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 Optimization


FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management

arXiv.org Artificial Intelligence

Transaction costs and regime shifts are major reasons why paper portfolios fail in live trading. We introduce FR-LUX (Friction-aware, Regime-conditioned Learning under eXecution costs), a reinforcement learning framework that learns after-cost trading policies and remains robust across volatility-liquidity regimes. FR-LUX integrates three ingredients: (i) a microstructure-consistent execution model combining proportional and impact costs, directly embedded in the reward; (ii) a trade-space trust region that constrains changes in inventory flow rather than logits, yielding stable low-turnover updates; and (iii) explicit regime conditioning so the policy specializes to LL/LH/HL/HH states without fragmenting the data. On a 4 x 5 grid of regimes and cost levels with multiple random seeds, FR-LUX achieves the top average Sharpe ratio with narrow bootstrap confidence intervals, maintains a flatter cost-performance slope than strong baselines, and attains superior risk-return efficiency for a given turnover budget. Pairwise scenario-level improvements are strictly positive and remain statistically significant after multiple-testing corrections. We provide formal guarantees on optimality under convex frictions, monotonic improvement under a KL trust region, long-run turnover bounds and induced inaction bands due to proportional costs, positive value advantage for regime-conditioned policies, and robustness to cost misspecification. The methodology is implementable: costs are calibrated from standard liquidity proxies, scenario-level inference avoids pseudo-replication, and all figures and tables are reproducible from released artifacts.


Delay-Tolerant Augmented-Consensus-based Distributed Directed Optimization

arXiv.org Artificial Intelligence

Distributed optimization finds applications in large-scale machine learning, data processing and classification over multi-agent networks. In real-world scenarios, the communication network of agents may encounter latency that may affect the convergence of the optimization protocol. This paper addresses the case where the information exchange among the agents (computing nodes) over data-transmission channels (links) might be subject to communication time-delays, which is not well addressed in the existing literature. Our proposed algorithm improves the state-of-the-art by handling heterogeneous and arbitrary but bounded and fixed (time-invariant) delays over general strongly-connected directed networks. Arguments from matrix theory, algebraic graph theory, and augmented consensus formulation are applied to prove the convergence to the optimal value. Simulations are provided to verify the results and compare the performance with some existing delay-free algorithms.


Mitigating Spurious Correlation via Distributionally Robust Learning with Hierarchical Ambiguity Sets

arXiv.org Artificial Intelligence

Conventional supervised learning methods are often vulnerable to spurious correlations, particularly under distribution shifts in test data. To address this issue, several approaches, most notably Group DRO, have been developed. While these methods are highly robust to subpopulation or group shifts, they remain vulnerable to intra-group distributional shifts, which frequently occur in minority groups with limited samples. We propose a hierarchical extension of Group DRO that addresses both inter-group and intra-group uncertainties, providing robustness to distribution shifts at multiple levels. We also introduce new benchmark settings that simulate realistic minority group distribution shifts-an important yet previously underexplored challenge in spurious correlation research. Our method demonstrates strong robustness under these conditions-where existing robust learning methods consistently fail-while also achieving superior performance on standard benchmarks. These results highlight the importance of broadening the ambiguity set to better capture both inter-group and intra-group distributional uncertainties.


OptunaHub: A Platform for Black-Box Optimization

arXiv.org Artificial Intelligence

Black-box optimization (BBO) drives advances in domains such as AutoML and Materials Informatics, yet research efforts often remain fragmented across domains. We introduce OptunaHub (https://hub.optuna.org/), a community platform that centralizes BBO methods and benchmarks. OptunaHub provides unified Python APIs, a contributor package registry, and a web interface to promote searchability and cross-domain research. OptunaHub aims to foster a virtuous cycle of contributions and applications. The source code is publicly available in the optunahub, optunahub-registry, and optunahub-web repositories under the Optuna organization on GitHub (https://github.com/optuna/).


Decoupling Geometry from Optimization in 2D Irregular Cutting and Packing Problems: an Open-Source Collision Detection Engine

arXiv.org Artificial Intelligence

Addressing irregular cutting and packing (C&P) optimization problems poses two distinct challenges: the geometric challenge of determining whether or not an item can be placed feasibly at a certain position, and the optimization challenge of finding a good solution according to some objective function. Until now, those tackling such problems have had to address both challenges simultaneously, requiring two distinct sets of expertise and a lot of research & development effort. One way to lower this barrier is to decouple the two challenges. In this paper we introduce a powerful collision detection engine (CDE) for 2D irregular C&P problems which assumes full responsibility for the geometric challenge. The CDE (i) allows users to focus with full confidence on their optimization challenge by abstracting geometry away and (ii) enables independent advances to propagate to all optimization algorithms built atop it. We present a set of core principles and design philosophies to model a general and adaptable CDE focused on maximizing performance, accuracy and robustness. These principles are accompanied by a concrete open-source implementation called jagua-rs. This paper together with its implementation serves as a catalyst for future advances in irregular C&P problems by providing a solid foundation which can either be used as it currently exists or be further improved upon. Funding: This research was supported by the Research Foundation -- Flanders (FWO) under grant number 1S71222N and K804824N.


EvoSpeak: Large Language Models for Interpretable Genetic Programming-Evolved Heuristics

arXiv.org Artificial Intelligence

Abstract--Genetic programming (GP) has demonstrated strong effectiveness in evolving tree-structured heuristics for complex optimization problems. Y et, in dynamic and large-scale scenarios, the most effective heuristics are often highly complex, hindering interpretability, slowing convergence, and limiting transferability across tasks. T o address these challenges, we present EvoSpeak, a novel framework that integrates GP with large language models (LLMs) to enhance the efficiency, transparency, and adaptability of heuristic evolution. EvoSpeak learns from high-quality GP heuristics, extracts knowledge, and leverages this knowledge to (i) generate warm-start populations that accelerate convergence, (ii) translate opaque GP trees into concise natural-language explanations that foster interpretability and trust, and (iii) enable knowledge transfer and preference-aware heuristic generation across related tasks. We verify the effectiveness of EvoSpeak through extensive experiments on dynamic flexible job shop scheduling (DFJSS), under both single-and multi-objective formulations. The results demonstrate that EvoSpeak produces more effective heuristics, improves evolutionary efficiency, and delivers human-readable reports that enhance usability. EURISTICS are indispensable tools for solving complex decision-making and optimization problems, with applications spanning scheduling [1], routing [2], and resource allocation [3]. They are designed to provide adaptive, domain-specific solutions that balance solution quality and computational efficiency, enabling practitioners to make near-optimal decisions in real time. Among the diverse methodologies for heuristic design, Genetic Programming (GP) [4] has emerged as a particularly powerful paradigm, capable of evolving interpretable symbolic rules that adapt to different problem structures [5]. GP-generated heuristics often rival, and sometimes surpass, learning-based methods such as neural combinatorial optimization [6], especially in terms of transparency and adaptability. Meng Xu is with the Singapore Institute of Manufacturing Technology, Agency for Science, Technology and Research, Singapore (e-mail: xu_meng@simtech.a-star.edu.sg). Jiao Liu is with the College of Computing & Data Science, Nanyang Technological University, Singapore (e-mail: jiao.liu@ntu.edu.sg). Y ew Soon Ong is with the College of Computing and Data Science, Nanyang Technological University, and the Centre for Frontier AI Research, Institute of High Performance Computing, Agency for Science, Technology and Research, Singapore (e-mail: asysong@ntu.edu.sg). Despite these advantages, the practical deployment of GPevolved heuristics faces two persistent challenges: complexity and transferability.




443cb001c138b2561a0d90720d6ce111-Reviews.html

Neural Information Processing Systems

First provide a summary of the paper, and then address the following criteria: Quality, clarity, originality and significance. This paper proposes several approaches to sample from a Gibbs distribution over a discrete space by solving randomly perturbed combinatorial optimization problems (MAP inference) over the same space. The starting point is a known result [5] that allows to do sampling (in principle, using high dimensional perturbations with exponential complexity) by solving a single optimization problem. In this paper they propose to 1) use more efficient low-dimensional random perturbations to do approximate sampling (with probabilistic accuracy guarantees on tree structured models) 2) estimate (conditional) marginals using ratios of partition function estimates, and sequentially sample variables. They propose a clever rejection strategy based on self reduction that guarantees unbiasedness of the samples.