arXiv subjects

Vincent Tan

Publications and source records attributed to Vincent Tan.

5 recordsLinked to original sources

arXiv2024

Framework and Classification of Indicator of Compromise for physics-based attacks

Quantum communications are based on the law of physics for information security and the implications for this form of future information security enabled by quantum science has to be studied. Physics-based vulnerabilities may exist due to the inherent physics properties and behavior of quantum technologies such as Quantum Key Distribution (QKD), thus resulting in new threats that may emerge with attackers exploiting the physics-based vulnerabilities. There were many studies and experiments done to demonstrate the threat of physics-based attacks on quantum links. However, there is a lack of a framework that provides a common language to communicate about the threats and type of adversaries being dealt with for physics-based attacks. This paper is a review of physics-based attacks that were being investigated and attempt to initialize a framework based on the attack objectives and methodologies, referencing the concept from the well-established MITRE ATT&CK, therefore pioneering the classification of Indicator of Compromises (IoCs) for physics-based attacks. This paper will then pave the way for future work in the development of a forensic tool for the different classification of IoCs, with the methods of evidence collections and possible points of extractions for analysis being further investigated.

cs.CR↗

arXiv2023

Provable Benefits of Multi-task RL under Non-Markovian Decision Making Processes

In multi-task reinforcement learning (RL) under Markov decision processes (MDPs), the presence of shared latent structures among multiple MDPs has been shown to yield significant benefits to the sample efficiency compared to single-task RL. In this paper, we investigate whether such a benefit can extend to more general sequential decision making problems, such as partially observable MDPs (POMDPs) and more general predictive state representations (PSRs). The main challenge here is that the large and complex model space makes it hard to identify what types of common latent structure of multi-task PSRs can reduce the model complexity and improve sample efficiency. To this end, we posit a joint model class for tasks and use the notion of $\eta$-bracketing number to quantify its complexity; this number also serves as a general metric to capture the similarity of tasks and thus determines the benefit of multi-task over single-task RL. We first study upstream multi-task learning over PSRs, in which all tasks share the same observation and action spaces. We propose a provably efficient algorithm UMT-PSR for finding near-optimal policies for all PSRs, and demonstrate that the advantage of multi-task learning manifests if the joint model class of PSRs has a smaller $\eta$-bracketing number compared to that of individual single-task learning. We also provide several example multi-task PSRs with small $\eta$-bracketing numbers, which reap the benefits of multi-task learning. We further investigate downstream learning, in which the agent needs to learn a new target task that shares some commonalities with the upstream tasks via a similarity constraint. By exploiting the learned PSRs from the upstream, we develop a sample-efficient algorithm that provably finds a near-optimal policy.

cs.LG↗

arXiv2022

Canonical Portfolios: Optimal Asset and Signal Combination

This paper presents a novel framework for analyzing the optimal asset and signal combination problem. Our approach builds upon the dynamic portfolio selection problem introduced by Brandt and Santa-Clara (2006) and consists of two stages. First, we reformulate their original investment problem into a tractable one that allows us to derive a closed-form expression for the optimal portfolio policy that is scalable to large cross-sectional financial applications. Second, we recast the problem of selecting a portfolio of correlated assets and signals into selecting a set of uncorrelated managed portfolios through the lens of Canonical Correlation Analysis of Hotelling (1936). The new investment environment of uncorrelated managed portfolios offers unique economic insights into the joint correlation structure of our optimal portfolio policy. We also operationalize our theoretical framework to bridge the gap between theory and practice, showcasing the improved performance of our proposed method over natural competing benchmarks.

q-fin.PM↗

arXiv2020

Estimation of Large Financial Covariances: A Cross-Validation Approach

We introduce a novel covariance estimator for portfolio selection that adapts to the non-stationary or persistent heteroskedastic environments of financial time series by employing exponentially weighted averages and nonlinearly shrinking the sample eigenvalues through cross-validation. Our estimator is structure agnostic, transparent, and computationally feasible in large dimensions. By correcting the biases in the sample eigenvalues and aligning our estimator to more recent risk, we demonstrate that our estimator performs well in large dimensions against existing state-of-the-art static and dynamic covariance shrinkage estimators through simulations and with an empirical application in active portfolio management.

stat.ML↗

arXiv2012

High Dimensional Structure Learning of Ising Models on Sparse Random Graphs

We consider the problem of learning the structure of ferromagnetic Ising models Markov on sparse Erdos-Renyi random graph. We propose simple local algorithms and analyze their performance in the regime of correlation decay. We prove that an algorithm based on a set of conditional mutual information tests is consistent for structure learning throughout the regime of correlation decay. This algorithm requires the number of samples to scale as ω(\log n), and has a computational complexity of O(n^4). A simpler algorithm based on correlation thresholding outputs a graph with a constant edit distance to the original graph when there is correlation decay, and the number of samples required is Ω(\log n). Under a more stringent condition, correlation thresholding is consistent for structure estimation. We finally prove a lower bound that Ω(c\log n) samples are also needed for consistent reconstruction of random graphs by any algorithm with positive probability, where c is the average degree. Thus, we establish that consistent structure estimation is possible with almost order-optimal sample complexity throughout the regime of correlation decay.

math.ST↗