Michele Palma | Searcharxiv

arXiv2026

Beyond Lipschitz: Data-Driven Robustness via Discrete Modulus of Continuity

Robustness of neural networks is commonly quantified via local or global Lipschitz constants. However, Lipschitz continuity can be overly coarse or overly restrictive as global robustness measure, failing to capture nuanced, data-dependent behavior. We propose a data-driven, architecture-agnostic framework based on the discrete modulus of continuity (DMOC), a non linear generalization of Lipschitz continuity that provides a finer notion of robustness. Unlike many existing approaches, DMOC does not require access to model internals and instead evaluates regularity relative to the data distribution. This shifts the focus from the model to the data, which provide a data-driven baseline of regularity against which the network's robustness is assessed. We establish convergence results for DMOC-induced seminorms with explicit data-driven rates in terms of the separation distance, and introduce a scalable minibatch algorithm that reduces the quadratic cost of exact computation, enabling application to large-scale data sets such as ImageNet. Empirically, DMOC serves as an architecture independent diagnostic: it distinguishes trained from untrained networks, reveals underfitting and overfitting regimes, and yields, as a special case, tight Lipschitz estimates comparable to state-of-the-art method such as ECLipsE and ECLipsE-fast.

stat.ML↗

arXiv2024

Geometric Deep Learning for Realized Covariance Matrix Forecasting

Traditional methods employed in matrix volatility forecasting often overlook the inherent Riemannian manifold structure of symmetric positive definite matrices, treating them as elements of Euclidean space, which can lead to suboptimal predictive performance. Moreover, they often struggle to handle high-dimensional matrices. In this paper, we propose a novel approach for forecasting realized covariance matrices of asset returns using a Riemannian-geometry-aware deep learning framework. In this way, we account for the geometric properties of the covariance matrices, including possible non-linear dynamics and efficient handling of high-dimensionality. Moreover, building upon a Fréchet sample mean of realized covariance matrices, we are able to extend the HAR model to the matrix-variate. We demonstrate the efficacy of our approach using daily realized covariance matrices for the 50 most capitalized companies in the S&P 500 index, showing that our method outperforms traditional approaches in terms of predictive accuracy.

q-fin.CP↗