We investigate the most common type of blockchain-based decentralized exchange, which are known as constant function market makers (CFMMs). We examine the the market microstructure around CFMMs and present a model for valuing the liquidity provider (LP) mechanism and estimating the value of the associated derivatives. We develop a model with two types of traders that have different information and contribute methods for simulating the behavior of each trader and accounting for trade PnL. We also develop ideas around the equilibrium distribution of fair price conditional on the arrival of traders. Finally, we show how these findings might be used to think about parameters for alternative CFMMs.
We propose a framework that can incrementally expand the explanatory temporal logic rule set to explain the occurrence of temporal events. Leveraging the temporal point process modeling and learning framework, the rule content and weights will be gradually optimized until the likelihood of the observational event sequences is optimal. The proposed algorithm alternates between a master problem, where the current rule set weights are updated, and a subproblem, where a new rule is searched and included to best increase the likelihood. The formulated master problem is convex and relatively easy to solve using continuous optimization, whereas the subproblem requires searching the huge combinatorial rule predicate and relationship space. To tackle this challenge, we propose a neural search policy to learn to generate the new rule content as a sequence of actions. The policy parameters will be trained end-to-end using the reinforcement learning framework, where the reward signals can be efficiently queried by evaluating the subproblem objective. The trained policy can be used to generate new rules in a controllable way. We evaluate our methods on both synthetic and real healthcare datasets, obtaining promising results.
Language models that are sensitive to external context can more effectively capture the speaking patterns of individuals with specific characteristics or in particular environments. However, obtaining and leveraging such annotations can be challenging. In this work, we show how to leverage rich character and film annotations to personalise language models in a scalable manner. Our best model can reduce perplexity by up to 6.5% compared to a parameter-matched language model. Our approach performs on par with speaker-specific fine-tuning when the fine-tuning data (i.e. past dialogue) for individual speakers is available. On top of that, it also generalises well to a scenario with no such data, relying on combinations of demographic characteristics expressed via metadata. Our findings are consistent across two corpora, one of which is also a contribution of this paper: Cornell-rich contains rich manual annotations for 863 speaking characters from the Cornell Movie Dialog Corpus, including features such as characteristic quotes and character descriptions, along with six automatically extracted metadata features for over 95% of the featured films. Finally, we also present a cost-benefit analysis highlighting which annotations are most cost-effective in reducing perplexity.
Hyperproperties extend trace properties to express properties of sets of traces, and they are increasingly popular in specifying various security and performance-related properties in domains such as cyber-physical systems, smart grids, and automotive. This paper introduces a model checking algorithm for a new formalism, HyperTWTL, which extends Time Window Temporal Logic (TWTL) -- a domain-specific formal specification language for robotics, by allowing explicit and simultaneous quantification over multiple execution traces. We present HyperTWTL with both \emph{synchronous} and \emph{asynchronous} semantics, based on the alignment of the timestamps in the traces. Consequently, we demonstrate the application of HyperTWTL in formalizing important information-flow security policies and concurrency for robotics applications. Finally, we propose a model checking algorithm for verifying fragments of HyperTWTL by reducing the problem to a TWTL model checking problem.
Motivated by a practical scenario in blockchains in which a client, who possesses a transaction, wishes to privately verify that the transaction actually belongs to a block, we investigate the problem of private retrieval of Merkle proofs (i.e. proofs of inclusion/membership) in a Merkle tree. In this setting, one or more servers store the nodes of a binary tree (a Merkle tree), while a client wants to retrieve the set of nodes along a root-to-leaf path (i.e. a Merkle proof, after appropriate node swapping operations), without letting the servers know which path is being retrieved. We propose a method that partitions the Merkle tree to enable parallel private retrieval of the Merkle proofs. The partitioning step is based on a novel tree coloring called ancestral coloring in which nodes that have ancestor-descendant relationship must have distinct colors. To minimize the retrieval time, the coloring is required to be balanced, i.e. the sizes of the color classes differ by at most one. We develop a fast algorithm to find a balanced (in fact, any) ancestral coloring in almost linear time in the number of tree nodes, which can handle trees with billions of nodes in a few minutes. Our partitioning method can be applied on top of any private information retrieval scheme, leading to the minimum storage overhead and fastest running times compared to existing approaches.
While diffusion models have achieved promising performances in data synthesis, they might suffer error propagation because of their cascade structure, where the distributional mismatch spreads and magnifies through the chain of denoising modules. However, a strict analysis is expected since many sequential models such as Conditional Random Field (CRF) are free from error propagation. In this paper, we empirically and theoretically verify that diffusion models are indeed affected by error propagation and we then propose a regularization to address this problem. Our theoretical analysis reveals that the question can be reduced to whether every denoising module of the diffusion model is fault-tolerant. We derive insightful transition equations, indicating that the module can't recover from input errors and even propagates additional errors to the next module. Our analysis directly leads to a consistency regularization scheme for diffusion models, which explicitly reduces the distribution gap between forward and backward processes. We further introduce a bootstrapping algorithm to reduce the computation cost of the regularizer. Our experimental results on multiple image datasets show that our regularization effectively handles error propagation and significantly improves the performance of vanilla diffusion models.
Rare event simulation and rare event probability estimation are important tasks within the analysis of systems subject to uncertainty and randomness. Simultaneously, accurately estimating rare event probabilities is an inherently difficult task that calls for dedicated tools and methods. One way to improve estimation efficiency on difficult rare event estimation problems is to leverage gradients of the computational model representing the system in consideration, e.g., to explore the rare event faster and more reliably. We present a novel approach for estimating rare event probabilities using such model gradients by drawing on a technique to generate samples from non-normalized posterior distributions in Bayesian inference - the Stein variational gradient descent. We propagate samples generated from a tractable input distribution towards a near-optimal rare event importance sampling distribution by exploiting a similarity of the latter with Bayesian posterior distributions. Sample propagation takes the shape of passing samples through a sequence of invertible transforms such that their densities can be tracked and used to construct an unbiased importance sampling estimate of the rare event probability - the Stein variational rare event estimator. We discuss settings and parametric choices of the algorithm and suggest a method for balancing convergence speed with stability by choosing the step width or base learning rate adaptively. We analyze the method's performance on several analytical test functions and two engineering examples in low to high stochastic dimensions ($d = 2 - 869$) and find that it consistently outperforms other state-of-the-art gradient-based rare event simulation methods.
Conversion rate (CVR) prediction is an essential task for large-scale e-commerce platforms. However, refund behaviors frequently occur after conversion in online shopping systems, which drives us to pay attention to effective conversion for building healthier shopping services. This paper defines the probability of item purchasing without any subsequent refund as an effective conversion rate (ECVR). A simple paradigm for ECVR prediction is to decompose it into two sub-tasks: CVR prediction and post-conversion refund rate (RFR) prediction. However, RFR prediction suffers from data sparsity (DS) and sample selection bias (SSB) issues, as the refund behaviors are only available after user purchase. Furthermore, there is delayed feedback in both conversion and refund events and they are sequentially dependent, named cascade delayed feedback (CDF), which significantly harms data freshness for model training. Previous studies mainly focus on tackling DS and SSB or delayed feedback for a single event. To jointly tackle these issues in ECVR prediction, we propose an Entire space CAscade Delayed feedback modeling (ECAD) method. Specifically, ECAD deals with DS and SSB by constructing two tasks including CVR prediction and conversion \& refund rate (CVRFR) prediction using the entire space modeling framework. In addition, it carefully schedules auxiliary tasks to leverage both conversion and refund time within data to alleviate CDF. Experimental results on the offline industrial dataset and online A/B testing demonstrate the effectiveness of ECAD. In addition, ECAD has been deployed in one of the recommender systems in Alibaba, contributing to a significant improvement of ECVR.
Internet service providers (ISPs) have a variety of quality attributes that determine their attractiveness for data transmission, ranging from quality-of-service metrics such as jitter to security properties such as the presence of DDoS defense systems. ISPs should optimize these attributes in line with their profit objective, i.e., maximize revenue from attracted traffic while minimizing attribute-related cost, all in the context of alternative offers by competing ISPs. However, this attribute optimization is difficult not least because many aspects of ISP competition are barely understood on a systematic level, e.g., the multi-dimensional and cost-driving nature of path quality, and the distributed decision making of ISPs on the same path. In this paper, we improve this understanding by analyzing how ISP competition affects path quality and ISP profits. To that end, we develop a game-theoretic model in which ISPs (i) affect path quality via multiple attributes that entail costs, (ii) are on paths together with other selfish ISPs, and (iii) are in competition with alternative paths when attracting traffic. The model enables an extensive theoretical analysis, surprisingly showing that competition can have both positive and negative effects on path quality and ISP profits, depending on the network topology and the cost structure of ISPs. However, a large-scale simulation, which draws on real-world data to instantiate the model, shows that the positive effects will likely prevail in practice: If the number of selectable paths towards any destination increases from 1 to 5, the prevalence of quality attributes increases by at least 50%, while 75% of ISPs improve their profit.
We investigate a lattice-structured LSTM model for Chinese NER, which encodes a sequence of input characters as well as all potential words that match a lexicon. Compared with character-based methods, our model explicitly leverages word and word sequence information. Compared with word-based methods, lattice LSTM does not suffer from segmentation errors. Gated recurrent cells allow our model to choose the most relevant characters and words from a sentence for better NER results. Experiments on various datasets show that lattice LSTM outperforms both word-based and character-based LSTM baselines, achieving the best results.
The dominant sequence transduction models are based on complex recurrent or convolutional neural networks in an encoder-decoder configuration. The best performing models also connect the encoder and decoder through an attention mechanism. We propose a new simple network architecture, the Transformer, based solely on attention mechanisms, dispensing with recurrence and convolutions entirely. Experiments on two machine translation tasks show these models to be superior in quality while being more parallelizable and requiring significantly less time to train. Our model achieves 28.4 BLEU on the WMT 2014 English-to-German translation task, improving over the existing best results, including ensembles by over 2 BLEU. On the WMT 2014 English-to-French translation task, our model establishes a new single-model state-of-the-art BLEU score of 41.8 after training for 3.5 days on eight GPUs, a small fraction of the training costs of the best models from the literature. We show that the Transformer generalizes well to other tasks by applying it successfully to English constituency parsing both with large and limited training data.