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Xiangyu Cui

Publications and source records attributed to Xiangyu Cui.

14 recordsLinked to original sources

Physical Law Ecology: mapping multi-mechanism ecologies as the zeroth step of data-driven scientific discovery

Every data-driven equation discovery method assumes (implicitly and without verification) that the target system obeys a single governing law ($K{=}1$). Here we show that this assumption is the primary bottleneck limiting scientific discovery in multi-mechanism systems, and introduce Physical Law Ecology, a framework that makes $K^*$ (the number of coexisting independent mechanisms) itself the first quantity to be determined from data. The framework automatically mines a pool of topologically distinct candidate equations, constructs a continuous dominance weight field across parameter space, and discovers analytic evolution laws governing mechanism succession---with optional monotonicity constraints encoding irreversible physics. Across four unrelated systems (elastomer mechanics, pool boiling, galactic dynamics, and droplet evaporation), BIC consistently identifies $K^*{=}3$ independent governing topologies. Applied to 163 SPARC galaxies (3,269 spatially resolved measurements), the framework autonomously recovers three gravitational laws whose coexistence provides evidence against the single-universal-acceleration hypothesis of MOND ($p<10^{-34}$). In engineering applications, multi-law weighted prediction reduces error by 67-72\% over single-equation baselines while retaining full interpretability. By establishing the determination of $K^*$ as the zeroth step of scientific discovery-prior to and independent of equation search---this work opens a direction orthogonal to existing symbolic regression: not finding better equations, but mapping the ecology of mechanisms that govern complex systems.

cs.SC

Channel Capacity Saturation Point and Beamforming Acceleration for Near-Field XL-MIMO Multiuser Communications

One of the most important technologies in the fifth generation (5G) and the sixth generation (6G) is massive multiple input multiple outputs (MIMO) or extremely large-scale MIMO (XL-MIMO). With the evolving high-frequency technologies in millimeter band or tereHz band, the communication scene is changing into near-field rather than the conventional far-field scenario. In this letter, instead of advertising the XL-MIMO in the near-field, we appeal that a limit should be set on the size of the antenna array, beyond which the channel capacity will not show a significant increase. We show capacity saturation point can be analytically determined. Moreover, we propose a new beamforming algorithm that relieve the heavy computation due to the large antenna size even around the saturation point. Numerical results are provided to validate our analysis and show the performance of our newly proposed beamforming scheme.

cs.IT

Collective Wisdom: Policy Averaging with an Application to the Newsvendor Problem

We propose a Policy Averaging Approach (PAA) that synthesizes the strengths of existing approaches to create more reliable, flexible and justifiable policies for stochastic optimization problems. An important component of the PAA is risk diversification to reduce the randomness of policies. A second component emulates model averaging from statistics. A third component involves using cross-validation to diversify and optimize weights among candidate policies. We demonstrate the use of the PAA for the newsvendor problem. For that problem, model-based approaches typically use specific and potentially unreliable assumptions of either independently and identically distributed (i.i.d.) demand or feature-dependent demand with covariates or autoregressive functions. Data-driven approaches, including sample averaging and the use of functions of covariates to set order quantities, typically suffer from overfitting and provide limited insights to justify recommended policies. By integrating concepts from statistics and finance, the PAA avoids these problems. We show using theoretical analysis, a simulation study, and an empirical study, that the PAA outperforms all those earlier approaches. The demonstrated benefits of the PAA include reduced expected cost, more stable performance, and improved insights to justify recommendations. Extensions to consider tail risk and the use of stratified sampling are discussed. Beyond the newsvendor problem, the PAA is applicable to a wide variety of decision-making problems under uncertainty.

stat.AP

Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints

Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by state variables and incorporates cone-type portfolio constraints that are crucial in practice. The model is broad enough to encompass various dynamic factor frameworks, including practical considerations such as no-short-selling and cardinality constraints. We derive a semi-analytical optimal solution using dynamic programming, revealing it as a piecewise linear feedback policy to wealth, with all factors embedded within the allocation vectors. Additionally, we demonstrate that the portfolio policies are determined by two specific stochastic processes resulting from the stochastic optimizations, for which we provide detailed algorithms. These processes reflect the investor's assessment of future investment opportunities and play a crucial role in characterizing the time consistency and efficiency of the optimal policy through the variance-optimal signed supermartingale measure of the market. We present numerical examples that illustrate the model's application in various settings. Using real market data, we investigate how the factors influence portfolio policies and demonstrate that incorporating the factor structure may enhance out-of-sample performance.

q-fin.PM

Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise

This study addresses limited attention allocation in a stochastic linear quadratic system with multiplicative noise. Our approach enables strategic resource allocation to enhance noise estimation and improve control decisions. We provide analytical optimal control and propose a numerical method for optimal attention allocation. Additionally, we apply our ffndings to dynamic mean-variance portfolio selection, showing effective resource allocation across time periods and factors, providing valuable insights for investors.

math.OC

Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning

This paper studies a discrete-time mean-variance model based on reinforcement learning. Compared with its continuous-time counterpart in \cite{zhou2020mv}, the discrete-time model makes more general assumptions about the asset's return distribution. Using entropy to measure the cost of exploration, we derive the optimal investment strategy, whose density function is also Gaussian type. Additionally, we design the corresponding reinforcement learning algorithm. Both simulation experiments and empirical analysis indicate that our discrete-time model exhibits better applicability when analyzing real-world data than the continuous-time model.

q-fin.MF

Decision Making under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers

This paper proposes a novel numerical method for solving the problem of decision making under cumulative prospect theory (CPT), where the goal is to maximize utility subject to practical constraints, assuming only finite realizations of the associated distribution are available. Existing methods for CPT optimization rely on particular assumptions that may not hold in practice. To overcome this limitation, we present the first numerical method with a theoretical guarantee for solving CPT optimization using an alternating direction method of multipliers (ADMM). One of its subproblems involves optimization with the CPT utility subject to a chain constraint, which presents a significant challenge. To address this, we develop two methods for solving this subproblem. The first method uses dynamic programming, while the second method is a modified version of the pooling-adjacent-violators algorithm that incorporates the CPT utility function. Moreover, we prove the theoretical convergence of our proposed ADMM method and the two subproblem-solving methods. Finally, we conduct numerical experiments to validate our proposed approach and demonstrate how CPT's parameters influence investor behavior using real-world data.

math.OC

Fiber-based optical trapping of yeast cells as near-field magnifying lenses for parallel subwavelength imaging

Subwavelength imaging by microsphere lenses is a promising label-free super-resolution imaging technique. There is a growing interest to use live cells to replace the widely used non-biological microsphere lenses. In this work, we demonstrate the use of yeast cells for such imaging purpose. Using fiber-based optical trapping technique, we successfully trapped a chain of yeast cells and bring them to the vicinity of imaging objects. These yeast cells work as near-field magnifying lenses and simultaneously pick up the sub-diffraction information of the nanoscale objects under each cell and project them into the far-field. Blu-ray disc of 100 nm feature can be clearly resolved in a parallel manner by each cell, thus effectively increasing the imaging field of view and imaging efficiency. Our work will contribute to the further development of more advanced bio-superlens imaging system

physics.optics

Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility

Low-frequency historical data, high-frequency historical data and option data are three major sources, which can be used to forecast the underlying security's volatility. In this paper, we propose two econometric models, which integrate three information sources. In GARCH-It\^{o}-OI model, we assume that the option-implied volatility can influence the security's future volatility, and the option-implied volatility is treated as an observable exogenous variable. In GARCH-It\^{o}-IV model, we assume that the option-implied volatility can not influence the security's volatility directly, and the relationship between the option-implied volatility and the security's volatility is constructed to extract useful information of the underlying security. After providing the quasi-maximum likelihood estimators for the parameters and establishing their asymptotic properties, we also conduct a series of simulation analysis and empirical analysis to compare the proposed models with other popular models in the literature. We find that when the sampling interval of the high-frequency data is 5 minutes, the GARCH-It\^{o}-OI model and GARCH-It\^{o}-IV model has better forecasting performance than other models.

q-fin.ST

Volatility Analysis with Realized GARCH-Ito Models

This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH model by embedding the discrete realized GARCH structure in the continuous instantaneous volatility process. The key feature of the proposed model is that the corresponding conditional daily integrated volatility adopts an autoregressive structure where both integrated volatility and jump variation serve as innovations. We name it as the realized GARCH-Ito model. Given the autoregressive structure in the conditional daily integrated volatility, we propose a quasi-likelihood function for parameter estimation and establish its asymptotic properties. To improve the parameter estimation, we propose a joint quasi-likelihood function that is built on the marriage of daily integrated volatility estimated by high-frequency data and nonparametric volatility estimator obtained from option data. We conduct a simulation study to check the finite sample performance of the proposed methodologies and an empirical study with the S&P500 stock index and option data.

stat.ME

A single crystal beam bent in double slip

The theory of plastic bending of single crystal beam having two active slip systems is proposed. Applying the variational-asymptotic method we reduce the energy functional of the beam to the one-dimensional energy functional which admits analytical solutions for the symmetric slip systems. The threshold value at the onset of plastic yielding, the dislocation density, as well as the moment-curvature curve are found. We solve also a similar problem that takes the energy dissipation into account.

cond-mat.mtrl-sci

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation

When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this paper, we propose a behavior risk aversion model, which is a piecewise linear function of the current wealth level with a reference point at a preset investment target. Due to the time inconsistency of the resulting multi-period mean-variance model with an adaptive risk aversion, we investigate in this paper the time consistent behavior portfolio policy by solving a nested mean-variance game formulation. We derive semi-analytical time consistent behavior portfolio policy which takes a piecewise linear feedback form of the current wealth level with respect to the discounted investment target.

q-fin.PM

Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

The discrete-time mean-variance portfolio selection formulation, a representative of general dynamic mean-risk portfolio selection problems, does not satisfy time consistency in efficiency (TCIE) in general, i.e., a truncated pre-committed efficient policy may become inefficient when considering the corresponding truncated problem, thus stimulating investors' irrational investment behavior. We investigate analytically effects of portfolio constraints on time consistency of efficiency for convex cone constrained markets. More specifically, we derive the semi-analytical expressions for the pre-committed efficient mean-variance policy and the minimum-variance signed supermartingale measure (VSSM) and reveal their close relationship. Our analysis shows that the pre-committed discrete-time efficient mean-variance policy satisfies TCIE if and only if the conditional expectation of VSSM's density (with respect to the original probability measure) is nonnegative, or once the conditional expectation becomes negative, it remains at the same negative value until the terminal time. Our findings indicate that the property of time consistency in efficiency only depends on the basic market setting, including portfolio constraints, and this fact motivates us to establish a general solution framework in constructing TCIE dynamic portfolio selection problem formulations by introducing suitable portfolio constraints.

q-fin.PM

Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection

The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer applies in such situations. Among these notorious nonseparable problems, the dynamic mean-variance portfolio selection formulation had posted a great challenge to our research community until recently. A few solution methods, including the embedding scheme, have been developed in the last decade to solve the dynamic mean-variance portfolio selection formulation successfully. We propose in this paper a novel mean-field framework that offers a more efficient modeling tool and a more accurate solution scheme in tackling directly the issue of nonseparability and deriving the optimal policies analytically for the multi-period mean-variance-type portfolio selection problems.

q-fin.PM