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Wai-Ki Ching

Publications and source records attributed to Wai-Ki Ching.

At least 19 recordsLinked to original sources

On the Number of Observation Nodes in Recurrent Neural Networks with Linear Threshold and ReLU Functions

This paper investigates how node update rules and admissible state domains affect the minimum number of observation nodes required for global finite-horizon observability in recurrent neural networks with linear-threshold and ReLU update functions. Over a common binary state domain, we construct a class of $K$-linear-threshold ($K$-LT) networks whose initial states can be uniquely reconstructed from the finite output trajectory of a single observation node. We further establish a dynamical equivalence between binary-valued $K$-ReLU networks and $K$-AND Boolean networks, which transfers existing class-level observation-node bounds to binary-valued $K$-ReLU networks. For nonnegative-valued ReLU networks, the observability problem reduces to the classical linear-system setting whenever the relevant pre-activations remain nonnegative. For general real-valued ReLU networks, we prove that global finite-horizon observability requires at least $n/2$ observation nodes when no restriction is imposed on the number of state variables involved in each node update. This lower bound is tight when $n=2K$, for which we construct a $K$-ReLU network observable from exactly $K$ nodes. These results show that both update rules and state domains fundamentally affect extremal observation requirements: temporal evolution can concentrate finite-state information into a single measured trajectory, whereas activation-induced rank loss creates an intrinsic sensor lower bound in continuous-state ReLU networks.

eess.SY

On the Observability and Controllability of Leaky-ReLU Networks

This paper studies minimum-node observability and controllability of Leaky rectified linear unit (Leaky-ReLU) networks under degree constraints. The objective is to characterize how many state nodes must be measured or directly actuated to determine the initial state from a finite output sequence or to steer the network between arbitrary states within a finite horizon. For observability, a graph-theoretic analysis yields a class-wide upper bound on the minimum number of observation nodes. We construct a family of networks attaining this bound, thereby determining the exact worst-case minimum number of observation nodes. We also construct networks that are observable from a single node over a finite horizon, establishing the exact best-case value of one. By establishing an observability--controllability duality under the corresponding degree constraints, we obtain analogous exact best- and worst-case results for the minimum number of control nodes. A comparison with ReLU networks shows how replacing the zero negative slope with a nonzero slope changes the observation-node requirement. More generally, the observability arguments require only injectivity of the activation function, whereas the controllability results extend to bijective activation functions.

eess.SY

On the Number of Control Nodes in Boolean Networks with Degree Constraints

This paper studies the minimum control node set problem for Boolean networks (BNs) with degree constraints. The main contribution is to derive the nontrivial lower and upper bounds on the size of the minimum control node set through combinatorial analysis of four types of BNs (i.e., $k$-$k$-XOR-BNs, simple $k$-$k$-AND-BNs, $k$-$k$-AND-BNs with negation and $k$-$k$-NC-BNs, where the $k$-$k$-AND-BN with negation is an extension of the simple $k$-$k$-AND-BN that considers the occurrence of negation and NC means nested canalyzing). More specifically, four bounds for the size of the minimum control node set: general lower bound, best case upper bound, worst case lower bound, and general upper bound are studied. By dividing nodes into three disjoint sets, extending the time to reach the target state, and utilizing necessary conditions for controllability, these bounds are obtained, and further meaningful results and phenomena are discovered. Notably, all of the above results involving the AND function also apply to the OR function.

eess.SY

On the Number of Control Nodes of Threshold and XOR Boolean Networks

Boolean networks (BNs) are important models for gene regulatory networks and many other biological systems. In this paper, we study the minimal controllability problem of threshold and XOR BNs with degree constraints. Firstly, we derive lower-bound-related inequalities and some upper bounds for the number of control nodes of several classes of controllable majority-type threshold BNs. Secondly, we construct controllable majority-type BNs and BNs involving Boolean threshold functions with both positive and negative coefficients such that these BNs are associated with a small number of control nodes. Thirdly, we derive a linear-algebraic necessary and sufficient condition for the controllability of general XOR-BNs, whose update rules are based on the XOR logical operator, and construct polynomial-time algorithms for computing control-node sets and control signals for general XOR-BNs. Lastly, we use ring theory and linear algebra to establish a few best-case upper bounds for a type of degree-constrainted XOR-BNs called $k$-$k$-XOR-BNs. In particular, we show that for any positive integer $m \geq 2$ and any odd integer $k \in [3, 2^{m} - 1]$, there exists a $2^{m}$-node controllable $k$-$k$-XOR-BN with 1 control node. Our results offer theoretical insights into minimal interventions in networked systems such as gene regulatory networks.

eess.SY

On the Number of Observation Nodes in Boolean Networks

A Boolean network (BN) is called observable if any initial state can be uniquely determined from the output sequence. In the existing literature on observability of BNs, there is almost no research on the relationship between the number of observation nodes and the observability of BNs, which is an important and practical issue. In this paper, we mainly focus on three types of BNs with $n$ nodes (i.e., $K$-AND-OR-BNs, $K$-XOR-BNs, and $K$-NC-BNs, where $K$ is the number of input nodes for each node and NC means nested canalyzing) and study the upper and lower bounds of the number of observation nodes for these BNs. First, we develop a novel technique using information entropy to derive a general lower bound of the number of observation nodes, and conclude that the number of observation nodes cannot be smaller than $\left[(1-K)+\frac{2^{K}-1}{2^{K}}\log_{2}(2^{K}-1)\right]n$ to ensure that any $K$-AND-OR-BN is observable, and similarly, some lower bound is also obtained for $K$-NC-BNs. Then for any type of BN, we also develop two new techniques to infer the general lower bounds, using counting identical states at time 1 and counting the number of fixed points, respectively. On the other hand, we derive nontrivial upper bounds of the number of observation nodes by combinatorial analysis of several types of BNs. Specifically, we indicate that $\left(\frac{2^{K}-K-1}{2^{K}-1}\right)n,~1$, and $\lceil \frac{n}{K}\rceil$ are the best case upper bounds for $K$-AND-OR-BNs, $K$-XOR-BNs, and $K$-NC-BN, respectively.

eess.SY

A Discrete Perspective Towards the Construction of Sparse Probabilistic Boolean Networks

Boolean Network (BN) and its extension Probabilistic Boolean Network (PBN) are popular mathematical models for studying genetic regulatory networks. BNs and PBNs are also applied to model manufacturing systems, financial risk and healthcare service systems. In this paper, we propose a novel Greedy Entry Removal (GER) algorithm for constructing sparse PBNs. We derive theoretical upper bounds for both existing algorithms and the GER algorithm. Furthermore, we are the first to study the lower bound problem of the construction of sparse PBNs, and to derive a series of related theoretical results. In our numerical experiments based on both synthetic and practical data, GER gives the best performance among state-of-the-art sparse PBN construction algorithms and outputs sparsest possible decompositions on most of the transition probability matrices being tested.

cs.LG

A Column-Wise Update Algorithm for Sparse Stochastic Matrix Factorization

Nonnegative matrix factorization arises widely in machine learning and data analysis. In this paper, for a given factorization of rank r, we consider the sparse stochastic matrix factorization (SSMF) of decomposing a prescribed m-by-n stochastic matrix V into a product of an m-by-r stochastic matrix W and an r-by-n stochastic matrix H, where both W and H are required to be sparse. With the prescribed sparsity level, we reformulate the SSMF as an unconstrained nonconvex-nonsmooth minimization problem and introduce a column-wise update algorithm for solving the minimization problem. We show that our algorithm converges globally. The main advantage of our algorithm is that the generated sequence converges to a special critical point of the cost function, which is nearly a global minimizer over each column vector of the W-factor and is a global minimizer over the H-factor as a whole if there is no sparsity requirement on H. Numerical experiments on both synthetic and real data sets are given to demonstrate the effectiveness of our proposed algorithm.

math.NA

A Modified Orthogonal Matching Pursuit for Construction of Sparse Probabilistic Boolean Networks

Probabilistic Boolean Networks play a remarkable role in the modelling and control of gene regulatory networks. In this paper, we consider the inverse problem of constructing a sparse probabilistic Boolean network from the prescribed transition probability matrix. We propose a modified orthogonal matching pursuit for solving the inverse problem. We provide some conditions under which the proposed algorithm can recover a sparse probabilistic Boolean network. We also report some numerical results to illustrate the effectiveness of the proposed algorithm.

math.NA

Discrimination of attractors with noisy nodes in Boolean networks

Observing the internal state of the whole system using a small number of sensor nodes is important in analysis of complex networks. Here, we study the problem of determining the minimum number of sensor nodes to discriminate attractors under the assumption that each attractor has at most K noisy nodes. We present exact and approximation algorithms for this minimization problem. The effectiveness of the algorithms is also demonstrated by computational experiments using both synthetic data and realistic biological data.

cs.DS

On the Compressive Power of Boolean Threshold Autoencoders

An autoencoder is a layered neural network whose structure can be viewed as consisting of an encoder, which compresses an input vector of dimension $D$ to a vector of low dimension $d$, and a decoder which transforms the low-dimensional vector back to the original input vector (or one that is very similar). In this paper we explore the compressive power of autoencoders that are Boolean threshold networks by studying the numbers of nodes and layers that are required to ensure that the numbers of nodes and layers that are required to ensure that each vector in a given set of distinct input binary vectors is transformed back to its original. We show that for any set of $n$ distinct vectors there exists a seven-layer autoencoder with the smallest possible middle layer, (i.e., its size is logarithmic in $n$), but that there is a set of $n$ vectors for which there is no three-layer autoencoder with a middle layer of the same size. In addition we present a kind of trade-off: if a considerably larger middle layer is permissible then a five-layer autoencoder does exist. We also study encoding by itself. The results we obtain suggest that it is the decoding that constitutes the bottleneck of autoencoding. For example, there always is a three-layer Boolean threshold encoder that compresses $n$ vectors into a dimension that is reduced to twice the logarithm of $n$.

cs.LG

Optimal Liquidation Problems in a Randomly-Terminated Horizon

In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. Three different scenarios are analyzed under Almgren-Chriss's market impact model to explore the relation between optimal liquidation strategies and potential inventory risk arising from the uncertainty of the liquidation horizon. For cases where no closed-form solutions can be obtained, we verify comparison principles for viscosity solutions and characterize the value function as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman (HJB) equation.

q-fin.TR

Generalized Optimal Liquidation Problems Across Multiple Trading Venues

In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a trader's liquidation strategy alters when multiple venues and extra information are brought into the security market and detected by the trader. This study gives some new insights into the relationship between liquidation strategy and market liquidity, and provides a multi-scale approach to the optimal liquidation problem with randomly varying volatility.

q-fin.TR

Interacting Default Intensity with Hidden Markov Process

In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state given the observation processes. The method may be applied to a wide range of problems. Based on this model, we derive the joint distribution of multiple default times without imposing stringent assumptions on the form of default intensities. Closed-form formulas for the distribution of default times are obtained which are then applied to solve a number of practical problems such as hedging and pricing credit derivatives. The method and numerical algorithms presented may be applicable to various forms of default intensities.

q-fin.CP

Trading Strategy with Stochastic Volatility in a Limit Order Book Market

In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option market making for options written on stocks in the presence of stochastic volatility. Mathematically, the problem is formulated as a stochastic optimal control problem and the controlled state process is the dealer's mark-to-market wealth. Dealers in the security market can optimally determine their ask and bid quotes on the underlying stocks or options continuously over time. Their objective is to maximize an expected profit from transactions with a penalty proportional to the variance of cumulative inventory cost.

q-fin.TR

On Correlated Defaults and Incomplete Information

In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market participants includes the default time of each firm and the periodic asset value reports. In this situation, the default time of each firm becomes a totally inaccessible stopping time to the market participants. The original structural model is first transformed to a reduced-form model. Then the conditional distribution of the default time together with the asset value of each name are derived. We prove the existence of the intensity processes of default times and also give the explicit form of the intensity processes. Numerical studies on the intensities of the two correlated names are conducted for some special cases. We also indicate the possible future research extension into three names case by considering a special correlation structure.

q-fin.MF

On Optimal Pricing Model for Multiple Dealers in a Competitive Market

In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers' trading intensities, their optimal bid and ask prices and therefore their spreads are derived when the dealers are informed the severity of the competition. The effects of various parameters on the bid-ask quotes and profits of the dealers in a competitive market are also discussed. This study gives some insights on the average spread, profit of the dealers in a competitive trading environment.

q-fin.TR

On Modeling Economic Default Time: A Reduced-Form Model Approach

In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by Guo et al.(2008) shows that the time difference between the economic and recorded default dates has a significant impact on recovery rate estimates. Guo et al.(2011) develop a theoretical structural firm asset value model for a firm default process that embeds the distinction of these two default times. To be more consistent with the practice, in this paper, we assume the market participants cannot observe the firm asset value directly and developed a reduced-form model to characterize the economic and recorded default times. We derive the probability distribution of these two default times. The numerical study on the difference between these two shows that our proposed model can both capture the features and fit the empirical data.

q-fin.CP

On Infectious Model for Dependent Defaults

In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of two sectors is in both direction, which enrich dependence dynamics. The Bayesian Information Criterion is adopted to compare the proposed model with the two-sector model in credit literature using the real data. We find that the newly proposed model is statistically better than the model in past literature. We also introduce two measures: CRES and CRVaR to give risk evaluation of our model.

q-fin.RM