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Factor models have been widely used in economics and finance. However, the heavy-tailed nature of macroeconomic and financial data is often neglected in the existing literature. To address this issue and achieve robustness, we propose an approach to estimate factor loadings and scores by minimizing the Huber loss function, which is motivated by the equivalence of conventional Principal Component Analysis (PCA) and the constrained least squares method in the factor model. We provide two algorithms that use different penalty forms. The first algorithm, which we refer to as Huber PCA, minimizes the $\ell_2$-norm-type Huber loss and performs PCA on the weighted sample covariance matrix. The second algorithm involves an element-wise type Huber loss minimization, which can be solved by an iterative Huber regression algorithm. Our study examines the theoretical minimizer of the element-wise Huber loss function and demonstrates that it has the same convergence rate as conventional PCA when the idiosyncratic errors have bounded second moments. We also derive their asymptotic distributions under mild conditions. Moreover, we suggest a consistent model selection criterion that relies on rank minimization to estimate the number of factors robustly. We showcase the benefits of Huber PCA through extensive numerical experiments and a real financial portfolio selection example. An R package named ``HDRFA" has been developed to implement the proposed robust factor analysis.

A deep equilibrium model (DEQ) is implicitly defined through an equilibrium point of an infinite-depth weight-tied model with an input-injection. Instead of infinite computations, it solves an equilibrium point directly with root-finding and computes gradients with implicit differentiation. The training dynamics of over-parameterized DEQs are investigated in this study. By supposing a condition on the initial equilibrium point, we show that the unique equilibrium point always exists during the training process, and the gradient descent is proved to converge to a globally optimal solution at a linear convergence rate for the quadratic loss function. In order to show that the required initial condition is satisfied via mild over-parameterization, we perform a fine-grained analysis on random DEQs. We propose a novel probabilistic framework to overcome the technical difficulty in the non-asymptotic analysis of infinite-depth weight-tied models.

We study the complexity of finding an approximate (pure) Bayesian Nash equilibrium in a first-price auction with common priors when the tie-breaking rule is part of the input. We show that the problem is PPAD-complete even when the tie-breaking rule is trilateral (i.e., it specifies item allocations when no more than three bidders are in tie, and adopts the uniform tie-breaking rule otherwise). This is the first hardness result for equilibrium computation in first-price auctions with common priors. On the positive side, we give a PTAS for the problem under the uniform tie-breaking rule.

We propose a new distributed algorithm that combines heavy-ball momentum and a consensus-based gradient method to find a Nash equilibrium (NE) in a class of non-cooperative convex games with unconstrained action sets. In this approach, each agent in the game has access to its own smooth local cost function and can exchange information with its neighbors over a communication network. The proposed method is designed to work on a general sequence of time-varying directed graphs and allows for non-identical step-sizes and momentum parameters. Our work is the first to incorporate heavy-ball momentum in the context of non-cooperative games, and we provide a rigorous proof of its geometric convergence to the NE under the common assumptions of strong convexity and Lipschitz continuity of the agents' cost functions. Moreover, we establish explicit bounds for the step-size values and momentum parameters based on the characteristics of the cost functions, mixing matrices, and graph connectivity structures. To showcase the efficacy of our proposed method, we perform numerical simulations on a Nash-Cournot game to demonstrate its accelerated convergence compared to existing methods.

Deep ensembles have recently gained popularity in the deep learning community for their conceptual simplicity and efficiency. However, maintaining functional diversity between ensemble members that are independently trained with gradient descent is challenging. This can lead to pathologies when adding more ensemble members, such as a saturation of the ensemble performance, which converges to the performance of a single model. Moreover, this does not only affect the quality of its predictions, but even more so the uncertainty estimates of the ensemble, and thus its performance on out-of-distribution data. We hypothesize that this limitation can be overcome by discouraging different ensemble members from collapsing to the same function. To this end, we introduce a kernelized repulsive term in the update rule of the deep ensembles. We show that this simple modification not only enforces and maintains diversity among the members but, even more importantly, transforms the maximum a posteriori inference into proper Bayesian inference. Namely, we show that the training dynamics of our proposed repulsive ensembles follow a Wasserstein gradient flow of the KL divergence with the true posterior. We study repulsive terms in weight and function space and empirically compare their performance to standard ensembles and Bayesian baselines on synthetic and real-world prediction tasks.

Correctness-by-Construction (CbC) is an incremental program construction process to construct functionally correct programs. The programs are constructed stepwise along with a specification that is inherently guaranteed to be satisfied. CbC is complex to use without specialized tool support, since it needs a set of predefined refinement rules of fixed granularity which are additional rules on top of the programming language. Each refinement rule introduces a specific programming statement and developers cannot depart from these rules to construct programs. CbC allows to develop software in a structured and incremental way to ensure correctness, but the limited flexibility is a disadvantage of CbC. In this work, we compare classic CbC with CbC-Block and TraitCbC. Both approaches CbC-Block and TraitCbC, are related to CbC, but they have new language constructs that enable a more flexible software construction approach. We provide for both approaches a programming guideline, which similar to CbC, leads to well-structured programs. CbC-Block extends CbC by adding a refinement rule to insert any block of statements. Therefore, we introduce CbC-Block as an extension of CbC. TraitCbC implements correctness-by-construction on the basis of traits with specified methods. We formally introduce TraitCbC and prove soundness of the construction strategy. All three development approaches are qualitatively compared regarding their programming constructs, tool support, and usability to assess which is best suited for certain tasks and developers.

In the era of the Internet of Things (IoT), blockchain is a promising technology for improving the efficiency of healthcare systems, as it enables secure storage, management, and sharing of real-time health data collected by the IoT devices. As the implementations of blockchain-based healthcare systems usually involve multiple conflicting metrics, it is essential to balance them according to the requirements of specific scenarios. In this paper, we formulate a joint optimization model with three metrics, namely latency, security, and computational cost, that are particularly important for IoT-enabled healthcare. However, it is computationally intractable to identify the exact optimal solution of this problem for practical sized systems. Thus, we propose an algorithm called the Adaptive Discrete Particle Swarm Algorithm (ADPSA) to obtain near-optimal solutions in a low-complexity manner. With its roots in the classical Particle Swarm Optimization (PSO) algorithm, our proposed ADPSA can effectively manage the numerous binary and integer variables in the formulation. We demonstrate by extensive numerical experiments that the ADPSA consistently outperforms existing benchmark approaches, including the original PSO, exhaustive search and Simulated Annealing, in a wide range of scenarios.

The study of market equilibria is central to economic theory, particularly in efficiently allocating scarce resources. However, the computation of equilibrium prices at which the supply of goods matches their demand typically relies on having access to complete information on private attributes of agents, e.g., suppliers' cost functions, which are often unavailable in practice. Motivated by this practical consideration, we consider the problem of setting equilibrium prices in the incomplete information setting wherein a market operator seeks to satisfy the customer demand for a commodity by purchasing the required amount from competing suppliers with privately known cost functions unknown to the market operator. In this incomplete information setting, we consider the online learning problem of learning equilibrium prices over time while jointly optimizing three performance metrics -- unmet demand, cost regret, and payment regret -- pertinent in the context of equilibrium pricing over a horizon of $T$ periods. We first consider the setting when suppliers' cost functions are fixed and develop algorithms that achieve a regret of $O(\log \log T)$ when the customer demand is constant over time, or $O(\sqrt{T} \log \log T)$ when the demand is variable over time. Next, we consider the setting when the suppliers' cost functions can vary over time and illustrate that no online algorithm can achieve sublinear regret on all three metrics when the market operator has no information about how the cost functions change over time. Thus, we consider an augmented setting wherein the operator has access to hints/contexts that, without revealing the complete specification of the cost functions, reflect the variation in the cost functions over time and propose an algorithm with sublinear regret in this augmented setting.

There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games which we call multiple-principal, multiple-agent problem with non-rivalrous goods. Under the assumption that the principal's payoff is quasilinear in the payments given to agents, we show that there is a fundamental degeneracy in the market of non-rivalrous goods. This multiplicity of equilibria also affects common refinements of equilibrium definitions intended to uniquely select an equilibrium: both variational equilibria and normalized equilibria will be non-unique in general. This implies that most existing equilibrium concepts cannot provide predictions on the outcomes of data markets emerging today. The results support the idea that modifications to payment contracts themselves are unlikely to yield a unique equilibrium, and either changes to the models of study or new equilibrium concepts will be required to determine unique equilibria in settings with multiple principals and a non-rivalrous good.

Mendelian randomization (MR) is an instrumental variable (IV) approach to infer causal relationships between exposures and outcomes with genome-wide association studies (GWAS) summary data. However, the multivariable inverse-variance weighting (IVW) approach, which serves as the foundation for most MR approaches, cannot yield unbiased causal effect estimates in the presence of many weak IVs. In this paper, we prove that the bias of the multivariable IVW estimate is a product of weak instrument and estimation error biases, where the latter is linearly composed of measurement error and confounder biases with a trade-off due to sample overlap among multiple GWAS cohorts. To address this problem, we propose a novel multivariable MR approach, MR using Bias-corrected Estimating Equation (MRBEE), which can infer unbiased causal relationships with many weak IVs. Asymptotic behaviors of multivariable IVW and MRBEE are investigated under moderate conditions, showing that MRBEE outperforms multivariable IVW in terms of unbiasedness and asymptotic validity. We apply MRBEE to examine myopia and confirm that schooling and driving time are causal factors for myopia. A novel locus of myopia is identified in the subsequent whole-genome pleiotropy test.