financial modelers

Abstract: Neural posterior estimation (NPE) enables Bayesian inference of the posterior parameter in agent-based models (ABMs) with intractable likelihoods, but simulating training data can be computationally expensive. We propose Double-Flow Neural Posterior Estimation (DF-NPE), which combines learned time-series summaries with two conditional normalizing flows for synthetic-data generation and posterior estimation. The framework supplements direct simulations with synthetic training pairs and supports both pooled and ordered training strategies. Experiments in two settings of the Brock-Hommes asset-pricing model show that DF-NPE can reduce direct simulations by 90 percent while achieving lower mean posterior discrepancies and runtime than standard NPE. Performance varies with the allocation of directly simulated and synthetic data and the training strategy. These results establish learned summary augmentation as a practical approach to reducing simulation costs for Bayesian posterior inference of parameters in ABMs.

Abstract: Source selection often favors similar data, yet marginal proximity need not identify the most useful pretraining source. We motivate a conditional alternative through domain-adaptation theory and a regression example in which broader source variation improves estimation despite increasing Wasserstein distance. We examine five-day cryptocurrency volatility using ten Binance spot assets, six forecaster families, three seeds, and shared temporal cutoffs. Selecting the three farthest rather than nearest Gaussian-Wasserstein sources improves mean persistence-relative skill by 12.52 percentage points for MLP and 20.90 for Transformer, with positive post-hoc paired date-block intervals. Forward pilot selection improves mean skill over random transfer in all six families. Compact recurrent models achieve the lowest absolute mean errors, separating selection utility from forecasting quality. Retrospective five-candidate screening shows additional gains from farthest-first geometry before pilot ranking for MLP and Transformer. We distinguish across-target associations from within-target decisions and evaluate target heterogeneity, training seeds, and temporal-block sensitivity. Findings are exploratory for a fixed historical panel; the screening analysis measures no runtime saving.

Abstract: Many mathematical research agents focus on solving problems with fixed statements. However, conjecture research, especially in applied mathematics, may require revising candidate questions or conclusions as investigation proceeds, coupling problem formulation with proof development. We present PACE, a research-proof agent that supports this process through a structured research loop that selects mathematical objectives and develops or challenges candidate mechanisms. The whole prover constructs proofs from these mechanisms, and an independent verifier checks them against the original target. Evidence-tracking memory stores assumptions and dependencies arising during research and marks evidence for revalidation when a candidate or condition changes. This memory supports task-specific context composition that keeps checked premises, exploratory material and unresolved obligations distinct. To evaluate proof construction and conjecture research, we introduce ResearchProofBench, an applied-mathematics benchmark focused on optimization, comprising 51 known-proof tasks with 331 hidden checkpoints under historical abstract access and six open-problem cases. The known-proof tasks assess reconstruction of published results, while the open-problem cases assess mathematical investigation and proof development. On the 51 known-proof tasks, PACE achieves an aggregate Proof Score of 75.16 and completes 20 proofs. In conjecture research, PACE develops conditional results, with its submissions receiving higher review scores than the compared baselines.

Abstract: We propose a new regression method named Direct Inference on Admissible Sets (Diona) that directly uses samples to estimate the state and its derivatives at a query point, along with their admissible bounds, without long global training. By casting the values and derivatives at the query and neighbouring samples as latent variables in a constrained optimisation problem, the burden of long training loops becomes one of on-demand local solves. We establish Diona's theoretical properties including finite-sample coverage and, in the noiseless case, convergence to the true state and derivatives under dense sampling. In a nonlinear regression benchmark on six functions of three to eight dimensions, Diona was more accurate than a Gaussian process (GP) on noiseless data especially with denser data sets. Furthermore, as with GP, it produced uncertainty bounds that contained the true value at more than 95% of query points in four functions. Diona's time to a first prediction after a data set update was three to four orders of magnitude shorter than that of the GP, and two to three orders shorter than that of a neural network, which was more accurate but offers no uncertainty quantification. This low latency is paid for by on-demand predictions, so this latency advantage applies when relatively few predictions are needed between data updates.

Abstract: Generalized circuits are a fundamental tool for establishing PPAD-hardness and membership of approximate equilibrium problems. Despite their importance, the complexity of finding approximate solutions has remained unresolved for a wide range of approximation parameters. We settle this question by establishing a tight threshold at $\varepsilon=1/6$. Specifically, we prove that $\varepsilon$-GCircuit is PPAD-complete for every constant $0<\varepsilon<1/6$, even when restricted to four gate types, and polynomial-time solvable for every constant $\varepsilon\ge1/6$. This closes the gap between the previously known hardness bound of $1/10$ and the polynomial-time solvability bound of $1/2$. We further investigate the relaxation in which a fraction $δ$ of the gates may be violated. We establish polynomial-time solvability of $(\varepsilon,δ)$-GCircuit for every constant $\varepsilon>0$ and $δ>1/5$, and of the fan-out-one formulations of $δ$-Pure-Circuit for every constant $δ>1/8$. These results follow from a decomposition theorem for directed graphs of maximum in-degree two and establish that the PCP-for-PPAD conjecture cannot be true for the aforementioned values of $\varepsilon$ and $δ$, unless PPAD = P. To showcase the contribution of our positive results, we apply them to a variety of problems in algorithmic game theory, including public goods games, financial networks, Bayesian, polymatrix, and graphical games, and obtain improved approximation guarantees.

Abstract: Branching Walk-on-Spheres (WoS) solves semilinear PDEs without meshes, but its computational cost grows sharply near critical branching rates. We introduce Walk in Envelopes (WiE), which uses certified solution bounds to transform branching diffusion rather than prune existing trees. The transformation suppresses reproduction, introduces controlled termination, and preserves unbiasedness with an envelope-dependent variance bound. We realize the transformed process through exact rejection sampling using standard screened WoS kernels, supported by certified spline envelopes and adaptive sampling, and further prove that suitable harmonic envelopes yield bounded expected reproduction counts even as conventional BBM diverges.

Abstract: Symbolic regression (SR) solvers employ diverse search mechanisms, yet most rely on the same low-information scalar fitness. Such scores provide little guidance on why a skeleton fails or how it should be revised. Recent methods develop new methods to address this bottleneck. Their enhanced feedback mechanisms are tightly coupled to their search processes and are difficult to reuse across diverse SR solvers. Instead, we ask whether a shared feedback mechanism can further improve diverse solvers facing the same bottleneck. To this end, we propose PostDiag, a search-independent feedback mechanism, which can be shared to different SR solvers. PostDiag introduces Patch-wise Feature Profiling (PFP) to capture local behavior through patch-wise features of level, trend, and roughness. Based on PFP, PostDiag quantifies Skeleton Expressiveness Risk by comparing the fitted candidate with the observations, and Skeleton Stability Risk by measuring variability of behavior after bootstrap refitting. The Diagnostic Risk Plane (DRP) combines two risks to determine whether a skeleton should be preserved, repaired, simplified, or rewritten, while the patch-wise discrepancies provide evidence for the intervention. An LLM editor then performs the diagnosis-guided intervention, and the validated revision is returned to the original solver through a lightweight adapter. Experiments across multiple LLM-based and GP-based SR solvers show that PostDiag consistently improves accuracy and accelerates convergence.

Abstract: Score-based generative models driven by $α$-stable L{é}vy processes have been proposed as an alternative to Brownian diffusion models, with empirical evidence suggesting improved sampling and better modeling of heavy-tailed data. Yet theoretical guarantees for these models remain limited. We develop a non-asymptotic convergence analysis for scale-preserving $α$-stable generative dynamics, covering both compactly supported and power-law targets. In p-Wasserstein distance, we quantify the effects of early stopping, initialization, score approximation, and time discretization, and show exponential decay of the initialization error. A comparison with Brownian dynamics reveals that global Wasserstein convergence alone does not fundamentally distinguish the two models: both initialization errors decay exponentially with the forward horizon on the common class of heavy-tailed targets. A sharp separation emerges instead in the tails. At any positive generation time, stable dynamics produces power-law tails with index $α$, whereas Brownian dynamics remains light-tailed. For a target with tail index $ν$, asymptotically correct extreme-quantile scaling is possible precisely when $α$=$ν$. These results identify tail-index matching as a principled mechanism behind the ability of stable generative models to capture extreme events.

Abstract: Physics-informed neural networks provide a flexible framework for learning parametric PDE solution families without labeled data, yet preserving accurate derivatives across heterogeneous regimes remains challenging. Structured neural solvers offer compact representations, but restrictive conditional parameterizations can limit adaptation across the solution family. We introduce BeTINN, a structured conditional architecture extending time-induced modulation through multi-directional time-parameter conditioning and a joint residual pathway. We evaluate BeTINN on the Heston stochastic-volatility PDE, a demanding parametric problem with mixed derivatives and economically relevant first- and second-order sensitivities. BeTINN improves joint accuracy across normalized option value and key sensitivity metrics relative to our baselines. Controlled ablations characterize the roles of its architectural components. We further find that validation physics loss is informative but does not fully determine differential fidelity, and that accurate solution values can coexist with localized derivative errors. These results support structured conditional adaptation and motivate derivative-aware evaluation when sensitivities are downstream quantities of interest.

Abstract: We study the role of design smoothness in the minimax estimation of conditional average treatment effects at a fixed covariate point. For design densities bounded above and away from zero, without further regularity, we derive upper and lower risk bounds with an arbitrarily small gap in the convergence-rate exponent. Under uniform design, we obtain matching upper and lower bounds at interior points in the regime of low nuisance smoothness. These results show that rough covariate designs can lead to slower rates than uniform designs, even under the same smoothness assumptions on the treatment effect and nuisance functions, highlighting the role of the covariate distribution in pointwise causal estimation.

Abstract: Monte Carlo sampling algorithms aim to produce samples from a target distribution with a given unnormalised probability density function. The high cost of running Monte Carlo algorithms, with many simulation steps or particles needed to obtain a good empirical approximation to the target, can be reduced by introducing learnable components into the sampler -- a form of amortisation. Once these components are trained, amortised samplers can produce high-quality samples with less computation at sampling time than training-free algorithms would require. We propose an amortised sampler built upon the framework of adaptive importance sampling -- a hierarchical importance sampling procedure where the proposal is iteratively adapted. Our amortised adaptive importance sampling algorithm fits a lightweight neural network that adapts the proposal using information obtained over the course of sampling. By training our sampler over many different targets taken from the same family of distributions, we obtain a sampler that can adapt to a specific target at sampling time without a priori access to the target's parameters. We show that our procedure can efficiently sample from targets within the family the sampler was trained on, giving improvements over target-specific amortised samplers and training-free adaptive importance sampling algorithms. We also explore the potential for generalisation, where the trained sampler is used to sample from targets outwith its training family.

Abstract: Recent advances in instruction-driven time series forecasting highlight a fundamental tension: systems must simultaneously master natural-language instruction following and precise numerical prediction. Current approaches often force a compromise. Large language models (LLMs) can interpret unstructured requests but may be inaccurate when asked to produce forecast values directly, whereas time series foundation models (TSFMs) provide numerical forecasts but typically require structured inputs specifying the target series, context window, and horizon. We present ChronoScribe, which applies semantic-numerical specialization to this workflow. A LoRA-adapted LLM proposes an execution path and context length; deterministic rules resolve the executable configuration. On the specialist path, a frozen TSFM produces quantile trajectories for the task-specified horizon. Deterministic trajectory summaries condition the response, while the LLM neither generates nor revises predicted values. We evaluate a Qwen3.5-9B--Chronos-2 implementation across 23 evaluation dimensions and 30 public datasets against eleven proprietary direct LLMs and three open TSFMs. ChronoScribe has the lowest error on sMAPE, MASE, WAPE, RMSE, and MAE among all evaluated systems, including fixed-context controls. Across these metrics, even the lowest direct-LLM error remains 2.0--2.7 times the corresponding ChronoScribe error. At the system level, ChronoScribe achieves a Task-Level Score (TLS) of 65.5, 10.6 points above the strongest direct-LLM baseline. The results support ChronoScribe's division of labor, in which the LLM handles interpretation, configuration, and communication while the TSFM handles numerical forecasting.

Abstract: While deep learning models for tabular data have recently received significant research attention, the choice of objective functions for regression tasks remains an understudied degree of freedom. Several lines of research offer alternatives to the standard Mean Squared Error (MSE), but differences in datasets, backbones, and evaluation protocols make their practical benefits difficult to compare. In this work, we address this gap by performing a systematic re-evaluation of regression objectives across a broad collection of established tabular datasets and multiple neural backbones. Our comparison reveals that many proposed objectives provide limited or inconsistent gains over a properly tuned MSE baseline, while quantile loss yields consistent aggregate improvements over MSE across the tested backbones. We then identify a limitation that remains even with this strong objective: regions with different levels of target noise can reach their best predictive performance at different training epochs. Consequently, a single global early-stopping checkpoint can impose a compromise between uncertainty regions, even when the objective can represent heteroskedastic target distributions. Motivated by this limitation, we introduce a heteroskedasticity-aware extension of quantile loss that uses input-dependent label smoothing as a potential remedy and improves over quantile loss on several backbones. Overall, our results provide a modern empirical picture of regression objectives for tabular deep learning and highlight how differences in optimal stopping times across uncertainty regions can limit the effectiveness of global early stopping. The code is available at https://github.com/yandex-research/tabular-regression.

Abstract: In deep learning, approximation theory motivates increasing representation size. We ask whether this benefit extends to dynamics learning through autoregressive prediction. We analyze the learned time evolution through the eigenstructure of Koopman operators, using relative residuals to detect spurious eigenpairs arising even as one-step error falls. For bounded Koopman operators, we show that minimal residuals over learned dictionary spaces converge pointwise to their full-space counterparts as these spaces approximate the observable space in $L^2$. Our hypothesis is that Koopman spectral reliability helps explain how consistently rollout error decreases with increasing dimension. We compare two models of a shared Koopman autoencoder trained alternately for reconstruction and latent evolution, using latent-prediction loss (one-step prediction errors in latent coordinates) or spectral-residual loss (relative residuals of candidate eigenpairs). Across six chaotic systems, both models reduced median windowed rollout error from smallest to largest dimension. The spectral-residual model achieved lower medians than the latent-prediction model for all systems and dimensions, and its median fell by a larger factor in every system. Its median decreased monotonically with dimension in four systems, against one for latent prediction. Against four baseline families, its mean valid prediction times were nearly always longer. At the largest dimension under two-stage training, we compared eigenvalue positions with each learned dictionary's residual contours. Spectral-residual eigenvalues concentrated in low-residual regions, whereas latent-prediction eigenvalues also appeared in high-residual regions, consistent with the hypothesis.

Abstract: Bayesian additive regression trees (BART) can require many splits to approximate boundaries misaligned with the predictor axes. RoBART assigns each tree a rotation shared by all internal nodes, retaining axis-aligned splits in rotated coordinates and constant leaves. We jointly propose a Givens rotation sequence and cutpoints on the resulting grid by Metropolis-Hastings and establish reversibility with respect to the conditional posterior with leaf means integrated out. For additive functions with component-specific rotations and anisotropic Hölder smoothness, we prove posterior contraction in empirical $L_2$ distance and for the noise standard deviation. Under the stated prior, design, and grid conditions, with fixed numbers of predictors, trees, and components and no more components than trees, the rate is a sum of componentwise rates determined by smoothness and the number of rotated coordinates used. We also establish a posterior contraction lower bound showing that there exist functions for which RoBART adapts to the intrinsic dimension but axis-aligned BART does not.

Abstract: Switching stochastic differential equations (SSDEs) describe continuous-time dynamics whose parameters switch according to a latent regime process that follows a continuous-time Markov chain (CTMC). By allowing dynamics to change between regimes, SSDEs represent heterogeneous system behavior and have been applied across diverse fields. However, Bayesian inference for SSDEs remains difficult, and existing SSDE inference methods have limited applicability, with restrictions such as noise-free observations, univariate states, linear drift, or state-independent diffusion. In this study, we propose an approximate Markov chain Monte Carlo sampler for SSDEs using uniformization and factorized neural likelihood estimation (FNLE), a simulation-based inference method. Uniformization provides an exact representation of the CTMC but requires SDE transition densities over arbitrary time intervals. We approximate these densities by training a time-conditioned FNLE model. The resulting sampler is broadly applicable to SSDEs without requiring analytically tractable transition densities. In synthetic-data experiments, our method recovered regime paths and parameters for three SSDE models for which previous methods have limited applicability. We also applied our method to a real dataset and detected a regime transition.

Abstract: We study the problem of learning transition kernels for time-homogeneous jump-diffusion processes using conditional diffusion models, with the goal of generating new sample paths from training data consisting of N independent trajectories observed on a high-frequency discrete time grid. On the theoretical side, we establish non-asymptotic bounds for the conditional score estimation error and for the KL divergence between the laws of the true and generated discretely observed paths. On the numerical side, we first evaluate our method on synthetic data to assess the theoretical findings and benchmark its performance against the approach of Gao et al. (2025). We then apply our method to real-world data and investigate its performance on a probabilistic forecasting task.

Abstract: We study estimating rare-event probabilities $I = \mathbb{P}(g(\mathbf{X}) > γ)$ with $\mathbf{X} \sim \mathcal{N}(\boldsymbolμ, \boldsymbolΣ)$ and general $g : \mathbb{R}^d \to \mathbb{R}$. We address this problem through importance sampling, and propose a framework that substantially improves efficiency and robustness over baselines such as crude Monte Carlo, adaptive cross-entropy, variational-inference-based methods (including reverse- and forward-KL approaches), as well as Safe-ICE, Subset Simulation, and Sequential Monte Carlo, drawing on ideas from both rare-event estimation and cross-entropy optimization. The key contribution has two parts: first, we separate the problem into coverage, to overcome the cold-start barrier, and fitting, to refine proposals once a meaningful signal is available; second, we constrain the final GMM proposal so that it has finite importance-sampling variance (since coverage alone is not sufficient -- without safeguards, importance sampling may still suffer from infinite variance). Together, these ingredients yield expressive proposals; finite variance does not by itself guarantee practical stability at a fixed sampling budget. Extensive experiments demonstrate substantial variance reduction, strong robustness across diverse benchmarks, and favorable cost--efficiency trade-offs, with the proposed approach often outperforming these baselines, particularly in high-dimensional and multimodal settings where competing methods frequently become unstable or fail. Our code is available at https://github.com/lorek/robust-cfi-is.

Abstract: Systems of equations arise in a wide range of scientific and engineering applications. The present work focuses on solvers for general systems of equations, including but not limited to those arising from partial differential equations. These systems can be broadly categorized into linear and nonlinear problems. For large linear systems, iterative solvers are generally preferred over direct methods due to the latter's superlinear growth of computational costs. Although convergence theory is well-developed under certain assumptions on the coefficient matrix, many classes of systems still pose open challenges. These difficulties become even more severe for systems of nonlinear equations, where nonlinear solvers typically rely on repeated linearization. For example, Newton's method may even converge quadratically near the solution; it can also converge slowly or diverge when the initial guess is not chosen appropriately. A wide range of solvers with diverse variants and hyperparameter settings exists, and the development of efficient and robust iterative methods remains an active area of research. Recently, machine learning (ML) techniques have been applied to enhance the efficiency of classical iterative methods while preserving their interpretability and reliability. We refer to these ML-enhanced iterative methods as hybrid iterative methods, in the sense that they combine classical iterative methods with ML. This paper provides a comprehensive overview of state-of-the-art approaches to constructing hybrid iterative methods for systems of both linear and nonlinear equations, while also discussing open challenges and outlining potential directions for future research.

Abstract: We consider the estimation of drift, diffusion, and noise covariance from discrete observations of stochastic differential equations driven by Gaussian processes. For a fixed observation horizon $T>0$ and a known initial state $x_0\in\mathbb R$, we study \begin{equation*} dX_t=a(X_t)\,dt+σ(X_t)\,dZ_t^{β,f}, \qquad X_0=x_0,\quad 0\leq t\leq T. \end{equation*} \smallskip\noindent Here $a:\mathbb R\to\mathbb R$ is the drift coefficient, $σ:\mathbb R\to(0,\infty)$ is the diffusion coefficient, and $Z^{β,f}$ is a centered Gaussian process from the weighted sub-fractional Brownian family, with covariance \begin{equation*} \operatorname{Cov}(Z_s^{β,f},Z_t^{β,f}) =\int_0^{s\wedge t} f(r)q_β(s-r,t-r)\,dr, \qquad 0\leq s,t\leq T. \end{equation*} \smallskip\noindent Here $s\wedge t=\min\{s,t\}$. The temporal weight $f:[0,T]\to[0,\infty)$ is measurable, bounded, and positive almost everywhere, and $β\in(0,2)$ is the covariance exponent. For $u,v\geq0$, the kernel is $q_β(u,v)=[u^β+v^β-(u+v)^β]/(1-β)$ when $β\ne1$. Its continuous extension at $β=1$ is $q_1(u,v)=(u+v)\log(u+v)-u\log u-v\log v$, with $0\log0=0$. Using the Euler approximation, we reconstruct the Gaussian driving increments from observed transitions and use their joint density to obtain a trajectory likelihood. Neural and radial-basis representations model the drift, diffusion, and normalized temporal weight, while a likelihood profile estimates the covariance exponent and diffusion scale. We compare the method with two neural alternatives on the same simulated trajectories in twenty coefficient settings.

Abstract: Decision-focused learning (DFL) trains predictors through downstream objectives, but a different loss need not provide an independent parameter-update direction. We characterize this restriction through the predictor Jacobian, using sparse index tracking to distinguish the covariance entries read by the optimizer from the parameter directions available to learning. Rank-one Jacobians make nonzero per-example gradients collinear; a conditional spectral bound describes near-collinearity. A batch-subspace characterization and counterexamples show why these local statements imply neither common minimizers nor collinear batch updates. Experiments examine when geometry translates into decision quality. Across 38 one-parameter equity configurations, DFL gains over MSE remain below 1.8%; a 385-parameter conditional predictor also has pointwise rank one. In validation-tuned shortest-path and knapsack experiments, full-capacity SPO+ reduces mean regret by 11.6% and 10.6%, respectively; only knapsack survives correction across eight comparisons. The capacity contrast persists on fresh datasets across batch orders and training budgets. Holding expressivity fixed, invertible coordinate scaling lowers spectral effective rank and ordinary SGD gains; compensating for the scaling restores the original trajectories. Financial forward-target controls separate forecast accuracy from decision quality; a matched neural comparison finds no aggregate DFL advantage in the tested architecture. These findings distinguish local rank restrictions, coordinate-dependent optimization and predictive accuracy. Predictor geometry helps explain available learning directions, while held-out decision quality remains the test of practical benefit.

Abstract: Learn-then-differentiate (LTD) estimates gradients by fitting a model to simulation outputs and differentiating it. We develop a unified framework explaining what LTD differentiates and how accurately it estimates gradients. For models with a weighted representation, LTD differentiates a learned representation of the underlying probability measure. We then show how accuracy guarantees for fitted models translate into guarantees for gradients and higher-order derivatives, with rates approaching the standard Monte Carlo rate under suitable smoothness conditions. The framework recovers established results for kernel regression, local polynomial regression, and kernel ridge regression, and yields further guarantees for multiple kernel learning and smooth neural networks. These results provide a common foundation for understanding and analyzing LTD across learning methods.

Abstract: We consider estimating the one-step-ahead conditional distribution of a multivariate stochastic process. Many existing approaches rely on assumptions such as finite-range memory, sparsity, or additivity, which can be poorly suited to processes with long-range nonlinear interactions. However, without such structural assumptions, nonparametric estimation is challenging due to the curse of dimensionality. To address this challenge, we introduce a new estimation approach based on the predictive states of a process, possibly with infinite-range memory. We show that our estimator achieves fast convergence rates when the past history can be compressed into a low-dimensional statistic that is sufficient for predicting the future. Specifically, we show that the statistical complexity of the estimation problem is determined by the intrinsic dimension of the predictive state space. We establish guarantees for an instantiation of our method based on deep neural network estimators, and we support these theoretical results with experiments.

Abstract: We give an explicit solution to the five expert prediction with expert advice partial differential equation (PDE) in the finite-time horizon setting. The solution formula establishes that the adversary's rank strategy $(1,0,1,0,0)$ is globally optimal, and the COMB strategy $(1,0,1,0,1)$ is optimal exactly on the set where $x_1=x_2$ and $x_3=x_4$. The formula is derived from the solution of the geometric-stopping problem given in our companion paper through the transform principle of Bayraktar, Ekren and Zhang, which links the two problems by a Laplace transform. Inverting the transform term by term expresses the solution through a series of Gaussian and complementary error function kernels. The optimality of $(1,0,1,0,0)$ is reduced to the signs of $41$ one-variable Gaussian series, which are certified with computer assistance by Poisson summation, first-mode domination and interval arithmetic on $1616$ rational cells. The proofs of our main theorems, certificates included, are also formalized in the Lean proof assistant.

Abstract: A special semimartingale admits a unique decomposition $X=X_0+M+A$ into a local martingale $M$ and a predictable finite-variation part $A$. We consider the identification of $A$ when $X$ is observed only through repeated cross-sections. The estimand is then the projection of the sampled predictable compensator onto the observable feature filtration, namely the current state together with whatever randomness is shared across the population, so that at a fixed diffusion coefficient the marginal flow identifies the drift only up to a Markovian projection. If the drift is an affine functional of an observed lag window, the joint problem is a convex quadratic programme whose solution is the pseudo-panel regression of econometrics. Our principal concern is the case, which we believe not to have been treated before, in which the drift is the output of a hidden linear dynamical system whose dynamics are themselves to be identified from the marginals. The joint problem is then a bilinear quadratically constrained programme, which we solve to certified global optimality by spatial branch and bound; with unpenalised state disturbances and a drift basis growing with the grid it is NP-hard already in latent dimension one, by reduction from $\ell^1$ rank-one matrix approximation, whereas the complexity of the deterministic system at fixed latent dimension remains open. A block-coordinate decomposition offers a cheaper alternative. For the estimator itself, we obtain rates at a fixed mesh, separated into Monte-Carlo, estimation and grid contributions.

Abstract: Recent advances in generative modeling have substantially improved time series generation, yet most existing methods either assume a regular temporal grid or focus on feature dynamics under a given sampling structure. This makes them illsuited for generating irregular time series in their native form, where a model must capture not only feature values, but also how many observations occur, when they occur, and which features are observed together. To address this heterogeneous generation problem, we propose ChronoFlow, a unified hierarchical flow matching framework organized by statistical granularity. Following a coarse-to-fine hierarchy, ChronoFlow first generates observation counts and feature-wise frequencies, then jointly generates observation times and feature co-observation patterns, and finally generates values conditioned on the realized pattern. This turns a complex joint generation problem into structurally aligned subproblems while preserving their dependencies. To evaluate complete irregular time series generation, we introduce complementary metrics spanning sample realism, sampling structure, value fidelity, and temporal and cross-feature dependencies, and validate them through controlled corruptions. Across five benchmarks, ChronoFlow achieves strong improvements in generation fidelity over existing baselines, while factorization studies support the proposed hierarchy. Our code is available at https://anonymous.4open.science/r/ChronoFlow.

Abstract: Alternating gradient descent-ascent (AltGDA) is a simple and practically effective method for solving finite two-player zero-sum matrix games. However, the theory of AltGDA remains limited: existing results either apply only to unconstrained settings or require restrictive assumptions on the equilibrium in constrained settings. We show that AltGDA converges globally at an $O(1/T)$ ergodic rate in every finite two-player zero-sum matrix game. Unlike prior results, our guarantee holds for every initialization and every horizon $T$: the uniform averages of the AltGDA iterates satisfy an $O(1/T)$ duality-gap bound. Our proof is inspired by numerical results obtained using a novel performance estimation programming (PEP) framework for Lyapunov function search over compact convex sets. Additionally, we provide simple counterexamples showing that the last-iterate duality gap of AltGDA does not converge to zero. This justifies why averaging of iterates is indeed necessary to achieve an $O(1/T)$ rate. We have formalized and machine-checked our global ergodic convergence result in Lean 4.

Abstract: Probabilistic time series forecasting requires modeling and predicting complex and time-varying distributions. Recently, Denoising Diffusion Probabilistic Model (DDPM)-based approaches have shown promise by equipping the dif- fusion process with pretrained mean and variance estimators to accommodate distributional shift. However, these methods typically follow the standard DDPM framework and consider only partial components of the evidence lower bound (ELBO), treating the training of estimators as designed regression tasks separate from the variational inference framework. To address this, we rethink the ELBO under the Location-Scale Noise Model (LSNM) and find that it naturally induces a Gaussian negative log likelihood objective for the estimators and inherently defines a joint training objective that unifies recent diffusion paradigms for probabilistic forecasting. Building on this principled ELBO reformulation, we propose Diff- PTS, a general framework that enables end-to-end optimization of all components within the ELBO. Across multiple benchmarks, DiffPTS consistently outperforms recent models, achieving state-of-the-art performance with an average CRPS/MSE reduction of over 14.53%/16.55% compared to existing diffusion-based methods. The code is available at https://github.com/wwy155/DiffPTS.

Abstract: We introduce Distance-Residual Physics-Informed Neural Networks (DR-PINNs), a physics-informed learning framework for approximating solutions of ordinary and partial differential inclusions (DIs), governing laws in which a differential operator is constrained to lie in a set-valued map rather than equaling a prescribed function. The method replaces the classical pointwise PDE/ODE residual by the squared distance from the differential operator to the admissible set. This distance vanishes exactly when the inclusion is satisfied and measures the infimal correction needed for the operator to enter the admissible set. For a fixed closed convex admissible set, the squared distance is differentiable with respect to the operator value, with gradient given by the metric projection. When the admissible set also depends on the network state, that dependence is included through the chain rule. The framework encompasses ordinary and partial DIs with set-valued reaction terms. For both settings we prove consistency: under the stated closedness, measurability, convexity, and growth assumptions, any sequence of candidates satisfying the initial (and, in the parabolic case, boundary) conditions whose continuous distance-residual functional tends to zero admits a subsequence converging to an exact solution of the target inclusion. These are conditional statements for the continuous distance-residual functional; they do not cover the finite-collocation training loss, the behavior of the optimizer, or convergence rates. For admissible sets given as convex hulls of finitely many vertices, projection onto the set reduces to a small convex quadratic program, making the loss efficiently computable inside the training loop. Numerical experiments demonstrate high accuracy on the differential-inclusion benchmarks.

Abstract: Prediction with expert advice is a fundamental problem in online learning. When the time horizon $T$ is known in advance, the minimax cumulative regret over $n$ experts is asymptotically $\sqrt{\frac{T \ln n}{2}}$. This is achieved by the Multiplicative Weights Update algorithm with a learning rate tuned to $T$, and is known to be tight. If instead the regret bound is required to hold simultaneously at every time $t$, the best known guarantee has been $\sqrt{t \ln n}$---a factor of $\sqrt{2}$ worse---and it has remained unknown whether this factor of $\sqrt{2}$ is necessary. We show that it is not. We give an algorithm, requiring no knowledge of the horizon, whose cumulative regret satisfies $R_t \le \bigl(1 + O(\sqrt{\ln \ln n / \ln n})\bigr)\sqrt{t \ln n / 2}$ simultaneously for every $t \ge 1$.

Abstract: Neural operators are data-driven models that learn mappings from inputs that parameterize partial differential equations, such as spatially varying coefficients, initial conditions, forcing terms, boundary conditions, or geometries, to solution fields or quantities of interest. Once trained, they can serve as surrogates for classical numerical solvers in many-query settings that require repeated evaluations for varying inputs. We address the question of when, and then why, neural operator surrogates outperform classical numerical solvers, in terms of cost for a given accuracy. We focus on the post-training, many-query limit, in which data-acquisition and training costs are treated as fixed and fully amortized. Even in this deliberately favorable regime for neural operators, there are regimes in which classical solvers outperform the surrogate models. We compare the cost-accuracy performance of neural operator surrogates and classical numerical solvers through a reproducible benchmark study comparing neural operators with problem-matched classical solvers on representative problems in computational science and engineering, focusing on prediction error, per-query floating-point cost, and wall-clock runtime. Neural operators are most competitive at low-to-moderate accuracy requirements. Their floating-point cost advantage depends strongly on the problem structure, arising when they avoid temporal or nonlinear iterations or predict a reduced quantity of interest rather than a full solution field. Additional wall-clock speedups result from dense tensor operations that are well suited to modern hardware. As the target accuracy is tightened, achieving the required accuracy with neural operators becomes increasingly challenging, and classical solvers outperform surrogates in this regime; thus classical solvers will remain important for verification and high-accuracy computation.

Abstract: Patch-based autoregressive time-series forecasting often ties input representation, learned transitions, and recursive execution to one patch length. We ask which of these roles can be adjusted separately. A supporting atomic-encoding study finds greater sensitivity to model width than to atom grouping on the evaluated grid. Our main finding is that a frozen parent's recursive trajectory is easier to fit than the observed future with lightweight parallel exits. Autoregressive Trajectory Distillation (ATD) turns this into selectable ATD-1/2/4/8 execution, with ATD-1 exactly recovering the parent. On a paired four-data-set comparison, ATD-8 reaches $5.54\times$ end-to-end speedup with stable quality across widths. Fewer calls do not automatically remove the parent's existing forecast error: ATD improves trajectory fidelity in all 21 seed runs but forecast accuracy in only 15 against matched clean-future supervision. We further find a correctable residual projection along a train-selected periodic history direction. Spectrum Tangent applies this correction without adding neural parameters or Transformer calls. At horizon 720, it reduces mean squared error (MSE) and mean absolute error (MAE) by 2.54% and 2.33% over seven data sets and two output widths, while remaining $3.24\times$ faster than recursive inference. Level and shape projections sometimes disagree. Trajectory compressibility, the fidelity-accuracy mismatch, and the correction recur across three public AR parents. Together these results separate representation, transition, and execution as AR design axes. Code is available at https://github.com/RowanFFF/ATD-Spectrum-Tangent.

Abstract: Hidden Semi-Markov Models (HSMMs) are fundamental probabilistic models widely adopted across diverse domains, from computational biology to finance and signal processing. The Viterbi algorithm decodes the most likely state sequence given an HSMM and can be applied iteratively for ab initio model learning. However, existing Viterbi implementations remain sequential, and GPU-accelerated solutions are entirely absent, making HSMM decoding impractical for large-scale workloads. We present a tensor-based formulation of the Viterbi algorithm for HSMMs, restructuring the inner loops into tensor operations that naturally map onto SIMD units and massively parallel architectures. Building on this formulation, we provide optimized implementations spanning single- and multi-core CPUs, and, for the first time, GPU. Experimental evaluation demonstrates speedups of up to 14x on a single core, over 200x with multi-core, and over 570x on GPU over the state-of-the-art sequential baseline, establishing a new performance baseline for large-scale HSMM decoding.

Abstract: We study the adaptation of pretrained language models to univariate time-series forecasting through a parameter-efficient transfer learning framework, with the goal of understanding which design choices drive effective cross-modal transfer. While language models operate on discrete textual tokens, time series consist of continuous numerical observations with temporal dependencies. To bridge this modality gap, we project fixed-length time-series patches directly into the embedding space of a pretrained GPT-2 backbone, bypassing textual tokenization and treating the Transformer as a generic sequence encoder. Through controlled ablation studies on seven benchmark datasets spanning energy, weather, traffic, and finance, we analyze the effects of (i)~representation strategy (continuous embeddings versus textual serialisation), (ii)~adaptation regime (frozen backbone versus partial or full fine-tuning), (iii)~architectural components such as adapters, pooling strategies, and prediction heads, and (iv)~input context length. Continuous patch-based embeddings consistently outperform textual prompting and randomly initialised backbones. The adapted pipeline attains MASE within the range of specialised forecasting architectures while updating less than 1\% of total model parameters. Results further indicate that freezing the pretrained backbone and training lightweight projection and adapter modules provides a favourable accuracy--efficiency trade-off with stable behaviour across varying context lengths.

Abstract: We introduce cvxgenrust, an open-source tool for generating custom Rust code that solves families of parameterized convex optimization problems modeled in CVXPY. cvxgenrust canonicalizes a problem family, extracts affine maps to Clarabel cone-program data, and generates a specialized Rust crate that updates parameters and calls Clarabel natively at runtime. The generated solver can also be exposed to Python and registered as a custom CVXPY solver. Our code generator supports a wide range of convex optimization problems up to semidefinite programs and exponential-cone problems. Numerical experiments show reduced runtime relative to direct CVXPY solves and performance comparable to CVXPYgen on shared problem classes.

Abstract: We introduce an amortized neural sampler that combines operator learning with flow methods for sampling. It maps SDE coefficient functions to pushforwards from a reference measure to the invariant measures, enabling efficient sampling across families of stochastic differential equations. Our framework shifts traditional sampling cost to an initial training phase, after which new SDE instances require only one encoder pass and a few ODE solver steps, independent of mixing time. To handle problems in high dimensions, we use Lagrangian trajectory sensors for the coefficient functions and cross attention in the architecture. We also theoretically establish the expressivity and resolution invariance of our framework. Experiments on 1D and 2D SDE families show competitive accuracy with substantial speedups over MCMC in regimes with slow mixing, transfer across sensor counts, and demonstration results on a 64D interacting particle SDE where traditional grid approaches are infeasible.

Abstract: Numerical integration studies how well one can estimate the integral of a function $f$ over $[0,1)^d$ using $n$ sample points. The two classical methods, Monte Carlo (MC) and quasi-Monte Carlo (QMC), have complementary strengths and weaknesses, and a fundamental question is to design an approach that combines the benefits of both. Recently, building on the transference principle in discrepancy theory, Bansal and Jiang~\cite{BJ25a} gave a randomized QMC method that bridges MC and QMC guarantees using only i.i.d.\ samples. Their method also goes beyond the classical Koksma--Hlawka inequality: it achieves integration error $\widetilde{O}_d(σ_{\mathsf{SO}}(f)/n)$, where the smoothed-out variation $σ_{\mathsf{SO}}(f)$ can be substantially smaller than the Hardy--Krause variation that governs the classical bound. However, their algorithm requires $n^2$ i.i.d.\ samples as input, and this quadratic blowup is inherent to any method based on the transference principle. In this work, we bypass the quadratic blowup: for any constant $\varepsilon > 0$, we show that $(1+\varepsilon)n$ i.i.d.\ samples suffice to both obtain the beyond-Hardy--Krause guarantee of~\cite{BJ25a}, resolving an open problem posed there, and to produce low-discrepancy point sequences. Our algorithms are variants of the online Haar-thinning method of Dwivedi, Feldheim, Gurel-Gurevich, and Ramdas~\cite{DFG+19}.

Abstract: We study the stochastic first-order oracle complexity for constrained or regularized convex-concave min-max optimization and stochastic monotone variational inequalities. We focus on the case when suboptimality is measured in terms of the gradient mapping, also known as, forward-backward or natural residual, an optimality notion that generalizes the gradient norm for unconstrained problems. In this setting, under standard unbiased oracle access with now-standard variance assumptions, the best-known complexity for making the norm of the gradient mapping less than $\varepsilon$ is $\widetilde{O}(\varepsilon^{-4})$, compared to the near-optimal $\widetilde{O}(\varepsilon^{-2})$ that is established in the unconstrained case. We bridge this gap to improve the gradient mapping complexity for constrained convex-concave min-max problems to $\widetilde{O}(\varepsilon^{-2})$. We then extend to prove the same complexity for problems without the bounded variance, by using the Blum-Gladyshev assumption.

Abstract: We characterize the sharp structure-agnostic minimax risk for coefficient estimation in the partial linear model when the outcome and treatment nuisances are learned by two distinct black-box learners, which resolves the open problem in double machine learning posed by Gu (2025). For each nuisance \(q\in\{μ,π\}\), we characterize the available learner by an approximation-error budget \(a_q\) and a stochastic-error budget \(s_q\), with the latter controlled through localized Rademacher complexity. Writing \(\mathcal E_n\) for the minimax mean-squared error, we show that \[\mathcal E_n\asymp1\wedge\left\{\frac1n+\left(a_μa_π+\min\left\{a_πs_μ+s_π^2,\,a_μs_π+s_μ^2\right\}\right)^2\right\}.\] The main new ingredient is a novel lower bound for the general two-learner problem. Our proof constructs four finite-mixture testing experiments using orthogonal code functions. Across these experiments, the hidden perturbations are placed outside both learner classes, outside only the treatment learner class, outside only the outcome learner class, or inside both learner classes. These four configurations capture, respectively, the interaction between the two approximation errors, the two asymmetric interactions between one learner's approximation error and the other learner's learning error, and the joint estimation difficulty of learning both nuisances. Combining the four resulting lower bounds yields the displayed rate, which matches the latest upper bound in Gu (2026). Our result shows that standard double machine learning can overstate the intrinsic difficulty of target estimation and provides a target-specific principle for learner selection: approximation error and stochastic complexity must be jointly balanced across the two nuisance learners rather than optimized separately.

Abstract: We develop a new low-accuracy sampler, called \emph{smoothed Picard Hamiltonian Monte Carlo}, which combines Gaussian smoothing, Picard iteration, and higher-order discretization. For a log-concave target $π\propto \exp(-V)$ in dimension $d$ satisfying $0 \prec αI \preceq \nabla^2 V \preceq βI$, with condition number $κ:= β/α$, smoothed Picard HMC returns a sample with $\sqrt α\,W_2(\cdot,π) \le \varepsilon$ using $\widetilde O(κ^2 + κ^{7/6} d^{1/6}/\varepsilon^{1/3})$ gradient queries. We also prove stronger $W_q$ bounds, and then develop an algorithmic framework, the recursive warm start generator, to upgrade these $W_q$ bounds to stronger divergence guarantees. This produces a warm start for the proximal bouncy particle sampler, introduced in a companion work, leading to a high-accuracy log-concave sampler with complexity $\widetilde O((κ^{7/6} d^{1/6} + κ^{1/2} d^{1/4})\mathrm{polylog}(1/\varepsilon))$.