pwc-archive/papers-with-abstracts huggingface dataset:
Mathematics of Differential Machine Learning in Derivative Pricing and Hedging
Authors: Pedro Duarte Gomes
Date: 2024-05-02 00:00:00

This article introduces the groundbreaking concept of the financial differential machine learning algorithm through a rigorous mathematical framework. Diverging from existing literature on financial machine learning, the work highlights the profound implications of theoretical assumptions within financial models on the construction of machine learning algorithms. This endeavour is particularly timely as the finance landscape witnesses a surge in interest towards data-driven models for the valuation and hedging of derivative products. Notably, the predictive capabilities of neural networks have garnered substantial attention in both academic research and practical financial applications. The approach offers a unified theoretical foundation that facilitates comprehensive comparisons, both at a theoretical level and in experimental outcomes. Importantly, this theoretical grounding lends substantial weight to the experimental results, affirming the differential machine learning method's optimality within the prevailing context. By anchoring the insights in rigorous mathematics, the article bridges the gap between abstract financial concepts and practical algorithmic implementations.
Improving Membership Inference in ASR Model Auditing with Perturbed Loss Features
Authors: Francisco Teixeira, Karla Pizzi, Raphael Olivier, Alberto Abad, Bhiksha Raj, Isabel Trancoso
Date: 2024-05-02 00:00:00
Tasks: Automatic Speech Recognition, Automatic Speech Recognition (ASR), speech-recognition, Speech Recognition

Membership Inference (MI) poses a substantial privacy threat to the training data of Automatic Speech Recognition (ASR) systems, while also offering an opportunity to audit these models with regard to user data. This paper explores the effectiveness of loss-based features in combination with Gaussian and adversarial perturbations to perform MI in ASR models. To the best of our knowledge, this approach has not yet been investigated. We compare our proposed features with commonly used error-based features and find that the proposed features greatly enhance performance for sample-level MI. For speaker-level MI, these features improve results, though by a smaller margin, as error-based features already obtained a high performance for this task. Our findings emphasise the importance of considering different feature sets and levels of access to target models for effective MI in ASR systems, providing valuable insights for auditing such models.
Learning-to-solve unit commitment based on few-shot physics-guided spatial-temporal graph convolution network
Authors: Mei Yang, Gao Qiu andJunyong Liu, Kai Liu
Date: 2024-05-02 00:00:00

This letter proposes a few-shot physics-guided spatial temporal graph convolutional network (FPG-STGCN) to fast solve unit commitment (UC). Firstly, STGCN is tailored to parameterize UC. Then, few-shot physics-guided learning scheme is proposed. It exploits few typical UC solutions yielded via commercial optimizer to escape from local minimum, and leverages the augmented Lagrangian method for constraint satisfaction. To further enable both feasibility and continuous relaxation for integers in learning process, straight-through estimator for Tanh-Sign composition is proposed to fully differentiate the mixed integer solution space. Case study on the IEEE benchmark justifies that, our method bests mainstream learning ways on UC feasibility, and surpasses traditional solver on efficiency.
Decoupling Feature Extraction and Classification Layers for Calibrated Neural Networks
Authors: Mikkel Jordahn, Pablo M. Olmos
Date: 2024-05-02 00:00:00
Tasks: Classification, image-classification, Image Classification

Deep Neural Networks (DNN) have shown great promise in many classification applications, yet are widely known to have poorly calibrated predictions when they are over-parametrized. Improving DNN calibration without comprising on model accuracy is of extreme importance and interest in safety critical applications such as in the health-care sector. In this work, we show that decoupling the training of feature extraction layers and classification layers in over-parametrized DNN architectures such as Wide Residual Networks (WRN) and Visual Transformers (ViT) significantly improves model calibration whilst retaining accuracy, and at a low training cost. In addition, we show that placing a Gaussian prior on the last hidden layer outputs of a DNN, and training the model variationally in the classification training stage, even further improves calibration. We illustrate these methods improve calibration across ViT and WRN architectures for several image classification benchmark datasets.
Tabular and Deep Reinforcement Learning for Gittins Index
Authors: Harshit Dhankhar, Kshitij Mishra, Tejas Bodas
Date: 2024-05-02 00:00:00
Tasks: Deep Reinforcement Learning, reinforcement-learning, Reinforcement Learning, Reinforcement Learning (RL), Scheduling

In the realm of multi-arm bandit problems, the Gittins index policy is known to be optimal in maximizing the expected total discounted reward obtained from pulling the Markovian arms. In most realistic scenarios however, the Markovian state transition probabilities are unknown and therefore the Gittins indices cannot be computed. One can then resort to reinforcement learning (RL) algorithms that explore the state space to learn these indices while exploiting to maximize the reward collected. In this work, we propose tabular (QGI) and Deep RL (DGN) algorithms for learning the Gittins index that are based on the retirement formulation for the multi-arm bandit problem. When compared with existing RL algorithms that learn the Gittins index, our algorithms have a lower run time, require less storage space (small Q-table size in QGI and smaller replay buffer in DGN), and illustrate better empirical convergence to the Gittins index. This makes our algorithm well suited for problems with large state spaces and is a viable alternative to existing methods. As a key application, we demonstrate the use of our algorithms in minimizing the mean flowtime in a job scheduling problem when jobs are available in batches and have an unknown service time distribution.
SynFlowNet: Design of Diverse and Novel Molecules with Synthesis Constraints
Authors: Miruna Cretu, Charles Harris, Ilia Igashov, Arne Schneuing, Marwin Segler, Bruno Correia, Julien Roy, Emmanuel Bengio, Pietro Liò
Date: 2024-05-02 00:00:00
Tasks: Diversity, Drug Design, Drug Discovery, Retrosynthesis

Generative models see increasing use in computer-aided drug design. However, while performing well at capturing distributions of molecular motifs, they often produce synthetically inaccessible molecules. To address this, we introduce SynFlowNet, a GFlowNet model whose action space uses chemical reactions and purchasable reactants to sequentially build new molecules. By incorporating forward synthesis as an explicit constraint of the generative mechanism, we aim at bridging the gap between in silico molecular generation and real world synthesis capabilities. We evaluate our approach using synthetic accessibility scores and an independent retrosynthesis tool to assess the synthesizability of our compounds, and motivate the choice of GFlowNets through considerable improvement in sample diversity compared to baselines. Additionally, we identify challenges with reaction encodings that can complicate traversal of the MDP in the backward direction. To address this, we introduce various strategies for learning the GFlowNet backward policy and thus demonstrate how additional constraints can be integrated into the GFlowNet MDP framework. This approach enables our model to successfully identify synthesis pathways for previously unseen molecules.
Why Tabular Foundation Models Should Be a Research Priority
Authors: Boris van Breugel, Mihaela van der Schaar
Date: 2024-05-02 00:00:00
Tasks: scientific discovery

Recent text and image foundation models are incredibly impressive, and these models are attracting an ever-increasing portion of research resources. In this position piece we aim to shift the ML research community's priorities ever so slightly to a different modality: tabular data. Tabular data is the dominant modality in many fields, yet it is given hardly any research attention and significantly lags behind in terms of scale and power. We believe the time is now to start developing tabular foundation models, or what we coin a Large Tabular Model (LTM). LTMs could revolutionise the way science and ML use tabular data: not as single datasets that are analyzed in a vacuum, but contextualized with respect to related datasets. The potential impact is far-reaching: from few-shot tabular models to automating data science; from out-of-distribution synthetic data to empowering multidisciplinary scientific discovery. We intend to excite reflections on the modalities we study, and convince some researchers to study large tabular models.
Sharp Bounds for Sequential Federated Learning on Heterogeneous Data
Authors: Yipeng Li, Xinchen Lyu
Date: 2024-05-02 00:00:00
Tasks: Federated Learning

There are two paradigms in Federated Learning (FL): parallel FL (PFL), where models are trained in a parallel manner across clients; and sequential FL (SFL), where models are trained in a sequential manner across clients. In contrast to that of PFL, the convergence theory of SFL on heterogeneous data is still lacking. To resolve the theoretical dilemma of SFL, we establish sharp convergence guarantees for SFL on heterogeneous data with both upper and lower bounds. Specifically, we derive the upper bounds for strongly convex, general convex and non-convex objective functions, and construct the matching lower bounds for the strongly convex and general convex objective functions. Then, we compare the upper bounds of SFL with those of PFL, showing that SFL outperforms PFL (at least, when the level of heterogeneity is relatively high). Experimental results on quadratic functions and real data sets validate the counterintuitive comparison result.
Lipschitz constant estimation for general neural network architectures using control tools
Authors: Patricia Pauli, Dennis Gramlich, Frank Allgöwer
Date: 2024-05-02 00:00:00

This paper is devoted to the estimation of the Lipschitz constant of general neural network architectures using semidefinite programming. For this purpose, we interpret neural networks as time-varying dynamical systems, where the $k$-th layer corresponds to the dynamics at time $k$. A key novelty with respect to prior work is that we use this interpretation to exploit the series interconnection structure of feedforward neural networks with a dynamic programming recursion. Nonlinearities, such as activation functions and nonlinear pooling layers, are handled with integral quadratic constraints. If the neural network contains signal processing layers (convolutional or state space model layers), we realize them as 1-D/2-D/N-D systems and exploit this structure as well. We distinguish ourselves from related work on Lipschitz constant estimation by more extensive structure exploitation (scalability) and a generalization to a large class of common neural network architectures. To show the versatility and computational advantages of our method, we apply it to different neural network architectures trained on MNIST and CIFAR-10.
Continual Learning from Simulated Interactions via Multitask Prospective Rehearsal for Bionic Limb Behavior Modeling
Authors: Sharmita Dey, Benjamin Paassen, Sarath Ravindran Nair, Sabri Boughorbel, Arndt F. Schilling
Date: 2024-05-02 00:00:00
Tasks: Continual Learning, Imitation Learning, Specificity

Lower limb amputations and neuromuscular impairments severely restrict mobility, necessitating advancements beyond conventional prosthetics. While motorized bionic limbs show promise, their effectiveness depends on replicating the dynamic coordination of human movement across diverse environments. In this paper, we introduce a model for human behavior in the context of bionic prosthesis control. Our approach leverages human locomotion demonstrations to learn the synergistic coupling of the lower limbs, enabling the prediction of the kinematic behavior of a missing limb during tasks such as walking, climbing inclines, and stairs. We propose a multitasking, continually adaptive model that anticipates and refines movements over time. At the core of our method is a technique called multitask prospective rehearsal, that anticipates and synthesizes future movements based on the previous prediction and employs a corrective mechanism for subsequent predictions. Our evolving architecture merges lightweight, task-specific modules on a shared backbone, ensuring both specificity and scalability. We validate our model through experiments on real-world human gait datasets, including transtibial amputees, across a wide range of locomotion tasks. Results demonstrate that our approach consistently outperforms baseline models, particularly in scenarios with distributional shifts, adversarial perturbations, and noise.
Hypergraph $p$-Laplacian regularization on point clouds for data interpolation
Authors: Kehan Shi, Martin Burger
Date: 2024-05-02 00:00:00

As a generalization of graphs, hypergraphs are widely used to model higher-order relations in data. This paper explores the benefit of the hypergraph structure for the interpolation of point cloud data that contain no explicit structural information. We define the $\varepsilon_n$-ball hypergraph and the $k_n$-nearest neighbor hypergraph on a point cloud and study the $p$-Laplacian regularization on the hypergraphs. We prove the variational consistency between the hypergraph $p$-Laplacian regularization and the continuum $p$-Laplacian regularization in a semisupervised setting when the number of points $n$ goes to infinity while the number of labeled points remains fixed. A key improvement compared to the graph case is that the results rely on weaker assumptions on the upper bound of $\varepsilon_n$ and $k_n$. To solve the convex but non-differentiable large-scale optimization problem, we utilize the stochastic primal-dual hybrid gradient algorithm. Numerical experiments on data interpolation verify that the hypergraph $p$-Laplacian regularization outperforms the graph $p$-Laplacian regularization in preventing the development of spikes at the labeled points.
Multivariate trace estimation using quantum state space linear algebra
Authors: Liron Mor Yosef, Shashanka Ubaru, Lior Horesh, Haim Avron
Date: 2024-05-02 00:00:00
Tasks: Translation

In this paper, we present a quantum algorithm for approximating multivariate traces, i.e. the traces of matrix products. Our research is motivated by the extensive utility of multivariate traces in elucidating spectral characteristics of matrices, as well as by recent advancements in leveraging quantum computing for faster numerical linear algebra. Central to our approach is a direct translation of a multivariate trace formula into a quantum circuit, achieved through a sequence of low-level circuit construction operations. To facilitate this translation, we introduce \emph{quantum Matrix States Linear Algebra} (qMSLA), a framework tailored for the efficient generation of state preparation circuits via primitive matrix algebra operations. Our algorithm relies on sets of state preparation circuits for input matrices as its primary inputs and yields two state preparation circuits encoding the multivariate trace as output. These circuits are constructed utilizing qMSLA operations, which enact the aforementioned multivariate trace formula. We emphasize that our algorithm's inputs consist solely of state preparation circuits, eschewing harder to synthesize constructs such as Block Encodings. Furthermore, our approach operates independently of the availability of specialized hardware like QRAM, underscoring its versatility and practicality.
Fair Recommendations with Limited Sensitive Attributes: A Distributionally Robust Optimization Approach
Authors: Tianhao Shi, Yang Zhang, Jizhi Zhang, Fuli Feng, Xiangnan He
Date: 2024-05-02 00:00:00
Tasks: Attribute, Fairness, Recommendation Systems

As recommender systems are indispensable in various domains such as job searching and e-commerce, providing equitable recommendations to users with different sensitive attributes becomes an imperative requirement. Prior approaches for enhancing fairness in recommender systems presume the availability of all sensitive attributes, which can be difficult to obtain due to privacy concerns or inadequate means of capturing these attributes. In practice, the efficacy of these approaches is limited, pushing us to investigate ways of promoting fairness with limited sensitive attribute information. Toward this goal, it is important to reconstruct missing sensitive attributes. Nevertheless, reconstruction errors are inevitable due to the complexity of real-world sensitive attribute reconstruction problems and legal regulations. Thus, we pursue fair learning methods that are robust to reconstruction errors. To this end, we propose Distributionally Robust Fair Optimization (DRFO), which minimizes the worst-case unfairness over all potential probability distributions of missing sensitive attributes instead of the reconstructed one to account for the impact of the reconstruction errors. We provide theoretical and empirical evidence to demonstrate that our method can effectively ensure fairness in recommender systems when only limited sensitive attributes are accessible.
Polynomial Chaos Expanded Gaussian Process
Authors: Dominik Polke, Tim Kösters, Elmar Ahle, Dirk Söffker
Date: 2024-05-02 00:00:00
Tasks: Noise Estimation

In complex and unknown processes, global models are initially generated over the entire experimental space but often fail to provide accurate predictions in local areas. A common approach is to use local models, which requires partitioning the experimental space and training multiple models, adding significant complexity. Recognizing this limitation, this study addresses the need for models that effectively represent both global and local experimental spaces. It introduces a novel machine learning (ML) approach: Polynomial Chaos Expanded Gaussian Process (PCEGP), leveraging polynomial chaos expansion (PCE) to calculate input-dependent hyperparameters of the Gaussian process (GP). This provides a mathematically interpretable approach that incorporates non-stationary covariance functions and heteroscedastic noise estimation to generate locally adapted models. The model performance is compared to different algorithms in benchmark tests for regression tasks. The results demonstrate low prediction errors of the PCEGP, highlighting model performance that is often competitive with or better than previous methods. A key advantage of the presented model is its interpretable hyperparameters along with training and prediction runtimes comparable to those of a GP.
Efficient and Flexible Method for Reducing Moderate-size Deep Neural Networks with Condensation
Authors: Tianyi Chen, Zhi-Qin John Xu
Date: 2024-05-02 00:00:00
Tasks: image-classification, Image Classification

Neural networks have been extensively applied to a variety of tasks, achieving astounding results. Applying neural networks in the scientific field is an important research direction that is gaining increasing attention. In scientific applications, the scale of neural networks is generally moderate-size, mainly to ensure the speed of inference during application. Additionally, comparing neural networks to traditional algorithms in scientific applications is inevitable. These applications often require rapid computations, making the reduction of neural network sizes increasingly important. Existing work has found that the powerful capabilities of neural networks are primarily due to their non-linearity. Theoretical work has discovered that under strong non-linearity, neurons in the same layer tend to behave similarly, a phenomenon known as condensation. Condensation offers an opportunity to reduce the scale of neural networks to a smaller subnetwork with similar performance. In this article, we propose a condensation reduction algorithm to verify the feasibility of this idea in practical problems. Our reduction method can currently be applied to both fully connected networks and convolutional networks, achieving positive results. In complex combustion acceleration tasks, we reduced the size of the neural network to 41.7% of its original scale while maintaining prediction accuracy. In the CIFAR10 image classification task, we reduced the network size to 11.5% of the original scale, still maintaining a satisfactory validation accuracy. Our method can be applied to most trained neural networks, reducing computational pressure and improving inference speed.
CrossMPT: Cross-attention Message-Passing Transformer for Error Correcting Codes
Authors: Seong-Joon Park, Hee-Youl Kwak, Sang-Hyo Kim, Yongjune Kim, Jong-Seon No
Date: 2024-05-02 00:00:00
Tasks: Decoder

Error correcting codes (ECCs) are indispensable for reliable transmission in communication systems. The recent advancements in deep learning have catalyzed the exploration of ECC decoders based on neural networks. Among these, transformer-based neural decoders have achieved state-of-the-art decoding performance. In this paper, we propose a novel Cross-attention Message-Passing Transformer (CrossMPT), which shares key operational principles with conventional message-passing decoders. While conventional transformer-based decoders employ self-attention mechanism without distinguishing between the types of input vectors (i.e., magnitude and syndrome vectors), CrossMPT updates the two types of input vectors separately and iteratively using two masked cross-attention blocks. The mask matrices are determined by the code's parity-check matrix, which explicitly captures the irrelevant relationship between two input vectors. Our experimental results show that CrossMPT significantly outperforms existing neural network-based decoders for various code classes. Notably, CrossMPT achieves this decoding performance improvement, while significantly reducing the memory usage, complexity, inference time, and training time.
The Privacy Power of Correlated Noise in Decentralized Learning
Authors: Youssef Allouah, Anastasia Koloskova, Aymane El Firdoussi, Martin Jaggi, Rachid Guerraoui
Date: 2024-05-02 00:00:00

Decentralized learning is appealing as it enables the scalable usage of large amounts of distributed data and resources (without resorting to any central entity), while promoting privacy since every user minimizes the direct exposure of their data. Yet, without additional precautions, curious users can still leverage models obtained from their peers to violate privacy. In this paper, we propose Decor, a variant of decentralized SGD with differential privacy (DP) guarantees. Essentially, in Decor, users securely exchange randomness seeds in one communication round to generate pairwise-canceling correlated Gaussian noises, which are injected to protect local models at every communication round. We theoretically and empirically show that, for arbitrary connected graphs, Decor matches the central DP optimal privacy-utility trade-off. We do so under SecLDP, our new relaxation of local DP, which protects all user communications against an external eavesdropper and curious users, assuming that every pair of connected users shares a secret, i.e., an information hidden to all others. The main theoretical challenge is to control the accumulation of non-canceling correlated noise due to network sparsity. We also propose a companion SecLDP privacy accountant for public use.