4,507 research outputs found

    LIPIcs, Volume 251, ITCS 2023, Complete Volume

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    LIPIcs, Volume 251, ITCS 2023, Complete Volum

    Adaptive Robotic Information Gathering via Non-Stationary Gaussian Processes

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    Robotic Information Gathering (RIG) is a foundational research topic that answers how a robot (team) collects informative data to efficiently build an accurate model of an unknown target function under robot embodiment constraints. RIG has many applications, including but not limited to autonomous exploration and mapping, 3D reconstruction or inspection, search and rescue, and environmental monitoring. A RIG system relies on a probabilistic model's prediction uncertainty to identify critical areas for informative data collection. Gaussian Processes (GPs) with stationary kernels have been widely adopted for spatial modeling. However, real-world spatial data is typically non-stationary -- different locations do not have the same degree of variability. As a result, the prediction uncertainty does not accurately reveal prediction error, limiting the success of RIG algorithms. We propose a family of non-stationary kernels named Attentive Kernel (AK), which is simple, robust, and can extend any existing kernel to a non-stationary one. We evaluate the new kernel in elevation mapping tasks, where AK provides better accuracy and uncertainty quantification over the commonly used stationary kernels and the leading non-stationary kernels. The improved uncertainty quantification guides the downstream informative planner to collect more valuable data around the high-error area, further increasing prediction accuracy. A field experiment demonstrates that the proposed method can guide an Autonomous Surface Vehicle (ASV) to prioritize data collection in locations with significant spatial variations, enabling the model to characterize salient environmental features.Comment: International Journal of Robotics Research (IJRR). arXiv admin note: text overlap with arXiv:2205.0642

    Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures

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    In this work we present a non-parametric online market regime detection method for multidimensional data structures using a path-wise two-sample test derived from a maximum mean discrepancy-based similarity metric on path space that uses rough path signatures as a feature map. The latter similarity metric has been developed and applied as a discriminator in recent generative models for small data environments, and has been optimised here to the setting where the size of new incoming data is particularly small, for faster reactivity. On the same principles, we also present a path-wise method for regime clustering which extends our previous work. The presented regime clustering techniques were designed as ex-ante market analysis tools that can identify periods of approximatively similar market activity, but the new results also apply to path-wise, high dimensional-, and to non-Markovian settings as well as to data structures that exhibit autocorrelation. We demonstrate our clustering tools on easily verifiable synthetic datasets of increasing complexity, and also show how the outlined regime detection techniques can be used as fast on-line automatic regime change detectors or as outlier detection tools, including a fully automated pipeline. Finally, we apply the fine-tuned algorithms to real-world historical data including high-dimensional baskets of equities and the recent price evolution of crypto assets, and we show that our methodology swiftly and accurately indicated historical periods of market turmoil.Comment: 65 pages, 52 figure

    Bayesian Forecasting in Economics and Finance: A Modern Review

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    The Bayesian statistical paradigm provides a principled and coherent approach to probabilistic forecasting. Uncertainty about all unknowns that characterize any forecasting problem -- model, parameters, latent states -- is able to be quantified explicitly, and factored into the forecast distribution via the process of integration or averaging. Allied with the elegance of the method, Bayesian forecasting is now underpinned by the burgeoning field of Bayesian computation, which enables Bayesian forecasts to be produced for virtually any problem, no matter how large, or complex. The current state of play in Bayesian forecasting in economics and finance is the subject of this review. The aim is to provide the reader with an overview of modern approaches to the field, set in some historical context; and with sufficient computational detail given to assist the reader with implementation.Comment: The paper is now published online at: https://doi.org/10.1016/j.ijforecast.2023.05.00

    Anwendungen maschinellen Lernens für datengetriebene Prävention auf Populationsebene

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    Healthcare costs are systematically rising, and current therapy-focused healthcare systems are not sustainable in the long run. While disease prevention is a viable instrument for reducing costs and suffering, it requires risk modeling to stratify populations, identify high- risk individuals and enable personalized interventions. In current clinical practice, however, systematic risk stratification is limited: on the one hand, for the vast majority of endpoints, no risk models exist. On the other hand, available models focus on predicting a single disease at a time, rendering predictor collection burdensome. At the same time, the den- sity of individual patient data is constantly increasing. Especially complex data modalities, such as -omics measurements or images, may contain systemic information on future health trajectories relevant for multiple endpoints simultaneously. However, to date, this data is inaccessible for risk modeling as no dedicated methods exist to extract clinically relevant information. This study built on recent advances in machine learning to investigate the ap- plicability of four distinct data modalities not yet leveraged for risk modeling in primary prevention. For each data modality, a neural network-based survival model was developed to extract predictive information, scrutinize performance gains over commonly collected covariates, and pinpoint potential clinical utility. Notably, the developed methodology was able to integrate polygenic risk scores for cardiovascular prevention, outperforming existing approaches and identifying benefiting subpopulations. Investigating NMR metabolomics, the developed methodology allowed the prediction of future disease onset for many common diseases at once, indicating potential applicability as a drop-in replacement for commonly collected covariates. Extending the methodology to phenome-wide risk modeling, elec- tronic health records were found to be a general source of predictive information with high systemic relevance for thousands of endpoints. Assessing retinal fundus photographs, the developed methodology identified diseases where retinal information most impacted health trajectories. In summary, the results demonstrate the capability of neural survival models to integrate complex data modalities for multi-disease risk modeling in primary prevention and illustrate the tremendous potential of machine learning models to disrupt medical practice toward data-driven prevention at population scale.Die Kosten im Gesundheitswesen steigen systematisch und derzeitige therapieorientierte Gesundheitssysteme sind nicht nachhaltig. Angesichts vieler verhinderbarer Krankheiten stellt die Prävention ein veritables Instrument zur Verringerung von Kosten und Leiden dar. Risikostratifizierung ist die grundlegende Voraussetzung für ein präventionszentri- ertes Gesundheitswesen um Personen mit hohem Risiko zu identifizieren und Maßnah- men einzuleiten. Heute ist eine systematische Risikostratifizierung jedoch nur begrenzt möglich, da für die meisten Krankheiten keine Risikomodelle existieren und sich verfüg- bare Modelle auf einzelne Krankheiten beschränken. Weil für deren Berechnung jeweils spezielle Sets an Prädiktoren zu erheben sind werden in Praxis oft nur wenige Modelle angewandt. Gleichzeitig versprechen komplexe Datenmodalitäten, wie Bilder oder -omics- Messungen, systemische Informationen über zukünftige Gesundheitsverläufe, mit poten- tieller Relevanz für viele Endpunkte gleichzeitig. Da es an dedizierten Methoden zur Ex- traktion klinisch relevanter Informationen fehlt, sind diese Daten jedoch für die Risikomod- ellierung unzugänglich, und ihr Potenzial blieb bislang unbewertet. Diese Studie nutzt ma- chinelles Lernen, um die Anwendbarkeit von vier Datenmodalitäten in der Primärpräven- tion zu untersuchen: polygene Risikoscores für die kardiovaskuläre Prävention, NMR Meta- bolomicsdaten, elektronische Gesundheitsakten und Netzhautfundusfotos. Pro Datenmodal- ität wurde ein neuronales Risikomodell entwickelt, um relevante Informationen zu extra- hieren, additive Information gegenüber üblicherweise erfassten Kovariaten zu quantifizieren und den potenziellen klinischen Nutzen der Datenmodalität zu ermitteln. Die entwickelte Me-thodik konnte polygene Risikoscores für die kardiovaskuläre Prävention integrieren. Im Falle der NMR-Metabolomik erschloss die entwickelte Methodik wertvolle Informa- tionen über den zukünftigen Ausbruch von Krankheiten. Unter Einsatz einer phänomen- weiten Risikomodellierung erwiesen sich elektronische Gesundheitsakten als Quelle prädik- tiver Information mit hoher systemischer Relevanz. Bei der Analyse von Fundusfotografien der Netzhaut wurden Krankheiten identifiziert für deren Vorhersage Netzhautinformationen genutzt werden könnten. Zusammengefasst zeigten die Ergebnisse das Potential neuronaler Risikomodelle die medizinische Praxis in Richtung einer datengesteuerten, präventionsori- entierten Medizin zu verändern

    Essays on Portfolio Risk Management and Weather Derivatives

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    Denne avhandlingen handler om utvikling og praktisk implementering av risikostyringsmetoder for investeringsporteføljer, energiporteføljer, og håndtering av vær- og forurensningsrisiko. Avhandlingen inkluderer tre vitenskapelige artikler som hver tar for seg ulike aspekter av finansiell risikostyring. Den første fokuserer på metoder for aktivaallokering når det eksisterer asymmetrisk avhengighet mellom avkastningene for eiendelene i en investeringsportefølje. Den andre artikkelen omhandler energiprisrisikostyring, og introduserer et åpen kildekodeverktøy for energiporteføljeforvaltning som er utviklet som en del av doktorgradsprosjektet. Den siste artikkelen presenterer et teoretisk rammeverk for håndtering av forurensningsrisiko ved hjelp av finansielle derivatkontrakter, som bygger på den eksisterende teorien om værderivater. Disse arbeidene bidrar alle til det overordnede temaet for avhandlingen, som er utvikling av risikostyringsmetoder for ulike typer porteføljer og utforskingen av rollen til finansielle derivater i håndtering av risiko knyttet til markedspriser, vær og forurensning. For å sette bidragene inn i en teoretisk kontekst har vi inkludert et kort kapittel som presenterer alternative metoder for avhengighetsmodellering, og hvordan disse kan utnyttes når man forvalter investeringsporteføljer. Ett av disse målene, lokal gaussisk korrelasjon, brukes til å utvide det klassiske mean-variance-rammeverket for aktivaallokering i den første artikkelen. Deretter følger et kort introduksjonskapittel til spot- og forwardmarkeder for energi. Hovedfokuset her er råvareprisrisiko, og hvordan denne kan håndteres med finansielle derivatkontrakter. Vi demonstrerer hvordan forvaltning av energiporteføljer kan gjennomføres med vårt åpen kildekodeverktøy ved bruk av data fra det europeiske kraftmarkedet. Til slutt inkluderes et kapittel om værderivater. Dette inneholder en introduksjon til værrelatert risiko, en kort introduksjon til værmarkedet, vanlige kontraktstyper og alternative metoder for prising. For å sikre reproduserbarhet har vi også lagt til et kapittel om programkode. Her finnes lenker til Git-repositorier med alle data og R-kode for å gjennomføre analysene som presenteres i avhandlingen.This thesis is concerned with the development and practical implementation of risk management methods for investment portfolios, energy portfolios, and weather and pollution risk. The thesis includes three scientific papers that each address different aspects of financial risk management. The first paper focuses on portfolio allocation in the presence of asymmetric dependence between asset returns. The second paper examines energy price risk management, and introduces an open source toolkit for energy portfolio management which has been developed as a part of the PhD project. The final paper present a theoretical framework for managing pollution risk using financial derivatives contracts, which builds upon the existing theory of weather derivatives. These papers all contribute to the overall theme, which is the development of risk management methods for various types of portfolios and the exploration of the role of financial derivatives in managing risks related to market prices, weather and pollution. In order to provide a theoretical context, we have included a brief chapter exploring alternative methods for dependence modelling and how these may be utilized when managing investment portfolios. One of these measures, the local Gaussian correlation, is used to extend the classical mean-variance framework for asset allocation in the first paper. Thereafter, a short introduction to spot and forward energy markets is provided. The primary focus here is commodity market price risk, and how this can be managed with financial derivatives contracts. We demonstrate how portfolio management may be performed with our open source toolkit using European energy market data. Finally, we include a chapter on weather derivatives. This contains a introduction to weather related risk, a brief introduction to the weather markets, frequently used contract types and pricing methods. To ensure reproducibility, we have also added a chapter on computer code, where the interested reader may find links to Git repositories with all data and the R code needed to run the analysis presented in the thesis.Doktorgradsavhandlin

    iCOS: Option-Implied COS Method

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    This paper proposes the option-implied Fourier-cosine method, iCOS, for non-parametric estimation of risk-neutral densities, option prices, and option sensitivities. The iCOS method leverages the Fourier-based COS technique, proposed by Fang and Oosterlee (2008), by utilizing the option-implied cosine series coefficients. Notably, this procedure does not rely on any model assumptions about the underlying asset price dynamics, it is fully non-parametric, and it does not involve any numerical optimization. These features make it rather general and computationally appealing. Furthermore, we derive the asymptotic properties of the proposed non-parametric estimators and study their finite-sample behavior in Monte Carlo simulations. Our empirical analysis using S&P 500 index options and Amazon equity options illustrates the effectiveness of the iCOS method in extracting valuable information from option prices under different market conditions

    Study of Climate Variability Patterns at Different Scales – A Complex Network Approach

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    Das Klimasystem der Erde besteht aus zahlreichen interagierenden Teilsystemen, die sich über verschiedene Zeitskalen hinweg verändern, was zu einer äußerst komplizierten räumlich-zeitlichen Klimavariabilität führt. Das Verständnis von Prozessen, die auf verschiedenen räumlichen und zeitlichen Skalen ablaufen, ist ein entscheidender Aspekt bei der numerischen Wettervorhersage. Die Variabilität des Klimas, ein sich selbst konstituierendes System, scheint in Mustern auf großen Skalen organisiert zu sein. Die Verwendung von Klimanetzwerken hat sich als erfolgreicher Ansatz für die Erkennung der räumlichen Ausbreitung dieser großräumigen Muster in der Variabilität des Klimasystems erwiesen. In dieser Arbeit wird mit Hilfe von Klimanetzwerken gezeigt, dass die Klimavariabilität nicht nur auf größeren Skalen (Asiatischer Sommermonsun, El Niño/Southern Oscillation), sondern auch auf kleineren Skalen, z.B. auf Wetterzeitskalen, in Mustern organisiert ist. Dies findet Anwendung bei der Erkennung einzelner tropischer Wirbelstürme, bei der Charakterisierung binärer Wirbelsturm-Interaktionen, die zu einer vollständigen Verschmelzung führen, und bei der Untersuchung der intrasaisonalen und interannuellen Variabilität des Asiatischen Sommermonsuns. Schließlich wird die Anwendbarkeit von Klimanetzwerken zur Analyse von Vorhersagefehlern demonstriert, was für die Verbesserung von Vorhersagen von immenser Bedeutung ist. Da korrelierte Fehler durch vorhersagbare Beziehungen zwischen Fehlern verschiedener Regionen aufgrund von zugrunde liegenden systematischen oder zufälligen Prozessen auftreten können, wird gezeigt, dass Fehler-Netzwerke helfen können, die räumlich kohärenten Strukturen von Vorhersagefehlern zu untersuchen. Die Analyse der Fehler-Netzwerk-Topologie von Klimavariablen liefert ein erstes Verständnis der vorherrschenden Fehlerquelle und veranschaulicht das Potenzial von Klimanetzwerken als vielversprechendes Diagnoseinstrument zur Untersuchung von Fehlerkorrelationen.The Earth’s climate system consists of numerous interacting subsystems varying over a multitude of time scales giving rise to highly complicated spatio-temporal climate variability. Understanding processes occurring at different scales, both spatial and temporal, has been a very crucial problem in numerical weather prediction. The variability of climate, a self-constituting system, appears to be organized in patterns on large scales. The climate networks approach has been very successful in detecting the spatial propagation of these large scale patterns of variability in the climate system. In this thesis, it is demonstrated using climate network approach that climate variability is organized in patterns not only at larger scales (Asian Summer Monsoon, El Niño-Southern Oscillation) but also at shorter scales, e.g., weather time scales. This finds application in detecting individual tropical cyclones, characterizing binary cyclone interaction leading to a complete merger, and studying the intraseasonal and interannual variability of the Asian Summer Monsoon. Finally, the applicability of the climate network framework to understand forecast error properties is demonstrated, which is crucial for improvement of forecasts. As correlated errors can arise due to the presence of a predictable relationship between errors of different regions because of some underlying systematic or random process, it is shown that error networks can help to analyze the spatially coherent structures of forecast errors. The analysis of the error network topology of a climate variable provides a preliminary understanding of the dominant source of error, which shows the potential of climate networks as a very promising diagnostic tool to study error correlations
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