我们提出了一种方法,用于寻找任意初始投资组合和市场国家的最佳对冲政策。我们开发了一种新型的参与者评论算法,用于解决一般的规避风险随机控制问题,并使用它同时学习跨多种风险规避水平的对冲策略。我们在随机波动性环境中以数值示例来证明该方法的有效性。
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我们在标准化流动的基础上构建逼真的现场和股票选项市场模拟器。我们通过套利的自动级别来解决市场观察到的呼叫价格的高度,这是近似价格的有效的低维表示,同时保持重建表面中的静态套件。考虑到多资产宇宙,我们利用了归一化流量的条件可逆性,并引入可扩展方法,以校准一组独立模拟器的关节分布,同时保留每个模拟器的动态。经验结果突出了校准模拟器的良好及其忠诚。
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我们为可交易仪器的市场模拟器提供了一种数值有效的方法,用于学习最少的等效鞅措施,例如,可交易仪器的市场模拟器。出于在同一底层写入的现货价格和选择。在存在交易成本和交易限制的情况下,我们放松了对学习最低等同的“近马丁措施”的结果,其中预期的回报仍然存在于普遍的出价/询问差价中。我们在高维复杂空间中“去除漂移”的方法完全是无模型的,并且可以应用于任何不展示经典套用的市场模拟器。所产生的模型可用于风险中性定价,或者在交易成本或交易限制的情况下,“深度套期保值”。我们通过将其应用于两个市场模拟器,自动回归离散时间随机隐含的波动率模型和基于生成的对冲网络(GAN)的模拟器来展示我们的方法,这些模拟器都在统计测量下的选项价格的历史数据上培训产生现货和期权价格的现实样本。关于原始市场模拟器的估计误差,我们评论了鲁棒性。
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In recent years, reinforcement learning (RL) has become increasingly successful in its application to science and the process of scientific discovery in general. However, while RL algorithms learn to solve increasingly complex problems, interpreting the solutions they provide becomes ever more challenging. In this work, we gain insights into an RL agent's learned behavior through a post-hoc analysis based on sequence mining and clustering. Specifically, frequent and compact subroutines, used by the agent to solve a given task, are distilled as gadgets and then grouped by various metrics. This process of gadget discovery develops in three stages: First, we use an RL agent to generate data, then, we employ a mining algorithm to extract gadgets and finally, the obtained gadgets are grouped by a density-based clustering algorithm. We demonstrate our method by applying it to two quantum-inspired RL environments. First, we consider simulated quantum optics experiments for the design of high-dimensional multipartite entangled states where the algorithm finds gadgets that correspond to modern interferometer setups. Second, we consider a circuit-based quantum computing environment where the algorithm discovers various gadgets for quantum information processing, such as quantum teleportation. This approach for analyzing the policy of a learned agent is agent and environment agnostic and can yield interesting insights into any agent's policy.
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The evolution of wireless communications into 6G and beyond is expected to rely on new machine learning (ML)-based capabilities. These can enable proactive decisions and actions from wireless-network components to sustain quality-of-service (QoS) and user experience. Moreover, new use cases in the area of vehicular and industrial communications will emerge. Specifically in the area of vehicle communication, vehicle-to-everything (V2X) schemes will benefit strongly from such advances. With this in mind, we have conducted a detailed measurement campaign with the purpose of enabling a plethora of diverse ML-based studies. The resulting datasets offer GPS-located wireless measurements across diverse urban environments for both cellular (with two different operators) and sidelink radio access technologies, thus enabling a variety of different studies towards V2X. The datasets are labeled and sampled with a high time resolution. Furthermore, we make the data publicly available with all the necessary information to support the on-boarding of new researchers. We provide an initial analysis of the data showing some of the challenges that ML needs to overcome and the features that ML can leverage, as well as some hints at potential research studies.
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Our goal is to reconstruct tomographic images with few measurements and a low signal-to-noise ratio. In clinical imaging, this helps to improve patient comfort and reduce radiation exposure. As quantum computing advances, we propose to use an adiabatic quantum computer and associated hybrid methods to solve the reconstruction problem. Tomographic reconstruction is an ill-posed inverse problem. We test our reconstruction technique for image size, noise content, and underdetermination of the measured projection data. We then present the reconstructed binary and integer-valued images of up to 32 by 32 pixels. The demonstrated method competes with traditional reconstruction algorithms and is superior in terms of robustness to noise and reconstructions from few projections. We postulate that hybrid quantum computing will soon reach maturity for real applications in tomographic reconstruction. Finally, we point out the current limitations regarding the problem size and interpretability of the algorithm.
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Optimization equips engineers and scientists in a variety of fields with the ability to transcribe their problems into a generic formulation and receive optimal solutions with relative ease. Industries ranging from aerospace to robotics continue to benefit from advancements in optimization theory and the associated algorithmic developments. Nowadays, optimization is used in real time on autonomous systems acting in safety critical situations, such as self-driving vehicles. It has become increasingly more important to produce robust solutions by incorporating uncertainty into optimization programs. This paper provides a short survey about the state of the art in optimization under uncertainty. The paper begins with a brief overview of the main classes of optimization without uncertainty. The rest of the paper focuses on the different methods for handling both aleatoric and epistemic uncertainty. Many of the applications discussed in this paper are within the domain of control. The goal of this survey paper is to briefly touch upon the state of the art in a variety of different methods and refer the reader to other literature for more in-depth treatments of the topics discussed here.
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We introduce an architecture for processing signals supported on hypergraphs via graph neural networks (GNNs), which we call a Hyper-graph Expansion Neural Network (HENN), and provide the first bounds on the stability and transferability error of a hypergraph signal processing model. To do so, we provide a framework for bounding the stability and transferability error of GNNs across arbitrary graphs via spectral similarity. By bounding the difference between two graph shift operators (GSOs) in the positive semi-definite sense via their eigenvalue spectrum, we show that this error depends only on the properties of the GNN and the magnitude of spectral similarity of the GSOs. Moreover, we show that existing transferability results that assume the graphs are small perturbations of one another, or that the graphs are random and drawn from the same distribution or sampled from the same graphon can be recovered using our approach. Thus, both GNNs and our HENNs (trained using normalized Laplacians as graph shift operators) will be increasingly stable and transferable as the graphs become larger. Experimental results illustrate the importance of considering multiple graph representations in HENN, and show its superior performance when transferability is desired.
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Unhealthy dietary habits are considered as the primary cause of multiple chronic diseases such as obesity and diabetes. The automatic food intake monitoring system has the potential to improve the quality of life (QoF) of people with dietary related diseases through dietary assessment. In this work, we propose a novel contact-less radar-based food intake monitoring approach. Specifically, a Frequency Modulated Continuous Wave (FMCW) radar sensor is employed to recognize fine-grained eating and drinking gestures. The fine-grained eating/drinking gesture contains a series of movement from raising the hand to the mouth until putting away the hand from the mouth. A 3D temporal convolutional network (3D-TCN) is developed to detect and segment eating and drinking gestures in meal sessions by processing the Range-Doppler Cube (RD Cube). Unlike previous radar-based research, this work collects data in continuous meal sessions. We create a public dataset that contains 48 meal sessions (3121 eating gestures and 608 drinking gestures) from 48 participants with a total duration of 783 minutes. Four eating styles (fork & knife, chopsticks, spoon, hand) are included in this dataset. To validate the performance of the proposed approach, 8-fold cross validation method is applied. Experimental results show that our proposed 3D-TCN outperforms the model that combines a convolutional neural network and a long-short-term-memory network (CNN-LSTM), and also the CNN-Bidirectional LSTM model (CNN-BiLSTM) in eating and drinking gesture detection. The 3D-TCN model achieves a segmental F1-score of 0.887 and 0.844 for eating and drinking gestures, respectively. The results of the proposed approach indicate the feasibility of using radar for fine-grained eating and drinking gesture detection and segmentation in meal sessions.
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Artificial Intelligence (AI) is having a tremendous impact across most areas of science. Applications of AI in healthcare have the potential to improve our ability to detect, diagnose, prognose, and intervene on human disease. For AI models to be used clinically, they need to be made safe, reproducible and robust, and the underlying software framework must be aware of the particularities (e.g. geometry, physiology, physics) of medical data being processed. This work introduces MONAI, a freely available, community-supported, and consortium-led PyTorch-based framework for deep learning in healthcare. MONAI extends PyTorch to support medical data, with a particular focus on imaging, and provide purpose-specific AI model architectures, transformations and utilities that streamline the development and deployment of medical AI models. MONAI follows best practices for software-development, providing an easy-to-use, robust, well-documented, and well-tested software framework. MONAI preserves the simple, additive, and compositional approach of its underlying PyTorch libraries. MONAI is being used by and receiving contributions from research, clinical and industrial teams from around the world, who are pursuing applications spanning nearly every aspect of healthcare.
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