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Xiaoyue Li

Publications and source records attributed to Xiaoyue Li.

At least 37 records · Page 2Linked to original sources

Run Time Bounds for Integer-Valued OneMax Functions

While most theoretical run time analyses of discrete randomized search heuristics focused on finite search spaces, we consider the search space $\mathbb{Z}^n$. This is a further generalization of the search space of multi-valued decision variables $\{0,\ldots,r-1\}^n$. We consider as fitness functions the distance to the (unique) non-zero optimum $a$ (based on the $L_1$-metric) and the \ooea which mutates by applying a step-operator on each component that is determined to be varied. For changing by $\pm 1$, we show that the expected optimization time is $Θ(n \cdot (|a|_{\infty} + \log(|a|_H)))$. In particular, the time is linear in the maximum value of the optimum $a$. Employing a different step operator which chooses a step size from a distribution so heavy-tailed that the expectation is infinite, we get an optimization time of $O(n \cdot \log^2 (|a|_1) \cdot \left(\log (\log (|a|_1))\right)^{1 + ε})$. Furthermore, we show that RLS with step size adaptation achieves an optimization time of $Θ(n \cdot \log(|a|_1))$. We conclude with an empirical analysis, comparing the above algorithms also with a variant of CMA-ES for discrete search spaces.

cs.NE↗

Wolbachia invasion to wild mosquito population in stochastic environment

Releasing sterile Wolbachia-infected mosquitoes to invade wild mosquito population is a method of mosquito control. In this paper, a stochastic mosquito population model with Wolbachia invasion perturbed by environmental fluctuation is studied. Firstly, well-posedness, positivity and Markov-Feller property of solution for this model are proved. Then a group of sharp threshold-type conditions is provided to characterize the long-term behavior of the model, which pinpoints the almost necessary and sufficient conditions for persistence and extinction of Wolbachia-infected and uninfected mosquito populations. Especially, our results indicates that even the initial Wolbachia infection frequency is low, the Wolbachia invasion into wild mosquito population can be promoted by stochastic environmental fluctuations. Finally, some numerical experiments are carried out to support our theoretical results.

math.DS↗

A context model for collecting diversity-aware data

Diversity-aware data are essential for a robust modeling of human behavior in context. In addition, being the human behavior of interest for numerous applications, data must also be reusable across domain, to ensure diversity of interpretations. Current data collection techniques allow only a partial representation of the diversity of people and often generate data that is difficult to reuse. To fill this gap, we propose a data collection methodology, within a hybrid machine-artificial intelligence approach, and its related dataset, based on a comprehensive ontological notion of context which enables data reusability. The dataset has a sample of 158 participants and is collected via the iLog smartphone application. It contains more than 170 GB of subjective and objective data, which comes from 27 smartphone sensors that are associated with 168,095 self-reported annotations on the participants context. The dataset is highly reusable, as demonstrated by its diverse applications.

cs.CY↗

Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network

Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here, we propose a four-step numerical framework for the optimal portfolio execution problem where multiple market regimes exist, with the underlying regime switching based on a Markov process. The market impact costs are modelled with a temporary part and a permanent part, where the former affects only the current trade while the latter persists. Our approach accepts impact cost functions in generic forms. First, we calculate the approximated orthogonal portfolios based on estimated impact cost functions; second, we employ dynamic program to learn the optimal selling schedule of each approximated orthogonal portfolio; third, weights of a neural network are pre-trained with the strategy suggested by previous step; last, we train the neural network to optimize on the original trading model. In our experiment of a 10-asset liquidation example with quadratic impact costs, the proposed combined method provides promising selling strategy for both CRRA (constant relative risk aversion) and mean-variance objectives. The running time is linear in the number of risky assets in the portfolio as well as in the number of trading periods. Possible improvements in running time are discussed for potential large-scale usages.

q-fin.PM↗

DDMM-Synth: A Denoising Diffusion Model for Cross-modal Medical Image Synthesis with Sparse-view Measurement Embedding

Reducing the radiation dose in computed tomography (CT) is important to mitigate radiation-induced risks. One option is to employ a well-trained model to compensate for incomplete information and map sparse-view measurements to the CT reconstruction. However, reconstruction from sparsely sampled measurements is insufficient to uniquely characterize an object in CT, and a learned prior model may be inadequate for unencountered cases. Medical modal translation from magnetic resonance imaging (MRI) to CT is an alternative but may introduce incorrect information into the synthesized CT images in addition to the fact that there exists no explicit transformation describing their relationship. To address these issues, we propose a novel framework called the denoising diffusion model for medical image synthesis (DDMM-Synth) to close the performance gaps described above. This framework combines an MRI-guided diffusion model with a new CT measurement embedding reverse sampling scheme. Specifically, the null-space content of the one-step denoising result is refined by the MRI-guided data distribution prior, and its range-space component derived from an explicit operator matrix and the sparse-view CT measurements is directly integrated into the inference stage. DDMM-Synth can adjust the projection number of CT a posteriori for a particular clinical application and its modified version can even improve the results significantly for noisy cases. Our results show that DDMM-Synth outperforms other state-of-the-art supervised-learning-based baselines under fair experimental conditions.

eess.IV↗

The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching

The existence and uniqueness of the numerical invariant measure of the backward Euler-Maruyama method for stochastic differential equations with Markovian switching is yielded, and it is revealed that the numerical invariant measure converges to the underlying invariant measure in the Wasserstein metric. Under the polynomial growth condition of drift term the convergence rate is estimated. The global Lipschitz condition on the drift coefficients required by Bao et al., 2016 and Yuan et al., 2005 is released. Several examples and numerical experiments are given to verify our theory.

math.PR↗

Explicit Numerical Approximations for McKean-Vlasov Neutral Stochastic Differential Delay Equations

This paper studies the numerical methods to approximate the solutions for a sort of McKean-Vlasov neutral stochastic differential delay equations (MV-NSDDEs) that the growth of the drift coefficients is super-linear. First, We obtain that the solution of MV-NSDDE exists and is unique. Then, we use a stochastic particle method, which is on the basis of the results about the propagation of chaos between particle system and the original MV-NSDDE, to deal with the approximation of the law. Furthermore, we construct the tamed Euler-Maruyama numerical scheme with respect to the corresponding particle system and obtain the rate of convergence. Combining propagation of chaos and the convergence rate of the numerical solution to the particle system, we get a convergence error between the numerical solution and exact solution of the original MV-NSDDE in the stepsize and number of particles.

math.PR↗

An explicit approximation for super-linear stochastic functional differential equations

Since it is difficult to implement implicit schemes on the infinite-dimensional space, we aim to develop the explicit numerical method for approximating super-linear stochastic functional differential equations (SFDEs). Precisely, borrowing the truncation idea and linear interpolation we propose an explicit truncated Euler-Maruyama scheme for super-linear SFDEs, and obtain the boundedness and convergence in L^p. We also yield the convergence rate with 1/2 order. Different from some previous works, we release the global Lipschitz restriction on the diffusion coefficient. Furthermore, we reveal that numerical solutions preserve the underlying exponential stability. Moreover, we give several examples to support our theory.

math.NA↗

A Context Model for Personal Data Streams

We propose a model of the situational context of a person and show how it can be used to organize and, consequently, reason about massive streams of sensor data and annotations, as they can be collected from mobile devices, e.g. smartphones, smartwatches or fitness trackers. The proposed model is validated on a very large dataset about the everyday life of one hundred and fifty-eight people over four weeks, twenty-four hours a day.

cs.HC↗

Solving Multi-Period Financial Planning Models: Combining Monte Carlo Tree Search and Neural Networks

This paper introduces the MCTS algorithm to the financial world and focuses on solving significant multi-period financial planning models by combining a Monte Carlo Tree Search algorithm with a deep neural network. The MCTS provides an advanced start for the neural network so that the combined method outperforms either approach alone, yielding competitive results. Several innovations improve the computations, including a variant of the upper confidence bound applied to trees (UTC) and a special lookup search. We compare the two-step algorithm with employing dynamic programs/neural networks. Both approaches solve regime switching models with 50-time steps and transaction costs with twelve asset categories. Heretofore, these problems have been outside the range of solvable optimization models via traditional algorithms.

q-fin.CP↗

Lifelong Personal Context Recognition

We focus on the development of AIs which live in lifelong symbiosis with a human. The key prerequisite for this task is that the AI understands - at any moment in time - the personal situational context that the human is in. We outline the key challenges that this task brings forth, namely (i) handling the human-like and ego-centric nature of the the user's context, necessary for understanding and providing useful suggestions, (ii) performing lifelong context recognition using machine learning in a way that is robust to change, and (iii) maintaining alignment between the AI's and human's representations of the world through continual bidirectional interaction. In this short paper, we summarize our recent attempts at tackling these challenges, discuss the lessons learned, and highlight directions of future research. The main take-away message is that pursuing this project requires research which lies at the intersection of knowledge representation and machine learning. Neither technology can achieve this goal without the other.

cs.AI↗

Analysis of a Gray-Box Operator for Vertex Cover

Combinatorial optimization problems are a prominent application area of evolutionary algorithms, where the (1+1) EA is one of the most investigated. We extend this algorithm by introducing some problem knowledge with a specialized mutation operator which works under the assumption that the number of 1s of a solution is critical, as frequently happens in combinatorial optimization. This slight modification increases the chance to correct wrongly placed bits while preserving the simplicity and problem independence of the (1+1) EA. As an application of our algorithm we examine the vertex cover problem on certain instances, where we show that it leads to asymptotically better runtimes and even finds with higher probability optimal solutions in comparison with the usual (1+1) EA. Precisely, we compare the performance of both algorithms on paths and on complete bipartite graphs of size $n$. Regarding the path we prove that, for a particular initial configuration, the \alg1+1 takes in expectation $Θ(n^4)$ iterations while the modification reduces this to $Θ(n^3)$, and present experimental evidence that such a configuration is reached. Concerning the complete bipartite graph our modification finds the optimum in polynomial time with probability $1-1/2^{Ω(n^ξ)}$ for every positive constant $ξ< 1$, which improves the known probability of $1-1/\text{poly}(n)$ for the (1+1) EA..

math.CO↗

Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons

Focusing on hybrid diffusion dynamics involving continuous dynamics as well as discrete events, this article investigates the explicit approximations for nonlinear switching diffusion systems modulated by a Markov chain. Different kinds of easily implementable explicit schemes have been proposed to approximate the dynamical behaviors of switching diffusion systems with local Lipschitz continuous drift and diffusion coefficients in both finite and infinite intervals. Without additional restriction conditions except those which guarantee the exact solutions posses their dynamical properties, the numerical solutions converge strongly to the exact solutions in finite horizon, moreover, realize the approximation of long-time dynamical properties including the moment boundedness, stability and ergodicity. Some simulations and examples are provided to support the theoretical results and demonstrate the validity of the approach.

math.NA↗

Streaming and Learning the Personal Context

The representation of the personal context is complex and essential to improve the help machines can give to humans for making sense of the world, and the help humans can give to machines to improve their efficiency. We aim to design a novel model representation of the personal context and design a learning process for better integration with machine learning. We aim to implement these elements into a modern system architecture focus in real-life environments. Also, we show how our proposal can improve in specifically related work papers. Finally, we are moving forward with a better personal context representation with an improved model, the implementation of the learning process, and the architectural design of these components.

cs.AI↗

End-to-End Risk Budgeting Portfolio Optimization with Neural Networks

Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-step procedure sometimes encounter the "error maximization" problem where inaccuracy in parameter estimation translates to unwise allocation decisions. In this paper, we combine the prediction and optimization tasks in a single feed-forward neural network and implement an end-to-end approach, where we learn the portfolio allocation directly from the input features. Two end-to-end portfolio constructions are included: a model-free network and a model-based network. The model-free approach is seen as a black-box, whereas in the model-based approach, we learn the optimal risk contribution on the assets and solve the allocation with an implicit optimization layer embedded in the neural network. The model-based end-to-end framework provides robust performance in the out-of-sample (2017-2021) tests when maximizing Sharpe ratio is used as the training objective function, achieving a Sharpe ratio of 1.16 when nominal risk parity yields 0.79 and equal-weight fix-mix yields 0.83. Noticing that risk-based portfolios can be sensitive to the underlying asset universe, we develop an asset selection mechanism embedded in the neural network with stochastic gates, in order to prevent the portfolio being hurt by the low-volatility assets with low returns. The gated end-to-end with filter outperforms the nominal risk-parity benchmarks with naive filtering mechanism, boosting the Sharpe ratio of the out-of-sample period (2017-2021) to 1.24 in the market data.

q-fin.PM↗

Explicit numerical approximation for logistic models with regime switching in finite and infinite horizons

The stochastic logistic model with regime switching is an important model in the ecosystem. While analytic solution to this model is positive, current numerical methods are unable to preserve such boundaries in the approximation. So, proposing appropriate numerical method for solving this model which preserves positivity and dynamical behaviors of the model's solution is very important. In this paper, we present a positivity preserving truncated Euler-Maruyama scheme for this model, which taking advantages of being explicit and easily implementable. Without additional restriction conditions, strong convergence of the numerical algorithm is studied, and 1/2 order convergence rate is obtained. In the particular case of this model without switching the first order strong convergence rate is obtained. Furthermore, the approximation of long-time dynamical properties is realized, including the stochastic permanence, extinctive and stability in distribution. Some simulations and examples are provided to confirm the theoretical results and demonstrate the validity of the approach.

math.NA↗

Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks

We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a risk-parity objective, and provide a successive convex program algorithm that provides 30 times faster and robust solutions in the experiments. Computational results on the multi-asset universe show that multi-period models perform better than their single period counterparts in out-of-sample period, 2006-2020. The out-of-sample risk-adjusted performance of both mean-variance and risk-parity formulations beat the fix-mix benchmark, and achieve Sharpe ratio of 0.64 and 0.97, respectively.

q-fin.PM↗

Delay Feedback Control for Switching Diffusion Systems Based on Discrete Time Observations

For the sake of saving time and costs the feedback control based on discrete-time observations is used to stabilize the switching diffusion systems. Response lags are required by most of physical systems and play a key role in the feedback control. The aim of this paper is to design delay feedback control functions based on the discrete-time observations of the system states and the Markovian states in order for the controlled switching diffusion system (SDS) to be exponentially stable in $p$th moment and probability one as well as stable in $H_\infty$. The designed control principles are implementable to stablize quasi-linear and highly nonlinear SDSs. For quasi-linear SDSs the criteria are sharp that under the control with high strength the controlled SDSs will be stable (bounded) while under the weaker control they will be unstable (unbounded) in mean square. The sample and moment Lyapunov exponents are estimated which have close relationship with the time delays.

math.OC↗