaction outcomes.
INFINITY: Neural Field Modeling for Reynolds-Averaged Navier-Stokes Equations
Authors: Louis Serrano, Leon Migus, Yuan Yin, Jocelyn Ahmed Mazari, Patrick Gallinari
Date: 2023-07-25 00:00:00

For numerical design, the development of efficient and accurate surrogate models is paramount. They allow us to approximate complex physical phenomena, thereby reducing the computational burden of direct numerical simulations. We propose INFINITY, a deep learning model that utilizes implicit neural representations (INRs) to address this challenge. Our framework encodes geometric information and physical fields into compact representations and learns a mapping between them to infer the physical fields. We use an airfoil design optimization problem as an example task and we evaluate our approach on the challenging AirfRANS dataset, which closely resembles real-world industrial use-cases. The experimental results demonstrate that our framework achieves state-of-the-art performance by accurately inferring physical fields throughout the volume and surface. Additionally we demonstrate its applicability in contexts such as design exploration and shape optimization: our model can correctly predict drag and lift coefficients while adhering to the equations.
Do algorithms and barriers for sparse principal component analysis extend to other structured settings?
Authors: Guanyi Wang, Mengqi Lou, Ashwin Pananjady
Date: 2023-07-25 00:00:00

We study a principal component analysis problem under the spiked Wishart model in which the structure in the signal is captured by a class of union-of-subspace models. This general class includes vanilla sparse PCA as well as its variants with graph sparsity. With the goal of studying these problems under a unified statistical and computational lens, we establish fundamental limits that depend on the geometry of the problem instance, and show that a natural projected power method exhibits local convergence to the statistically near-optimal neighborhood of the solution. We complement these results with end-to-end analyses of two important special cases given by path and tree sparsity in a general basis, showing initialization methods and matching evidence of computational hardness. Overall, our results indicate that several of the phenomena observed for vanilla sparse PCA extend in a natural fashion to its structured counterparts.
Generalizable data-driven turbulence closure modeling on unstructured grids with differentiable physics
Authors: Hojin Kim, Varun Shankar, Venkatasubramanian Viswanathan, Romit Maulik
Date: 2023-07-25 00:00:00
Tasks: Graph Neural Network

Differentiable physical simulators are proving to be valuable tools for developing data-driven models in computational fluid dynamics (CFD). These simulators enable end-to-end training of machine learning (ML) models embedded within CFD solvers. This paradigm enables novel algorithms which combine the generalization power and low cost of physics-based simulations with the flexibility and automation of deep learning methods. In this study, we introduce a framework for embedding deep learning models within a generic finite element solver to solve the Navier-Stokes equations, specifically applying this approach to learn a subgrid scale closure with a graph neural network (GNN). We validate our method for flow over a backwards-facing step and test its performance on novel geometries, demonstrating the ability to generalize to novel geometries without sacrificing stability. Additionally, we show that our GNN-based closure model may be learned in a data-limited scenario by interpreting closure modeling as a solver-constrained optimization. Our end-to-end learning paradigm demonstrates a viable pathway for physically consistent and generalizable data-driven closure modeling across complex geometries.
Towards Long-Term predictions of Turbulence using Neural Operators
Authors: Fernando Gonzalez, François-Xavier Demoulin, Simon Bernard
Date: 2023-07-25 00:00:00
Tasks: Benchmarking

This paper explores Neural Operators to predict turbulent flows, focusing on the Fourier Neural Operator (FNO) model. It aims to develop reduced-order/surrogate models for turbulent flow simulations using Machine Learning. Different model configurations are analyzed, with U-NET structures (UNO and U-FNET) performing better than the standard FNO in accuracy and stability. U-FNET excels in predicting turbulence at higher Reynolds numbers. Regularization terms, like gradient and stability losses, are essential for stable and accurate predictions. The study emphasizes the need for improved metrics for deep learning models in fluid flow prediction. Further research should focus on models handling complex flows and practical benchmarking metrics.
Continuous Time Evidential Distributions for Irregular Time Series
Authors: Taylor W. Killian, Haoran Zhang, Thomas Hartvigsen, Ava P. Amini
Date: 2023-07-25 00:00:00
Tasks: Irregular Time Series, Time Series, Time Series Classification

Prevalent in many real-world settings such as healthcare, irregular time series are challenging to formulate predictions from. It is difficult to infer the value of a feature at any given time when observations are sporadic, as it could take on a range of values depending on when it was last observed. To characterize this uncertainty we present EDICT, a strategy that learns an evidential distribution over irregular time series in continuous time. This distribution enables well-calibrated and flexible inference of partially observed features at any time of interest, while expanding uncertainty temporally for sparse, irregular observations. We demonstrate that EDICT attains competitive performance on challenging time series classification tasks and enabling uncertainty-guided inference when encountering noisy data.
Deep Reinforcement Learning for Robust Goal-Based Wealth Management
Authors: Tessa Bauman, Bruno Gašperov, Stjepan Begušić, Zvonko Kostanjčar
Date: 2023-07-25 00:00:00
Tasks: Decision Making, Deep Reinforcement Learning, Management, reinforcement-learning, Reinforcement Learning, Sequential Decision Making

Goal-based investing is an approach to wealth management that prioritizes achieving specific financial goals. It is naturally formulated as a sequential decision-making problem as it requires choosing the appropriate investment until a goal is achieved. Consequently, reinforcement learning, a machine learning technique appropriate for sequential decision-making, offers a promising path for optimizing these investment strategies. In this paper, a novel approach for robust goal-based wealth management based on deep reinforcement learning is proposed. The experimental results indicate its superiority over several goal-based wealth management benchmarks on both simulated and historical market data.
Finding Money Launderers Using Heterogeneous Graph Neural Networks
Authors: Fredrik Johannessen, Martin Jullum
Date: 2023-07-25 00:00:00
Tasks: Graph Neural Network

Current anti-money laundering (AML) systems, predominantly rule-based, exhibit notable shortcomings in efficiently and precisely detecting instances of money laundering. As a result, there has been a recent surge toward exploring alternative approaches, particularly those utilizing machine learning. Since criminals often collaborate in their money laundering endeavors, accounting for diverse types of customer relations and links becomes crucial. In line with this, the present paper introduces a graph neural network (GNN) approach to identify money laundering activities within a large heterogeneous network constructed from real-world bank transactions and business role data belonging to DNB, Norway's largest bank. Specifically, we extend the homogeneous GNN method known as the Message Passing Neural Network (MPNN) to operate effectively on a heterogeneous graph. As part of this procedure, we propose a novel method for aggregating messages across different edges of the graph. Our findings highlight the importance of using an appropriate GNN architecture when combining information in heterogeneous graphs. The performance results of our model demonstrate great potential in enhancing the quality of electronic surveillance systems employed by banks to detect instances of money laundering. To the best of our knowledge, this is the first published work applying GNN on a large real-world heterogeneous network for anti-money laundering purposes.
Rational kernel-based interpolation for complex-valued frequency response functions
Authors: Julien Bect, Niklas Georg, Ulrich Römer, Sebastian Schöps
Date: 2023-07-25 00:00:00
Tasks: Model Selection

This work is concerned with the kernel-based approximation of a complex-valued function from data, where the frequency response function of a partial differential equation in the frequency domain is of particular interest. In this setting, kernel methods are employed more and more frequently, however, standard kernels do not perform well. Moreover, the role and mathematical implications of the underlying pair of kernels, which arises naturally in the complex-valued case, remain to be addressed. We introduce new reproducing kernel Hilbert spaces of complex-valued functions, and formulate the problem of complex-valued interpolation with a kernel pair as minimum norm interpolation in these spaces. Moreover, we combine the interpolant with a low-order rational function, where the order is adaptively selected based on a new model selection criterion. Numerical results on examples from different fields, including electromagnetics and acoustic examples, illustrate the performance of the method, also in comparison to available rational approximation methods.
Combinatorial Auctions and Graph Neural Networks for Local Energy Flexibility Markets
Authors: Awadelrahman M. A. Ahmed, Frank Eliassen, Yan Zhang
Date: 2023-07-25 00:00:00
Tasks: Graph Neural Network

This paper proposes a new combinatorial auction framework for local energy flexibility markets, which addresses the issue of prosumers' inability to bundle multiple flexibility time intervals. To solve the underlying NP-complete winner determination problems, we present a simple yet powerful heterogeneous tri-partite graph representation and design graph neural network-based models. Our models achieve an average optimal value deviation of less than 5\% from an off-the-shelf optimization tool and show linear inference time complexity compared to the exponential complexity of the commercial solver. Contributions and results demonstrate the potential of using machine learning to efficiently allocate energy flexibility resources in local markets and solving optimization problems in general.
Gaussian Graph with Prototypical Contrastive Learning in E-Commerce Bundle Recommendation
Authors: Zhao-Yang Liu, Liucheng Sun, Chenwei Weng, Qijin Chen, Chengfu Huo
Date: 2023-07-25 00:00:00
Tasks: Contrastive Learning, Diversity, Graph Learning

Bundle recommendation aims to provide a bundle of items to satisfy the user preference on e-commerce platform. Existing successful solutions are based on the contrastive graph learning paradigm where graph neural networks (GNNs) are employed to learn representations from user-level and bundle-level graph views with a contrastive learning module to enhance the cooperative association between different views. Nevertheless, they ignore the uncertainty issue which has a significant impact in real bundle recommendation scenarios due to the lack of discriminative information caused by highly sparsity or diversity. We further suggest that their instancewise contrastive learning fails to distinguish the semantically similar negatives (i.e., sampling bias issue), resulting in performance degradation. In this paper, we propose a novel Gaussian Graph with Prototypical Contrastive Learning (GPCL) framework to overcome these challenges. In particular, GPCL embeds each user/bundle/item as a Gaussian distribution rather than a fixed vector. We further design a prototypical contrastive learning module to capture the contextual information and mitigate the sampling bias issue. Extensive experiments demonstrate that benefiting from the proposed components, we achieve new state-of-the-art performance compared to previous methods on several public datasets. Moreover, GPCL has been deployed on real-world e-commerce platform and achieved substantial improvements.