惯性聚合 高效追踪和阅读你感兴趣的博客、新闻、科技资讯
阅读原文 在惯性聚合中打开

推荐订阅源

L
LangChain Blog
V
V2EX
爱范儿
爱范儿
freeCodeCamp Programming Tutorials: Python, JavaScript, Git & More
Martin Fowler
Martin Fowler
OSCHINA 社区最新新闻
OSCHINA 社区最新新闻
Apple Machine Learning Research
Apple Machine Learning Research
WordPress大学
WordPress大学
有赞技术团队
有赞技术团队
宝玉的分享
宝玉的分享
Last Week in AI
Last Week in AI
让小产品的独立变现更简单 - ezindie.com
让小产品的独立变现更简单 - ezindie.com
罗磊的独立博客
小众软件
小众软件
Vercel News
Vercel News
博客园 - 司徒正美
阮一峰的网络日志
阮一峰的网络日志
V
Visual Studio Blog
J
Java Code Geeks
P
Proofpoint News Feed
MongoDB | Blog
MongoDB | Blog
B
Blog
美团技术团队
量子位

math.PR updates on arXiv.org

Visibility in the Boolean Model on Harmonic Manifolds Global estimates on the Brenier map Geodesics and Wandering Exponents in Brochette First-Passage Percolation State-dependent inverse-subordinator time changes of regenerative processes: Excursion structure and multiscale occupation-time limits Randomly twisted transfer operators and singular values statistics Generalized Bessel-Dunkl diffusions An almost sure invariance principle for the Takagi-van der Waerden class functions Central limit theorems for high dimensional lattice polytopes: cosmological polytopes Convergence rate estimates for semigroups and heat kernels associated with resistance forms Second-order Poincaré inequalities and localization on the Poisson space Maximum Probability of Independence in Transitive Matroids On global solutions to the semidiscrete stochastic heat equation The Poisson Tail Conjecture for primes in short intervals A Complete Spectral Analysis of the CEV Operator with Applications to Arbitrage Holographic functions and neural networks From Betting to Empirical Bernstein LIL Concentration of General Stochastic Approximation Under Heavy-Tailed Markovian Noise Pointwise Generalization in Deep Neural Networks Bayesian Latent Space Models for Graphs Are Misspecified: Toward Robust Inference via Generalized Posteriors Wasserstein bounds for denoising diffusion probabilistic models via the Föllmer process A note on connections between the Föllmer process and the denoising diffusion probabilistic model Simple Approximation and Derivative Free Inference-Time Scaling for Diffusion Models via Sequential Monte Carlo on Path Measures Diffusion-Based Stochastic Operator Networks for Uncertainty Quantification in Stochastic Partial Differential Equations A Fourier perspective on the learning dynamics of neural networks: from sample complexities to mechanistic insights Propagation of Chaos in Contextual Flow Maps Dimension-Uniform Discretization Analysis of Preconditioned Annealed Langevin Dynamics for Multimodal Gaussian Mixtures $α$-TCAV: A Unified Framework for Testing with Concept Activation Vectors Scaling Laws from Sequential Feature Recovery: A Solvable Hierarchical Model On the Limits of Latent Reuse in Diffusion Models State-of-art minibatches via novel DPP kernels: discretization, wavelets, and rough objectives
Polynomial time algorithm for optimal stopping with fixed...
David A. Goldberg, Yilun Chen · 2018-07-06 · via math.PR updates on arXiv.org

The problem of high-dimensional path-dependent optimal stopping (OS) is important to multiple academic communities and applications. Modern OS tasks often have a large number of decision epochs, and complicated non-Markovian dynamics, making them especially challenging. Standard approaches, often relying on ADP, duality, deep learning and other heuristics, have shown strong empirical performance, yet have limited rigorous guarantees (which may scale exponentially in the problem parameters and/or require previous knowledge of basis functions or additional continuity assumptions). Although past work has placed these problems in the framework of computational complexity and polynomial-time approximability, those analyses were limited to simple one-dimensional problems. For long-horizon complex OS problems, is a polynomial time solution even theoretically possible? We prove that given access to an efficient simulator of the underlying information process, and fixed accuracy epsilon, there exists an algorithm that returns an epsilon-optimal solution (both stopping policies and approximate optimal values) with computational complexity scaling polynomially in the time horizon and underlying dimension. Like the first polynomial-time (approximation) algorithms for several other well-studied problems, our theoretical guarantees are polynomial yet impractical. Our approach is based on a novel expansion for the optimal value which may be of independent interest.