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arXiv:2507.01918v3 Announce Type: replace-cross Abstract: We develop a rotation-invariant neural network that provides the global minimum-variance portfolio by jointly learning how to lag-transform historical returns and marginal volatilities and how to regularise the eigenvalues of large equity covariance matrices. This explicit mathematical mapping offers clear interpretability of each module’s role, so the model cannot be regarded as a pure black box. The architecture mirrors the analytical form of the global minimum-variance solution yet remains agnostic to dimension, so […]

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arXiv:2507.00451v2 Announce Type: replace-cross Abstract: We present an efficient and generalised procedure to accurately identify the best (or near best) performing algorithm for each sub-task in a multi-problem domain. Our approach treats this as a set of best arm identification problems for multi-armed bandits, where each bandit corresponds to a specific task and each arm corresponds to a specific algorithm or agent. We propose an optimistic selection process based on a chosen confidence interval, that ranks each arm […]

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arXiv:2506.18186v3 Announce Type: replace-cross Abstract: The restless multi-armed bandit (RMAB) framework is a popular approach to solving resource allocation problems in networked systems. In this paper, we study optimal resource allocation in RMABs facing unknown and non-stationary dynamics. Solving RMABs optimally is known to be PSPACE-hard even with full knowledge of model parameters. While Whittle index policies offer asymptotic optimality with low computational cost, they require access to stationary transition kernels, an unrealistic assumption in many modern networking […]

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arXiv:2501.14974v3 Announce Type: replace-cross Abstract: Objective functions based on Hellinger distance yield robust and efficient estimators of model parameters. Motivated by privacy and regulatory requirements encountered in contemporary applications, we derive in this paper emph{private minimum Hellinger distance estimators}. The estimators satisfy a new privacy constraint, namely, Hellinger differential privacy, while retaining the robustness and efficiency properties. We demonstrate that Hellinger differential privacy shares several features of standard differential privacy while allowing for sharper inference. Additionally, for computational […]

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arXiv:2412.01763v3 Announce Type: replace-cross Abstract: We study a censored variant of the data-driven newsvendor problem, where the decision-maker must select an ordering quantity that minimizes expected overage and underage costs based only on offline censored sales data, rather than historical demand realizations. Our goal is to understand how the degree of historical demand censoring affects the performance of any learning algorithm for this problem. To isolate this impact, we adopt a distributionally robust optimization framework, evaluating policies according […]

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arXiv:2407.13980v3 Announce Type: replace-cross Abstract: Traditional statistical methods need to be updated to work with modern distributed data storage paradigms. A common approach is the split-and-conquer framework, which involves learning models on local machines and averaging their parameter estimates. However, this does not work for the important problem of learning finite mixture models, because subpopulation indices on each local machine may be arbitrarily permuted (the “label switching problem”). Zhang and Chen (2022) proposed Mixture Reduction (MR) to address […]

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arXiv:2512.23805v2 Announce Type: replace Abstract: Fitted Q-evaluation (FQE) is a foundational method for off-policy evaluation in reinforcement learning, but existing theory typically relies on Bellman completeness of the function class, a condition often violated in practice. This reliance is due to a fundamental norm mismatch: the Bellman operator is gamma-contractive in the L^2 norm induced by the target policy’s stationary distribution, whereas standard FQE fits Bellman regressions under the behavior distribution. To resolve this mismatch, we reweight each […]

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arXiv:2510.13763v2 Announce Type: replace Abstract: Amortized simulator-based inference offers a powerful framework for tackling Bayesian inference in computational fields such as engineering or neuroscience, increasingly leveraging modern generative methods like diffusion models to map observed data to model parameters or future predictions. These approaches yield posterior or posterior-predictive samples for new datasets without requiring further simulator calls after training on simulated parameter-data pairs. However, their applicability is often limited by the prior distribution(s) used to generate model parameters […]

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arXiv:2510.10866v3 Announce Type: replace Abstract: Measuring dataset similarity is fundamental in machine learning, particularly for transfer learning and domain adaptation. In the context of supervised learning, most existing approaches quantify similarity of two data sets based on their input feature distributions, neglecting label information and feature-response alignment. To address this, we propose the Cross-Learning Score (CLS), which measures dataset similarity through bidirectional generalization performance of decision rules. We establish its theoretical foundation by linking CLS to cosine similarity […]

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arXiv:2510.09477v2 Announce Type: replace Abstract: Set-based transformer models for amortized probabilistic inference and meta-learning, such as neural processes, prior-fitted networks, and tabular foundation models, excel at single-pass marginal prediction. However, many applications require joint distributions over multiple predictions. Purely autoregressive architectures generate these efficiently but sacrifice flexible set-conditioning. Obtaining joint distributions from set-based models requires re-encoding the entire context at each autoregressive step, which scales poorly. We introduce a causal autoregressive buffer that combines the strengths of both […]

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