arXiv subjects

Daran Xu

Publications and source records attributed to Daran Xu.

3 recordsLinked to original sources

arXiv2026

Causal Optimal Coupling for Gaussian Input-Output Distributional Data

We study the problem of identifying an optimal coupling between input-output distributional data generated by a causal dynamical system. The coupling is required to satisfy prescribed marginal distributions and a causality constraint reflecting the temporal structure of the system. We formulate this problem as a Schr"odinger Bridge, which seeks the coupling closest - in Kullback-Leibler divergence - to a given prior while enforcing both marginal and causality constraints. For the case of Gaussian marginals and general time-dependent quadratic cost functions, we derive a fully tractable characterization of the Sinkhorn iterations that converges to the optimal solution. Beyond its theoretical contribution, the proposed framework provides a principled foundation for applying causal optimal transport methods to system identification from distributional data.

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arXiv2022

TrafficFlowGAN: Physics-informed Flow based Generative Adversarial Network for Uncertainty Quantification

This paper proposes the TrafficFlowGAN, a physics-informed flow based generative adversarial network (GAN), for uncertainty quantification (UQ) of dynamical systems. TrafficFlowGAN adopts a normalizing flow model as the generator to explicitly estimate the data likelihood. This flow model is trained to maximize the data likelihood and to generate synthetic data that can fool a convolutional discriminator. We further regularize this training process using prior physics information, so-called physics-informed deep learning (PIDL). To the best of our knowledge, we are the first to propose an integration of flow, GAN and PIDL for the UQ problems. We take the traffic state estimation (TSE), which aims to estimate the traffic variables (e.g. traffic density and velocity) using partially observed data, as an example to demonstrate the performance of our proposed model. We conduct numerical experiments where the proposed model is applied to learn the solutions of stochastic differential equations. The results demonstrate the robustness and accuracy of the proposed model, together with the ability to learn a machine learning surrogate model. We also test it on a real-world dataset, the Next Generation SIMulation (NGSIM), to show that the proposed TrafficFlowGAN can outperform the baselines, including the pure flow model, the physics-informed flow model, and the flow based GAN model.

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arXiv2021

Deep Learning Algorithms for Hedging with Frictions

This work studies the deep learning-based numerical algorithms for optimal hedging problems in markets with general convex transaction costs on the trading rates, focusing on their scalability of trading time horizon. Based on the comparison results of the FBSDE solver by Han, Jentzen, and E (2018) and the Deep Hedging algorithm by Buehler, Gonon, Teichmann, and Wood (2019), we propose a Stable Transfer Hedging (ST-Hedging) algorithm, to aggregate the convenience of the leading-order approximation formulas and the accuracy of the deep learning-based algorithms. Our ST-Hedging algorithm achieves the same state-of-the-art performance in short and moderately long time horizon as FBSDE solver and Deep Hedging, and generalize well to long time horizon when previous algorithms become suboptimal. With the transfer learning technique, ST-Hedging drastically reduce the training time, and shows great scalability to high-dimensional settings. This opens up new possibilities in model-based deep learning algorithms in economics, finance, and operational research, which takes advantages of the domain expert knowledge and the accuracy of the learning-based methods.

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