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Wenpin Tang

Publications and source records attributed to Wenpin Tang.

At least 55 records · Page 3Linked to original sources

Scores as Actions: a framework of fine-tuning diffusion models by continuous-time reinforcement learning

Reinforcement Learning from human feedback (RLHF) has been shown a promising direction for aligning generative models with human intent and has also been explored in recent works for alignment of diffusion generative models. In this work, we provide a rigorous treatment by formulating the task of fine-tuning diffusion models, with reward functions learned from human feedback, as an exploratory continuous-time stochastic control problem. Our key idea lies in treating the score-matching functions as controls/actions, and upon this, we develop a unified framework from a continuous-time perspective, to employ reinforcement learning (RL) algorithms in terms of improving the generation quality of diffusion models. We also develop the corresponding continuous-time RL theory for policy optimization and regularization under assumptions of stochastic different equations driven environment. Experiments on the text-to-image (T2I) generation will be reported in the accompanied paper.

cs.LG↗

Polynomial Voting Rules

We propose and study a new class of polynomial voting rules for a general decentralized decision/consensus system, and more specifically for the PoS (Proof of Stake) protocol. The main idea, inspired by the Penrose square-root law and the more recent quadratic voting rule, is to differentiate a voter's voting power and the voter's share (fraction of the total in the system). We show that while voter shares form a martingale process that converge to a Dirichlet distribution, their voting powers follow a super-martingale process that decays to zero over time. This prevents any voter from controlling the voting process, and thus enhances security. For both limiting results, we also provide explicit rates of convergence. When the initial total volume of votes (or stakes) is large, we show a phase transition in share stability (or the lack thereof), corresponding to the voter's initial share relative to the total. We also study the scenario in which trading (of votes/stakes) among the voters is allowed, and quantify the level of risk sensitivity (or risk averse) in three categories, corresponding to the voter's utility being a super-martingale, a sub-martingale, and a martingale. For each category, we identify the voter's best strategy in terms of participation and trading.

math.PR↗

Policy Optimization for Continuous Reinforcement Learning

We study reinforcement learning (RL) in the setting of continuous time and space, for an infinite horizon with a discounted objective and the underlying dynamics driven by a stochastic differential equation. Built upon recent advances in the continuous approach to RL, we develop a notion of occupation time (specifically for a discounted objective), and show how it can be effectively used to derive performance-difference and local-approximation formulas. We further extend these results to illustrate their applications in the PG (policy gradient) and TRPO/PPO (trust region policy optimization/ proximal policy optimization) methods, which have been familiar and powerful tools in the discrete RL setting but under-developed in continuous RL. Through numerical experiments, we demonstrate the effectiveness and advantages of our approach.

cs.LG↗

Systemic robustness: a mean-field particle system approach

This paper is concerned with the problem of budget control in a large particle system modeled by stochastic differential equations involving hitting times, which arises from considerations of systemic risk in a regional financial network. Motivated by Tang and Tsai (Ann. Probab., 46(2018), pp. 1597{1650), we focus on the number or proportion of surviving entities that never default to measure the systemic robustness. First we show that both the mean-field particle system and its limiting McKean-Vlasov equation are well-posed by virtue of the notion of minimal solutions. We then establish a connection between the proportion of surviving entities in the large particle system and the probability of default in the limiting McKean-Vlasov equation as the size of the interacting particle system N tends to infinity. Finally, we study the asymptotic efficiency of budget control in different economy regimes: the expected number of surviving entities is of constant order in a negative economy; it is of order of the square root of N in a neutral economy; and it is of order N in a positive economy where the budget's effect is negligible.

math.PR↗

Trading and wealth evolution in the Proof of Stake protocol

With the increasing adoption of the Proof of Stake (PoS) blockchain, it is timely to study the economy created by such blockchain. In this chapter, we will survey recent progress on the trading and wealth evolution in a cryptocurrency where the new coins are issued according to the PoS protocol. We first consider the wealth evolution in the PoS protocol assuming no trading, and focus on the problem of decentralisation. Next we consider each miner's trading incentive and strategy through the lens of optimal control, where the miner needs to trade off PoS mining and trading. Finally, we study the collective behavior of the miners in a PoS trading environment by a mean field model. We use both stochastic and analytic tools in our study. A list of open problems are also presented.

econ.GN↗

Transaction fee mechanism for Proof-of-Stake protocol

We study a mechanism design problem in the blockchain proof-of-stake (PoS) protocol. Our main objective is to extend the transaction fee mechanism (TFM) recently proposed in Chung and Shi (SODA, p.3856-3899, 2023), so as to incorporate a long-run utility model for the miner into the burning second-price auction mechanism $\texttt{BSP}(γ)$ proposed in Chung and Shi (where $γ$ is a key parameter in the strict $γ$-utility model that is applied to both miners and users). First, we derive an explicit functional form for the long-run utility of the miner using a martingale approach, and reveal a critical discontinuity of the utility function, namely a small deviation from being truthful will yield a discrete jump (up or down) in the miner's utility. We show that because of this discontinuity the $\texttt{BSP}(γ)$ mechanism will fail a key desired property in TFM, $c$-side contract proofness ($c$-SCP). As a remedy, we introduce another parameter $θ$, and propose a new $\texttt{BSP}(θ)$ mechanism, and prove that it satisfies all three desired properties of TFM: user- and miner-incentive compatibility (UIC and MIC) as well as $c$-SCP, provided the parameter $θ$ falls into a specific range, along with a proper tick size imposed on user bids.

cs.GT↗

McKean-Vlasov equations involving hitting times: blow-ups and global solvability

This paper is concerned with the analysis of blow-ups for two McKean-Vlasov equations involving hitting times. Let $(B(t); \, t \ge 0)$ be standard Brownian motion, and $τ:= \inf\{t \ge 0: X(t) \le 0\}$ be the hitting time to zero of a given process $X$. The first equation is $X(t) = X(0) + B(t) - α\mathbb{P}(τ\le t)$. We provide a simple condition on $α$ and the distribution of $X(0)$ such that the corresponding Fokker-Planck equation has no blow-up, and thus the McKean-Vlasov dynamics is well-defined for all time $t \ge 0$. Our approach relies on a connection between the McKean-Vlasov equation and the supercooled Stefan problem, as well as several comparison principles. The second equation is $X(t) = X(0) + βt + B(t) + α\log \mathbb{P}(τ> t)$, whose Fokker-Planck equation is non-local. We prove that for $β> 0$ sufficiently large and $α$ no greater than a sufficiently small positive constant, there is no blow-up and the McKean-Vlasov dynamics is well-defined for all time $t \ge 0$. The argument is based on a new transform, which removes the non-local term, followed by a relative entropy analysis.

math.PR↗

Trading under the Proof-of-Stake Protocol -- a Continuous-Time Control Approach

We develop a continuous-time control approach to optimal trading in a Proof-of-Stake (PoS) blockchain, formulated as a consumption-investment problem that aims to strike the optimal balance between a participant's (or agent's) utility from holding/trading stakes and utility from consumption. We present solutions via dynamic programming and the Hamilton-Jacobi-Bellman (HJB) equations. When the utility functions are linear or convex, we derive close-form solutions and show that the bang-bang strategy is optimal (i.e., always buy or sell at full capacity). Furthermore, we bring out the explicit connection between the rate of return in trading/holding stakes and the participant's risk-adjusted valuation of the stakes. In particular, we show when a participant is risk-neutral or risk-seeking, corresponding to the risk-adjusted valuation being a martingale or a sub-martingale, the optimal strategy must be to either buy all the time, sell all the time, or first buy then sell, and with both buying and selling executed at full capacity. We also propose a risk-control version of the consumption-investment problem; and for a special case, the ''stake-parity'' problem, we show a mean-reverting strategy is optimal.

econ.GN↗

The convergence rate of vanishing viscosity approximations for mean field games

Motivated by numerical challenges in first-order mean field games (MFGs) and the weak noise theory for the Kardar-Parisi-Zhang equation, we consider the problem of vanishing viscosity approximations for MFGs. We provide the first results on the convergence rate to the vanishing viscosity limit in mean field games, with a focus on the dimension dependence of the rate exponent. Two cases are studied: MFGs with a local coupling and those with a nonlocal, regularizing coupling. In the former case, we use a duality approach and our results suggest that there may be a phase transition in the dimension dependence of vanishing viscosity approximations in terms of the growth of the Hamiltonian and the local coupling. In the latter case, we rely on the regularity analysis of the solution, and derive a faster rate compared to MFGs with a local coupling. A list of open problems are presented.

math.AP↗

Inference for Gaussian Processes with Matérn Covariogram on Compact Riemannian Manifolds

Gaussian processes are widely employed as versatile modelling and predictive tools in spatial statistics, functional data analysis, computer modelling and diverse applications of machine learning. They have been widely studied over Euclidean spaces, where they are specified using covariance functions or covariograms for modelling complex dependencies. There is a growing literature on Gaussian processes over Riemannian manifolds in order to develop richer and more flexible inferential frameworks for non-Euclidean data. While numerical approximations through graph representations have been well studied for the Matérn covariogram and heat kernel, the behaviour of asymptotic inference on the parameters of the covariogram has received relatively scant attention. We focus on the asymptotic inference for Gaussian processes constructed over compact Riemannian manifolds. Building upon the recently introduced Matérn covariogram on a compact Riemannian manifold, we employ formal notions and conditions for the equivalence of two Matérn Gaussian random measures on compact manifolds to derive the parameter that is identifiable, also known as the microergodic parameter, and formally establish the consistency of the maximum likelihood estimate and the asymptotic optimality of the best linear unbiased predictor. The circle is studied as a specific example of compact Riemannian manifolds with numerical experiments to illustrate and corroborate the theory.

math.ST↗

On identifiability and consistency of the nugget in Gaussian spatial process models

Spatial process models popular in geostatistics often represent the observed data as the sum of a smooth underlying process and white noise. The variation in the white noise is attributed to measurement error, or micro-scale variability, and is called the "nugget". We formally establish results on the identifiability and consistency of the nugget in spatial models based upon the Gaussian process within the framework of in-fill asymptotics, i.e. the sample size increases within a sampling domain that is bounded. Our work extends results in fixed domain asymptotics for spatial models without the nugget. More specifically, we establish the identifiability of parameters in the Matérn covariance function and the consistency of their maximum likelihood estimators in the presence of discontinuities due to the nugget. We also present simulation studies to demonstrate the role of the identifiable quantities in spatial interpolation.

math.ST↗

Fixed-Domain Asymptotics Under Vecchia's Approximation of Spatial Process Likelihoods

Statistical modeling for massive spatial data sets has generated a substantial literature on scalable spatial processes based upon Vecchia's approximation. Vecchia's approximation for Gaussian process models enables fast evaluation of the likelihood by restricting dependencies at a location to its neighbors. We establish inferential properties of microergodic spatial covariance parameters within the paradigm of fixed-domain asymptotics when they are estimated using Vecchia's approximation. The conditions required to formally establish these properties are explored, theoretically and empirically, and the effectiveness of Vecchia's approximation is further corroborated from the standpoint of fixed-domain asymptotics.

math.ST↗

One-dependent colorings of the star graph

This paper is concerned with symmetric $1$-dependent colorings of the $d$-ray star graph $\mathscr{S}^d$ for $d \ge 2$. We compute the critical point of the $1$-dependent hard-core processes on $\mathscr{S}^d$, which gives a lower bound for the number of colors needed for a $1$-dependent coloring of $\mathscr{S}^d$. We provide an explicit construction of a $1$-dependent $q$-coloring for any $q \ge 5$ of the infinite subgraph $\mathscr{S}^3_{(1,1,\infty)}$, which is symmetric in the colors and whose restriction to any path is some symmetric $1$-dependent $q$-coloring. We also prove that there is no such coloring of $\mathscr{S}^3_{(1,1,\infty)}$ with $q = 4$ colors. A list of open problems are presented.

math.PR↗

Stability of shares in the Proof of Stake Protocol -- Concentration and Phase Transitions

This paper is concerned with the stability of shares in a cryptocurrency where the new coins are issued according to the Proof of Stake protocol. We identify large, medium and small investors under various rewarding schemes, and show that the limiting behaviors of these investors are different -- for large investors their shares are stable, while for medium to small investors their shares may be volatile or even shrink to zero. For instance, with a geometric reward there is chaotic centralization, where all the shares will eventually concentrate on one investor in a random manner. This leads to the phase transition phenomenon, and the thresholds for stability are characterized. In response to the increasing activities in blockchain networks, we also propose and analyze a dynamical population model for the PoS protocol, which allows the number of investors to grow over the time. Numerical experiments are provided to corroborate our theory.

econ.GN↗

Escaping Saddle Points Efficiently with Occupation-Time-Adapted Perturbations

Motivated by the super-diffusivity of self-repelling random walk, which has roots in statistical physics, this paper develops a new perturbation mechanism for optimization algorithms. In this mechanism, perturbations are adapted to the history of states via the notion of occupation time. After integrating this mechanism into the framework of perturbed gradient descent (PGD) and perturbed accelerated gradient descent (PAGD), two new algorithms are proposed: perturbed gradient descent adapted to occupation time (PGDOT) and its accelerated version (PAGDOT). PGDOT and PAGDOT are shown to converge to second-order stationary points at least as fast as PGD and PAGD, respectively, and thus they are guaranteed to avoid getting stuck at non-degenerate saddle points. The theoretical analysis is corroborated by empirical studies in which the new algorithms consistently escape saddle points and outperform not only their counterparts, PGD and PAGD, but also other popular alternatives including stochastic gradient descent, Adam, AMSGrad, and RMSProp.

math.OC↗

A class of stochastic games and moving free boundary problems

In this paper we propose and analyze a class of $N$-player stochastic games that include finite fuel stochastic games as a special case. We first derive sufficient conditions for the Nash equilibrium (NE) in the form of a verification theorem. The associated Quasi-Variational-Inequalities include an essential game component regarding the interactions among players, which may be interpreted as the analytical representation of the conditional optimality for NEs. The derivation of NEs involves solving first a multi-dimensional free boundary problem and then a Skorokhod problem. We call it a "moving free boundary" to highlight the difference between standard control problems and stochastic games. Finally, we present an intriguing connection between these NE strategies and controlled rank-dependent stochastic differential equations.

q-fin.MF↗

Extreme order statistics of random walks

This paper is concerned with the limit theory of the extreme order statistics derived from random walks. We establish the joint convergence of the order statistics near the minimum of a random walk in terms of the Feller chains. Detailed descriptions of the limit process are given in the case of simple symmetric walks and Gaussian walks. Some open problems are also presented.

math.PR↗

Exploratory HJB equations and their convergence

We study the exploratory Hamilton--Jacobi--Bellman (HJB) equation arising from the entropy-regularized exploratory control problem, which was formulated by Wang, Zariphopoulou and Zhou (J. Mach. Learn. Res., 21, 2020) in the context of reinforcement learning in continuous time and space. We establish the well-posedness and regularity of the viscosity solution to the equation, as well as the convergence of the exploratory control problem to the classical stochastic control problem when the level of exploration decays to zero. We then apply the general results to the exploratory temperature control problem, which was introduced by Gao, Xu and Zhou (arXiv:2005.04057, 2020) to design an endogenous temperature schedule for simulated annealing (SA) in the context of non-convex optimization. We derive an explicit rate of convergence for this problem as exploration diminishes to zero, and find that the steady state of the optimally controlled process exists, which is however neither a Dirac mass on the global optimum nor a Gibbs measure.

math.OC↗