arXiv subjects

Jiayu Liu

Publications and source records attributed to Jiayu Liu.

82 records · Page 5Linked to original sources

arXiv2023

Model-Free Market Risk Hedging Using Crowding Networks

Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund holdings, which is used to compute crowding scores for stocks. These scores are used to construct costless long-short portfolios, computed in a distribution-free (model-free) way and without using any numerical optimization, with desirable properties of hedge portfolios. More specifically, these long-short portfolios provide protection for both small and large market price fluctuations, due to their negative correlation with the market and positive convexity as a function of market returns. By adding our long-short portfolio to a baseline portfolio such as a traditional 60/40 portfolio, our method provides an alternative way to hedge portfolio risk including tail risk, which does not require costly option-based strategies or complex numerical optimization. The total cost of such hedging amounts to the total cost of rebalancing the hedge portfolio.

q-fin.PM↗

arXiv2023

Liquid solution centrifugation for safe, scalable, and efficient isotope separation

A general method of separating isotopes by centrifuging dissolved chemical compounds in a liquid solution is introduced. This technique can be applied to almost all elements and leads to large separation factors. The method has been demonstrated in several isotopic systems including Ca, Mo, O, and Li with single-stage selectivities of 1.046-1.067 per unit mass difference (e.g., 1.434 in 40Ca/48Ca, 1.134 in 16O/18O), which are beyond the capabilities of various conventional methods of isotope enrichment. Equations are derived to model the process and the results agree with those of the experiments. The scalability of the technique has been demonstrated by performing a three-stage enrichment of 48Ca, and the scalability is more broadly supported through analogies to the gas centrifuge, whereby countercurrent centrifugation can further multiply the separation factor by 5-10 times per stage in a continuous process. Optimal centrifuge conditions and solutions can achieve both high-throughput and highly efficient isotope separation.

nucl-ex↗

arXiv2023

Learning by Applying: A General Framework for Mathematical Reasoning via Enhancing Explicit Knowledge Learning

Mathematical reasoning is one of the crucial abilities of general artificial intelligence, which requires machines to master mathematical logic and knowledge from solving problems. However, existing approaches are not transparent (thus not interpretable) in terms of what knowledge has been learned and applied in the reasoning process. In this paper, we propose a general Learning by Applying (LeAp) framework to enhance existing models (backbones) in a principled way by explicit knowledge learning. In LeAp, we perform knowledge learning in a novel problem-knowledge-expression paradigm, with a Knowledge Encoder to acquire knowledge from problem data and a Knowledge Decoder to apply knowledge for expression reasoning. The learned mathematical knowledge, including word-word relations and word-operator relations, forms an explicit knowledge graph, which bridges the knowledge "learning" and "applying" organically. Moreover, for problem solving, we design a semantics-enhanced module and a reasoning-enhanced module that apply knowledge to improve the problem comprehension and symbol reasoning abilities of any backbone, respectively. We theoretically prove the superiority of LeAp's autonomous learning mechanism. Experiments on three real-world datasets show that LeAp improves all backbones' performances, learns accurate knowledge, and achieves a more interpretable reasoning process.

cs.AI↗

arXiv2023

A Novel Approach for Auto-Formulation of Optimization Problems

In the Natural Language for Optimization (NL4Opt) NeurIPS 2022 competition, competitors focus on improving the accessibility and usability of optimization solvers, with the aim of subtask 1: recognizing the semantic entities that correspond to the components of the optimization problem; subtask 2: generating formulations for the optimization problem. In this paper, we present the solution of our team. First, we treat subtask 1 as a named entity recognition (NER) problem with the solution pipeline including pre-processing methods, adversarial training, post-processing methods and ensemble learning. Besides, we treat subtask 2 as a generation problem with the solution pipeline including specially designed prompts, adversarial training, post-processing methods and ensemble learning. Our proposed methods have achieved the F1-score of 0.931 in subtask 1 and the accuracy of 0.867 in subtask 2, which won the fourth and third places respectively in this competition. Our code is available at https://github.com/bigdata-ustc/nl4opt.

cs.CL↗

arXiv2022

Flat bands, non-trivial band topology and electronic nematicity in layered kagome-lattice RbTi$_3$Bi$_5$

Layered kagome-lattice materials with 3$d$ transition metals provide a fertile playground for studies on geometry frustration, band topology and other novel ordered states. A representative class of materials AV$_3$Sb$_5$ (A=K, Rb, Cs) have been proved to possess various unconventional phases such as superconductivity, non-trivial $\mathbb{Z}_2$ band topology, and electronic nematicity, which are intertwined with multiple interlaced charge density waves (CDW). However, the interplay among these novel states and their mechanisms are still elusive. Recently, the discovery of isostructural titanium-based single-crystals ATi$_3$Bi$_5$ (A=K, Rb, Cs), which demonstrate similar multiple exotic states but in the absence of the concomitant intertwined CDW, has been offering an ideal opportunity to disentangle these complex novel states in kagome-lattice. Here, we combine the high-resolution angle-resolved photoemission spectroscopy and first-principles calculations to systematically investigate the low-lying electronic structure of RbTi$_3$Bi$_5$. For the first time, we experimentally demonstrate the coexistence of flat bands and multiple non-trivial topological states, including type-II Dirac nodal lines and non-trivial $\mathbb{Z}_2$ topological surface states therein. Furthermore, our findings as well provide the hint of rotation symmetry breaking in RbTi$_3$Bi$_5$, suggesting the directionality of the electronic structure and possibility of emerging pure electronic nematicity in this new family of kagome compounds, which may provide important insights into the electronic nematic phase in correlated kagome metals.

cond-mat.str-el↗

arXiv2022

Test-Time Training Can Close the Natural Distribution Shift Performance Gap in Deep Learning Based Compressed Sensing

Deep learning based image reconstruction methods outperform traditional methods. However, neural networks suffer from a performance drop when applied to images from a different distribution than the training images. For example, a model trained for reconstructing knees in accelerated magnetic resonance imaging (MRI) does not reconstruct brains well, even though the same network trained on brains reconstructs brains perfectly well. Thus there is a distribution shift performance gap for a given neural network, defined as the difference in performance when training on a distribution $P$ and training on another distribution $Q$, and evaluating both models on $Q$. In this work, we propose a domain adaptation method for deep learning based compressive sensing that relies on self-supervision during training paired with test-time training at inference. We show that for four natural distribution shifts, this method essentially closes the distribution shift performance gap for state-of-the-art architectures for accelerated MRI.

eess.IV↗

arXiv2022

Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations

We suggest a simple practical method to combine the human and artificial intelligence to both learn best investment practices of fund managers, and provide recommendations to improve them. Our approach is based on a combination of Inverse Reinforcement Learning (IRL) and RL. First, the IRL component learns the intent of fund managers as suggested by their trading history, and recovers their implied reward function. At the second step, this reward function is used by a direct RL algorithm to optimize asset allocation decisions. We show that our method is able to improve over the performance of individual fund managers.

cs.LG↗

arXiv2021

An Iterative Heuristic Method to Determine Radial Topology for Distribution System Restoration

Coordinating multiple local power sources can restore critical loads after the major outages caused by extreme events. A radial topology is needed for distribution system restoration, while determining a good topology in real-time for online use is a challenge. In this paper, a graph theory-based heuristic considering power flow state is proposed to fast determine the radial topology. The loops of distribution network are eliminated by iteration. The proposed method is validated by one snapshot and multi-period critical load restoration models on different cases. The case studies indicate that the proposed method can determine radial topology in a few seconds and ensure the restoration capacity.

eess.SY↗

arXiv2020

Effective Version Space Reduction for Convolutional Neural Networks

In active learning, sampling bias could pose a serious inconsistency problem and hinder the algorithm from finding the optimal hypothesis. However, many methods for neural networks are hypothesis space agnostic and do not address this problem. We examine active learning with convolutional neural networks through the principled lens of version space reduction. We identify the connection between two approaches---prior mass reduction and diameter reduction---and propose a new diameter-based querying method---the minimum Gibbs-vote disagreement. By estimating version space diameter and bias, we illustrate how version space of neural networks evolves and examine the realizability assumption. With experiments on MNIST, Fashion-MNIST, SVHN and STL-10 datasets, we demonstrate that diameter reduction methods reduce the version space more effectively and perform better than prior mass reduction and other baselines, and that the Gibbs vote disagreement is on par with the best query method.

cs.LG↗

arXiv2019

Machine learning of phase transitions in the percolation and XY models

In this paper, we apply machine learning methods to study phase transitions in certain statistical mechanical models on the two dimensional lattices, whose transitions involve non-local or topological properties, including site and bond percolations, the XY model and the generalized XY model. We find that using just one hidden layer in a fully-connected neural network, the percolation transition can be learned and the data collapse by using the average output layer gives correct estimate of the critical exponent $ν$. We also study the Berezinskii-Kosterlitz-Thouless transition, which involves binding and unbinding of topological defects---vortices and anti-vortices, in the classical XY model. The generalized XY model contains richer phases, such as the nematic phase, the paramagnetic and the quasi-long-range ferromagnetic phases, and we also apply machine learning method to it. We obtain a consistent phase diagram from the network trained with only data along the temperature axis at two particular parameter $Δ$ values, where $Δ$ is the relative weight of pure XY coupling. Besides using the spin configurations (either angles or spin components) as the input information in a convolutional neural network, we devise a feature engineering approach using the histograms of the spin orientations in order to train the network to learn the three phases in the generalized XY model and demonstrate that it indeed works. The trained network by using system size $L\times L$ can be used to the phase diagram for other sizes ($L'\times L'$, where $L'\ne L$) without any further training.

cond-mat.stat-mech↗