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Stochastic volatility models, where the volatility is a stochastic process, can capture most of the essential stylized facts of implied volatility surfaces and give more realistic dynamics of the volatility smile or skew. However, they come with the significant issue that they take too long to calibrate. Alternative calibration methods based on Deep Learning (DL) techniques have been recently used to build fast and accurate solutions to the calibration problem. Huge and Savine developed a Differential Deep Learning (DDL) approach, where Machine Learning models are trained on samples of not only features and labels but also differentials of labels to features. The present work aims to apply the DDL technique to price vanilla European options (i.e. the calibration instruments), more specifically, puts when the underlying asset follows a Heston model and then calibrate the model on the trained network. DDL allows for fast training and accurate pricing. The trained neural network dramatically reduces Heston calibration's computation time. In this work, we also introduce different regularisation techniques, and we apply them notably in the case of the DDL. We compare their performance in reducing overfitting and improving the generalisation error. The DDL performance is also compared to the classical DL (without differentiation) one in the case of Feed-Forward Neural Networks. We show that the DDL outperforms the DL.

Data visualization has emerged as an effective tool for getting insights from massive datasets. Due to the hardness of manipulating the programming languages of data visualization, automatic data visualization generation from natural languages (Text-to-Vis) is becoming increasingly popular. Despite the plethora of research effort on the English Text-to-Vis, studies have yet to be conducted on data visualization generation from questions in Chinese. Motivated by this, we propose a Chinese Text-to-Vis dataset in the paper and demonstrate our first attempt to tackle this problem. Our model integrates multilingual BERT as the encoder, boosts the cross-lingual ability, and infuses the $n$-gram information into our word representation learning. Our experimental results show that our dataset is challenging and deserves further research.

Emotion detection is a critical technology extensively employed in diverse fields. While the incorporation of commonsense knowledge has proven beneficial for existing emotion detection methods, dialogue-based emotion detection encounters numerous difficulties and challenges due to human agency and the variability of dialogue content.In dialogues, human emotions tend to accumulate in bursts. However, they are often implicitly expressed. This implies that many genuine emotions remain concealed within a plethora of unrelated words and dialogues.In this paper, we propose a Dynamic Causal Disentanglement Model based on hidden variable separation, which is founded on the separation of hidden variables. This model effectively decomposes the content of dialogues and investigates the temporal accumulation of emotions, thereby enabling more precise emotion recognition. First, we introduce a novel Causal Directed Acyclic Graph (DAG) to establish the correlation between hidden emotional information and other observed elements. Subsequently, our approach utilizes pre-extracted personal attributes and utterance topics as guiding factors for the distribution of hidden variables, aiming to separate irrelevant ones. Specifically, we propose a dynamic temporal disentanglement model to infer the propagation of utterances and hidden variables, enabling the accumulation of emotion-related information throughout the conversation. To guide this disentanglement process, we leverage the ChatGPT-4.0 and LSTM networks to extract utterance topics and personal attributes as observed information.Finally, we test our approach on two popular datasets in dialogue emotion detection and relevant experimental results verified the model's superiority.

Reinforcement learning (RL) agents are vulnerable to adversarial disturbances, which can deteriorate task performance or compromise safety specifications. Existing methods either address safety requirements under the assumption of no adversary (e.g., safe RL) or only focus on robustness against performance adversaries (e.g., robust RL). Learning one policy that is both safe and robust remains a challenging open problem. The difficulty is how to tackle two intertwined aspects in the worst cases: feasibility and optimality. Optimality is only valid inside a feasible region, while identification of maximal feasible region must rely on learning the optimal policy. To address this issue, we propose a systematic framework to unify safe RL and robust RL, including problem formulation, iteration scheme, convergence analysis and practical algorithm design. This unification is built upon constrained two-player zero-sum Markov games. A dual policy iteration scheme is proposed, which simultaneously optimizes a task policy and a safety policy. The convergence of this iteration scheme is proved. Furthermore, we design a deep RL algorithm for practical implementation, called dually robust actor-critic (DRAC). The evaluations with safety-critical benchmarks demonstrate that DRAC achieves high performance and persistent safety under all scenarios (no adversary, safety adversary, performance adversary), outperforming all baselines significantly.

There has been a growing interest in parallel strategies for solving trajectory optimization problems. One key step in many algorithmic approaches to trajectory optimization is the solution of moderately-large and sparse linear systems. Iterative methods are particularly well-suited for parallel solves of such systems. However, fast and stable convergence of iterative methods is reliant on the application of a high-quality preconditioner that reduces the spread and increase the clustering of the eigenvalues of the target matrix. To improve the performance of these approaches, we present a new parallel-friendly symmetric stair preconditioner. We prove that our preconditioner has advantageous theoretical properties when used in conjunction with iterative methods for trajectory optimization such as a more clustered eigenvalue spectrum. Numerical experiments with typical trajectory optimization problems reveal that as compared to the best alternative parallel preconditioner from the literature, our symmetric stair preconditioner provides up to a 34% reduction in condition number and up to a 25% reduction in the number of resulting linear system solver iterations.

We consider the classical problem of learning, with arbitrary accuracy, the natural parameters of a $k$-parameter truncated \textit{minimal} exponential family from i.i.d. samples in a computationally and statistically efficient manner. We focus on the setting where the support as well as the natural parameters are appropriately bounded. While the traditional maximum likelihood estimator for this class of exponential family is consistent, asymptotically normal, and asymptotically efficient, evaluating it is computationally hard. In this work, we propose a novel loss function and a computationally efficient estimator that is consistent as well as asymptotically normal under mild conditions. We show that, at the population level, our method can be viewed as the maximum likelihood estimation of a re-parameterized distribution belonging to the same class of exponential family. Further, we show that our estimator can be interpreted as a solution to minimizing a particular Bregman score as well as an instance of minimizing the \textit{surrogate} likelihood. We also provide finite sample guarantees to achieve an error (in $\ell_2$-norm) of $\alpha$ in the parameter estimation with sample complexity $O({\sf poly}(k)/\alpha^2)$. Our method achives the order-optimal sample complexity of $O({\sf log}(k)/\alpha^2)$ when tailored for node-wise-sparse Markov random fields. Finally, we demonstrate the performance of our estimator via numerical experiments.

Domain Generalization (DG) aims to generalize to arbitrary unseen domains. A promising approach to improve model generalization in DG is the identification of flat minima. One typical method for this task is SWAD, which involves averaging weights along the training trajectory. However, the success of weight averaging depends on the diversity of weights, which is limited when training with a small learning rate. Instead, we observe that leveraging a large learning rate can simultaneously promote weight diversity and facilitate the identification of flat regions in the loss landscape. However, employing a large learning rate suffers from the convergence problem, which cannot be resolved by simply averaging the training weights. To address this issue, we introduce a training strategy called Lookahead which involves the weight interpolation, instead of average, between fast and slow weights. The fast weight explores the weight space with a large learning rate, which is not converged while the slow weight interpolates with it to ensure the convergence. Besides, weight interpolation also helps identify flat minima by implicitly optimizing the local entropy loss that measures flatness. To further prevent overfitting during training, we propose two variants to regularize the training weight with weighted averaged weight or with accumulated history weight. Taking advantage of this new perspective, our methods achieve state-of-the-art performance on both classification and semantic segmentation domain generalization benchmarks. The code is available at //github.com/koncle/DG-with-Large-LR.

It is important to detect anomalous inputs when deploying machine learning systems. The use of larger and more complex inputs in deep learning magnifies the difficulty of distinguishing between anomalous and in-distribution examples. At the same time, diverse image and text data are available in enormous quantities. We propose leveraging these data to improve deep anomaly detection by training anomaly detectors against an auxiliary dataset of outliers, an approach we call Outlier Exposure (OE). This enables anomaly detectors to generalize and detect unseen anomalies. In extensive experiments on natural language processing and small- and large-scale vision tasks, we find that Outlier Exposure significantly improves detection performance. We also observe that cutting-edge generative models trained on CIFAR-10 may assign higher likelihoods to SVHN images than to CIFAR-10 images; we use OE to mitigate this issue. We also analyze the flexibility and robustness of Outlier Exposure, and identify characteristics of the auxiliary dataset that improve performance.

Recently, graph neural networks (GNNs) have revolutionized the field of graph representation learning through effectively learned node embeddings, and achieved state-of-the-art results in tasks such as node classification and link prediction. However, current GNN methods are inherently flat and do not learn hierarchical representations of graphs---a limitation that is especially problematic for the task of graph classification, where the goal is to predict the label associated with an entire graph. Here we propose DiffPool, a differentiable graph pooling module that can generate hierarchical representations of graphs and can be combined with various graph neural network architectures in an end-to-end fashion. DiffPool learns a differentiable soft cluster assignment for nodes at each layer of a deep GNN, mapping nodes to a set of clusters, which then form the coarsened input for the next GNN layer. Our experimental results show that combining existing GNN methods with DiffPool yields an average improvement of 5-10% accuracy on graph classification benchmarks, compared to all existing pooling approaches, achieving a new state-of-the-art on four out of five benchmark data sets.

We propose a new method for event extraction (EE) task based on an imitation learning framework, specifically, inverse reinforcement learning (IRL) via generative adversarial network (GAN). The GAN estimates proper rewards according to the difference between the actions committed by the expert (or ground truth) and the agent among complicated states in the environment. EE task benefits from these dynamic rewards because instances and labels yield to various extents of difficulty and the gains are expected to be diverse -- e.g., an ambiguous but correctly detected trigger or argument should receive high gains -- while the traditional RL models usually neglect such differences and pay equal attention on all instances. Moreover, our experiments also demonstrate that the proposed framework outperforms state-of-the-art methods, without explicit feature engineering.