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Jia Zhuo

Publications and source records attributed to Jia Zhuo.

4 recordsLinked to original sources

Data Efficiency for Large Recommendation Models

Large recommendation models (LRMs) are fundamental to the multi-billion dollar online advertising industry, processing massive datasets of hundreds of billions of examples before transitioning to continuous online training to adapt to rapidly changing user behavior. The massive scale of data directly impacts both computational costs and the speed at which new methods can be evaluated (R&D velocity). This paper presents actionable principles and high-level frameworks to guide practitioners in optimizing training data requirements. These strategies have been successfully deployed in Google's largest Ads CTR prediction models and are broadly applicable beyond LRMs. We outline the concept of data convergence, describe methods to accelerate this convergence, and finally, detail how to optimally balance training data volume with model size.

cs.IR

A monotone scheme for high-dimensional fully nonlinear PDEs

In this paper we propose a feasible numerical scheme for high-dimensional, fully nonlinear parabolic PDEs, which includes the quasi-linear PDE associated with a coupled FBSDE as a special case. Our paper is strongly motivated by the remarkable work Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322-1364] and stays in the paradigm of monotone schemes initiated by Barles and Souganidis [Asymptot. Anal. 4 (1991) 271-283]. Our scheme weakens a critical constraint imposed by Fahim, Touzi and Warin (2011), especially when the generator of the PDE depends only on the diagonal terms of the Hessian matrix. Several numerical examples, up to dimension 12, are reported.

math.NA

A primal-dual algorithm for BSDEs

We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization schemes of (reflected) backward stochastic differential equations (BSDEs). Taking as an input some approximate solution of the backward dynamic program, which was pre-computed, e.g., by least-squares Monte Carlo, our methodology allows to construct a confidence interval for the unknown true solution of the time discretized (reflected) BSDE at time 0. We numerically demonstrate the practical applicability of our method in two five-dimensional nonlinear pricing problems where tight price bounds were previously unavailable.

q-fin.CP

Monotone Schemes for Fully Nonlinear Parabolic Path Dependent PDEs

In this paper we extend the results of the seminal work Barles and Souganidis \cite{BS} to path dependent case. Based on the viscosity theory of path dependent PDEs, developed by Ekren, Keller, Touzi and Zhang \cite{EKTZ} and Ekren, Touzi and Zhang \cite{ETZ0, ETZ1, ETZ2}, we show that a monotone scheme converges to the unique viscosity solution of the (fully nonlinear) parabolic path dependent PDE. An example of such monotone scheme is proposed. Moreover, in the case that the solution is smooth enough, we obtain the rate of convergence of our scheme.

math.NA