AI in finance broadly refers to the applications of AI techniques in financial businesses. This area has been lasting for decades with both classic and modern AI techniques applied to increasingly broader areas of finance, economy and society. In contrast to either discussing the problems, aspects and opportunities of finance that have benefited from specific AI techniques and in particular some new-generation AI and data science (AIDS) areas or reviewing the progress of applying specific techniques to resolving certain financial problems, this review offers a comprehensive and dense roadmap of the overwhelming challenges, techniques and opportunities of AI research in finance over the past decades. The landscapes and challenges of financial businesses and data are firstly outlined, followed by a comprehensive categorization and a dense overview of the decades of AI research in finance. We then structure and illustrate the data-driven analytics and learning of financial businesses and data. The comparison, criticism and discussion of classic vs. modern AI techniques for finance are followed. Lastly, open issues and opportunities address future AI-empowered finance and finance-motivated AI research.

Current performance-driven building design methods are not widely adopted outside the research field for several reasons that make them difficult to integrate into a typical design process. In the early design phase, in particular, the time-intensity and the cognitive load associated with optimization and form parametrization are incompatible with design exploration, which requires quick iteration. This research introduces a novel method for performance-driven geometry generation that can afford interaction directly in the 3d modeling environment, eliminating the need for explicit parametrization, and is multiple orders faster than the equivalent form optimization. The method uses Machine Learning techniques to train a generative model offline. The generative model learns a distribution of optimal performing geometries and their simulation contexts based on a dataset that addresses the performance(s) of interest. By navigating the generative model's latent space, geometries with the desired characteristics can be quickly generated. A case study is presented, demonstrating the generation of a synthetic dataset and the use of a Variational Autoencoder (VAE) as a generative model for geometries with optimal solar gain. The results show that the VAE-generated geometries perform on average at least as well as the optimized ones, suggesting that the introduced method shows a feasible path towards more intuitive and interactive early-phase performance-driven design assistance.

We introduce a new stochastic verification algorithm that formally quantifies the behavioral robustness of any time-continuous process formulated as a continuous-depth model. The algorithm solves a set of global optimization (Go) problems over a given time horizon to construct a tight enclosure (Tube) of the set of all process executions starting from a ball of initial states. We call our algorithm GoTube. Through its construction, GoTube ensures that the bounding tube is conservative up to a desired probability. GoTube is implemented in JAX and optimized to scale to complex continuous-depth models. Compared to advanced reachability analysis tools for time-continuous neural networks, GoTube provably does not accumulate over-approximation errors between time steps and avoids the infamous wrapping effect inherent in symbolic techniques. We show that GoTube substantially outperforms state-of-the-art verification tools in terms of the size of the initial ball, speed, time-horizon, task completion, and scalability, on a large set of experiments. GoTube is stable and sets the state-of-the-art for its ability to scale up to time horizons well beyond what has been possible before.

Policy optimization methods are among the most widely-used methods in reinforcement learning. Its empirical success has been demonstrated in various domains such as computer games [Schulman et al., 2017] and robotics [Levine and Koltun, 2013]. However, due to its local-search nature, global optimality guarantees of policy optimization often rely on unrealistic assumptions to ensure global exploration (see e.g., [Abbasi-Yadkori et al., 2019, Agarwal et al., 2020b, Neu and Olkhovskaya, 2020, Wei et al., 2021]), making it theoretically less appealing compared to other methods. Motivated by this issue, a line of recent works [Cai et al., 2020, Shani et al., 2020, Agarwal et al., 2020a, Zanette et al., 2021] equip policy optimization with global exploration by adding exploration bonuses to the update, and prove favorable guarantees even without making extra exploratory assumptions. Moreover, they all demonstrate some robustness aspect of policy optimization (such as being able to handle adversarial losses or a certain degree of model misspecification). Despite these important progresses, however, many limitations still exist, including worse regret rates comparing to the best value-based or model-based approaches [Shani et al., 2020, Agarwal et al., 2020a, Zanette et al., 2021], or requiring full-information feedback on the entire loss function (as opposed to the more realistic bandit feedback) [Cai et al., 2020]. To address these issues, in this work, we propose a new type of exploration bonuses called dilated bonuses, which satisfies a certain dilated Bellman equation and provably leads to improved exploration compared to existing works (Section 3). We apply this general idea to advance the state-of-the-art of policy optimization for learning finite-horizon episodic MDPs with adversarial losses and bandit feedback. More specifically, our main results are: - First, in the tabular setting, addressing the main open question left in [Shani et al., 2020], we improve their Õ(T

DP is a type of algorithm that breaks down problems into sub-problems and stores and reuses the results from the previous calculations. We shall introduce what a recursion is before DP. A recursive function is a function defined in relation to itself, which means the function will continue to call itself until some condition is met. A recursion contains two parts: a base case and a recursive case. The function will keep iterating the recursive case and calculate the results to sub-problems until the base case is met.

Complex design problems are common in the scientific and industrial fields. In practice, objective functions or constraints of these problems often do not have explicit formulas, and can be estimated only at a set of sampling points through experiments or simulations. Such optimization problems are especially challenging when design parameters are high-dimensional due to the curse of dimensionality. In this work, we propose a data-informed deep optimization (DiDo) approach as follows: first, we use a deep neural network (DNN) classifier to learn the feasible region; second, we sample feasible points based on the DNN classifier for fitting of the objective function; finally, we find optimal points of the DNN-surrogate optimization problem by gradient descent. To demonstrate the effectiveness of our DiDo approach, we consider a practical design case in industry, in which our approach yields good solutions using limited size of training data. We further use a 100-dimension toy example to show the effectiveness of our model for higher dimensional problems. Our results indicate that the DiDo approach empowered by DNN is flexible and promising for solving general high-dimensional design problems in practice.

The main feature of large-scale multi-objective optimization problems (LSMOP) is to optimize multiple conflicting objectives while considering thousands of decision variables at the same time. An efficient LSMOP algorithm should have the ability to escape the local optimal solution from the huge search space and find the global optimal. Most of the current researches focus on how to deal with decision variables. However, due to the large number of decision variables, it is easy to lead to high computational cost. Maintaining the diversity of the population is one of the effective ways to improve search efficiency. In this paper, we propose a probabilistic prediction model based on trend prediction model and generating-filtering strategy, called LT-PPM, to tackle the LSMOP. The proposed method enhances the diversity of the population through importance sampling. At the same time, due to the adoption of an individual-based evolution mechanism, the computational cost of the proposed method is independent of the number of decision variables, thus avoiding the problem of exponential growth of the search space. We compared the proposed algorithm with several state-of-the-art algorithms for different benchmark functions. The experimental results and complexity analysis have demonstrated that the proposed algorithm has significant improvement in terms of its performance and computational efficiency in large-scale multi-objective optimization.

This paper is concerned with the statistical analysis of matrix-valued time series. These are data collected over a network of sensors (typically a set of spatial locations), recording, over time, observations of multiple measurements. From such data, we propose to learn, in an online fashion, a graph that captures two aspects of dependency: one describing the sparse spatial relationship between sensors, and the other characterizing the measurement relationship. To this purpose, we introduce a novel multivariate autoregressive model to infer the graph topology encoded in the coefficient matrix which captures the sparse Granger causality dependency structure present in such matrix-valued time series. We decompose the graph by imposing a Kronecker sum structure on the coefficient matrix. We develop two online approaches to learn the graph in a recursive way. The first one uses Wald test for the projected OLS estimation, where we derive the asymptotic distribution for the estimator. For the second one, we formalize a Lasso-type optimization problem. We rely on homotopy algorithms to derive updating rules for estimating the coefficient matrix. Furthermore, we provide an adaptive tuning procedure for the regularization parameter. Numerical experiments using both synthetic and real data, are performed to support the effectiveness of the proposed learning approaches.

We consider learning an undirected graphical model from sparse data. While several efficient algorithms have been proposed for graphical lasso (GL), the alternating direction method of multipliers (ADMM) is the main approach taken concerning for joint graphical lasso (JGL). We propose proximal gradient procedures with and without a backtracking option for the JGL. These procedures are first-order and relatively simple, and the subproblems are solved efficiently in closed form. We further show the boundedness for the solution of the JGL problem and the iterations in the algorithms. The numerical results indicate that the proposed algorithms can achieve high accuracy and precision, and their efficiency is competitive with state-of-the-art algorithms.

The policy improvement bound on the difference of the discounted returns plays a crucial role in the theoretical justification of the trust-region policy optimization (TRPO) algorithm. The existing bound leads to a degenerate bound when the discount factor approaches one, making the applicability of TRPO and related algorithms questionable when the discount factor is close to one. We refine the results in \cite{Schulman2015, Achiam2017} and propose a novel bound that is "continuous" in the discount factor. In particular, our bound is applicable for MDPs with the long-run average rewards as well.