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.
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ACM/IEEE第23屆模型驅動工程語言和系統國際會議，是模型驅動軟件和系統工程的首要會議系列，由ACM-SIGSOFT和IEEE-TCSE支持組織。自1998年以來，模型涵蓋了建模的各個方面，從語言和方法到工具和應用程序。模特的參加者來自不同的背景，包括研究人員、學者、工程師和工業專業人士。MODELS 2019是一個論壇，參與者可以圍繞建模和模型驅動的軟件和系統交流前沿研究成果和創新實踐經驗。今年的版本將為建模社區提供進一步推進建模基礎的機會，并在網絡物理系統、嵌入式系統、社會技術系統、云計算、大數據、機器學習、安全、開源等新興領域提出建模的創新應用以及可持續性。
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The ability to remove features from the input of machine learning models is very important to understand and interpret model predictions. However, this is non-trivial for vision models since masking out parts of the input image typically causes large distribution shifts. This is because the baseline color used for masking (typically grey or black) is out of distribution. Furthermore, the shape of the mask itself can contain unwanted signals which can be used by the model for its predictions. Recently, there has been some progress in mitigating this issue (called missingness bias) in image masking for vision transformers. In this work, we propose a new masking method for CNNs we call layer masking in which the missingness bias caused by masking is reduced to a large extent. Intuitively, layer masking applies a mask to intermediate activation maps so that the model only processes the unmasked input. We show that our method (i) is able to eliminate or minimize the influence of the mask shape or color on the output of the model, and (ii) is much better than replacing the masked region by black or grey for input perturbation based interpretability techniques like LIME. Thus, layer masking is much less affected by missingness bias than other masking strategies. We also demonstrate how the shape of the mask may leak information about the class, thus affecting estimates of model reliance on class-relevant features derived from input masking. Furthermore, we discuss the role of data augmentation techniques for tackling this problem, and argue that they are not sufficient for preventing model reliance on mask shape. The code for this project is publicly available at //github.com/SriramB-98/layer_masking
Thematic analysis and other variants of inductive coding are widely used qualitative analytic methods within empirical legal studies (ELS). We propose a novel framework facilitating effective collaboration of a legal expert with a large language model (LLM) for generating initial codes (phase 2 of thematic analysis), searching for themes (phase 3), and classifying the data in terms of the themes (to kick-start phase 4). We employed the framework for an analysis of a dataset (n=785) of facts descriptions from criminal court opinions regarding thefts. The goal of the analysis was to discover classes of typical thefts. Our results show that the LLM, namely OpenAI's GPT-4, generated reasonable initial codes, and it was capable of improving the quality of the codes based on expert feedback. They also suggest that the model performed well in zero-shot classification of facts descriptions in terms of the themes. Finally, the themes autonomously discovered by the LLM appear to map fairly well to the themes arrived at by legal experts. These findings can be leveraged by legal researchers to guide their decisions in integrating LLMs into their thematic analyses, as well as other inductive coding projects.
We consider the massively parallel computation (MPC) model, which is a theoretical abstraction of large-scale parallel processing models such as MapReduce. In this model, assuming the widely believed 1-vs-2-cycles conjecture, solving many basic graph problems in $O(1)$ rounds with a strongly sublinear memory size per machine is impossible. We improve on the recent work of Holm and T\v{e}tek [SODA 2023] that bypass this barrier for problems when a planar embedding of the graph is given. In the previous work, on graphs of size $n$ with $O(n/\mathcal{S})$ machines, the memory size per machine needs to be at least $\mathcal{S} = n^{2/3+\Omega(1)}$, whereas we extend their work to the fully scalable regime, where the memory size per machine can be $\mathcal{S} = n^{\delta}$ for any constant $0< \delta < 1$. We give the first constant round fully scalable algorithms for embedded planar graphs for the problems of (i) connectivity and (ii) minimum spanning tree (MST). Moreover, we show that the $\varepsilon$-emulator of Chang, Krauthgamer, and Tan [STOC 2022] can be incorporated into our recursive framework to obtain constant-round $(1+\varepsilon)$-approximation algorithms for the problems of computing (iii) single source shortest path (SSSP), (iv) global min-cut, and (v) $st$-max flow. All previous results on cuts and flows required linear memory in the MPC model. Furthermore, our results give new algorithms for problems that implicitly involve embedded planar graphs. We give as corollaries constant round fully scalable algorithms for (vi) 2D Euclidean MST using $O(n)$ total memory and (vii) $(1+\varepsilon)$-approximate weighted edit distance using $\widetilde{O}(n^{2-\delta})$ memory. Our main technique is a recursive framework combined with novel graph drawing algorithms to compute smaller embedded planar graphs in constant rounds in the fully scalable setting.
We consider the problem of learning classification trees that are robust to distribution shifts between training and testing/deployment data. This problem arises frequently in high stakes settings such as public health and social work where data is often collected using self-reported surveys which are highly sensitive to e.g., the framing of the questions, the time when and place where the survey is conducted, and the level of comfort the interviewee has in sharing information with the interviewer. We propose a method for learning optimal robust classification trees based on mixed-integer robust optimization technology. In particular, we demonstrate that the problem of learning an optimal robust tree can be cast as a single-stage mixed-integer robust optimization problem with a highly nonlinear and discontinuous objective. We reformulate this problem equivalently as a two-stage linear robust optimization problem for which we devise a tailored solution procedure based on constraint generation. We evaluate the performance of our approach on numerous publicly available datasets, and compare the performance to a regularized, non-robust optimal tree. We show an increase of up to 12.48% in worst-case accuracy and of up to 4.85% in average-case accuracy across several datasets and distribution shifts from using our robust solution in comparison to the non-robust one.
Computational simulation is increasingly relied upon for high-consequence engineering decisions, and a foundational element to solid mechanics simulations, such as finite element analysis (FEA), is a credible constitutive or material model. Calibration of these complex models is an essential step; however, the selection, calibration and validation of material models is often a discrete, multi-stage process that is decoupled from material characterization activities, which means the data collected does not always align with the data that is needed. To address this issue, an integrated workflow for delivering an enhanced characterization and calibration procedure (Interlaced Characterization and Calibration (ICC)) is introduced. This framework leverages Bayesian optimal experimental design (BOED) to select the optimal load path for a cruciform specimen in order to collect the most informative data for model calibration. The critical first piece of algorithm development is to demonstrate the active experimental design for a fast model with simulated data. For this demonstration, a material point simulator that models a plane stress elastoplastic material subject to bi-axial loading was chosen. The ICC framework is demonstrated on two exemplar problems in which BOED is used to determine which load step to take, e.g., in which direction to increment the strain, at each iteration of the characterization and calibration cycle. Calibration results from data obtained by adaptively selecting the load path within the ICC algorithm are compared to results from data generated under two naive static load paths that were chosen a priori based on human intuition. In these exemplar problems, data generated in an adaptive setting resulted in calibrated model parameters with reduced measures of uncertainty compared to the static settings.
Data contamination in language model evaluation is increasingly prevalent as the popularity of large language models. It allows models to "cheat" via memorisation instead of displaying true capabilities. Therefore, contamination analysis has became an crucial part of reliable model evaluation to validate results. However, existing contamination analysis is usually conducted internally by LLM developers and often lacks transparency and completeness. This paper present an open source data contamination reports for the Llama series models. We analyse six popular multi-choice QA benchmarks and quantify their overlapping with the training set of Llama. Various levels of contamination ranging from 1\% to 8.7\% are found across benchmarks. Our comparison also reveals that Llama models can gain over 5\% higher accuracy on contaminated subsets versus clean subsets. Data and code are available at: //github.com/liyucheng09/Contamination_Detector.
Neural additive models (NAMs) can improve the interpretability of deep neural networks by handling input features in separate additive sub-networks. However, they lack inherent mechanisms that provide calibrated uncertainties and enable selection of relevant features and interactions. Approaching NAMs from a Bayesian perspective, we enhance them in three primary ways, namely by a) providing credible intervals for the individual additive sub-networks; b) estimating the marginal likelihood to perform an implicit selection of features via an empirical Bayes procedure; and c) enabling a ranking of feature pairs as candidates for second-order interaction in fine-tuned models. In particular, we develop Laplace-approximated NAMs (LA-NAMs), which show improved empirical performance on tabular datasets and challenging real-world medical tasks.
This manuscript portrays optimization as a process. In many practical applications the environment is so complex that it is infeasible to lay out a comprehensive theoretical model and use classical algorithmic theory and mathematical optimization. It is necessary as well as beneficial to take a robust approach, by applying an optimization method that learns as one goes along, learning from experience as more aspects of the problem are observed. This view of optimization as a process has become prominent in varied fields and has led to some spectacular success in modeling and systems that are now part of our daily lives.
Causality can be described in terms of a structural causal model (SCM) that carries information on the variables of interest and their mechanistic relations. For most processes of interest the underlying SCM will only be partially observable, thus causal inference tries to leverage any exposed information. Graph neural networks (GNN) as universal approximators on structured input pose a viable candidate for causal learning, suggesting a tighter integration with SCM. To this effect we present a theoretical analysis from first principles that establishes a novel connection between GNN and SCM while providing an extended view on general neural-causal models. We then establish a new model class for GNN-based causal inference that is necessary and sufficient for causal effect identification. Our empirical illustration on simulations and standard benchmarks validate our theoretical proofs.
Analyzing observational data from multiple sources can be useful for increasing statistical power to detect a treatment effect; however, practical constraints such as privacy considerations may restrict individual-level information sharing across data sets. This paper develops federated methods that only utilize summary-level information from heterogeneous data sets. Our federated methods provide doubly-robust point estimates of treatment effects as well as variance estimates. We derive the asymptotic distributions of our federated estimators, which are shown to be asymptotically equivalent to the corresponding estimators from the combined, individual-level data. We show that to achieve these properties, federated methods should be adjusted based on conditions such as whether models are correctly specified and stable across heterogeneous data sets.
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