SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
ISayMoo
Topic Author
Posts: 2205
Joined: September 30th, 2015, 8:30 pm

Machine Learning and the physical sciences

May 20th, 2019, 12:07 pm

https://arxiv.org/abs/1903.10563

A review. Tishby is a known ML researcher, I don't know the rest of the crew.
 
User avatar
Cuchulainn
Posts: 60457
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Machine Learning and the physical sciences

May 20th, 2019, 1:43 pm

A lot of text, pictures and references. Who is the target reader group?
Not much maths to chew on.. They use the well-known equation (!).Interesting that they mention Langevin dynamics but they don't delve into it. It would be nice to show how the two are related with the exception of a 3-line summary.

I like this style applied to a simple problem with a beginning, middle and end.

https://www.researchgate.net/publicatio ... l_equation


(Something completely different! Looking at the equations and the style of the lemmas, I just realise now that  I proposed the problems and lemmas way back in 1976..Blast from the past. Documented in my C++ 2004 book pages 132-138.Based on this simple ODE allowed to discover exponential fitting for PDEs and Black Scholes.)
http://www.datasimfinancial.com
http://www.datasim.nl

Approach your problem from the right end and begin with the answers. Then one day, perhaps you will find the final question..
R. van Gulik
 
User avatar
Cuchulainn
Posts: 60457
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Machine Learning and the physical sciences

May 21st, 2019, 6:44 pm

Here's a question.: what's the major difference between a Bayesian Netwiork and a Neural Network?
http://www.datasimfinancial.com
http://www.datasim.nl

Approach your problem from the right end and begin with the answers. Then one day, perhaps you will find the final question..
R. van Gulik
 
User avatar
katastrofa
Posts: 8488
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Machine Learning and the physical sciences

May 21st, 2019, 7:46 pm

Bayesian networks represent causal reasoning (see Pearl's DAGs), hence a much more complex problem than what's done with NNs. And no, they weren't developed by the ML community (the methods and dedicated libraries are much older - Metropolis–Hastings algorithm was what year?).
 
User avatar
mtsm
Posts: 351
Joined: July 28th, 2010, 1:40 pm

Re: Machine Learning and the physical sciences

May 21st, 2019, 8:30 pm

Looks like a very biased review by a bunch of people who assimilate the physical sciences as being condensed matter physics... Pretty much. There is a large number of fields forming part of physical sciences where I can see this sh!t being useful, too.

Did you mean a Bayesian network or a Bayesian neural network? They are not the same. 
 
User avatar
katastrofa
Posts: 8488
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Machine Learning and the physical sciences

May 21st, 2019, 9:01 pm

Can you see "neural" between "Bayesian" and "network" in his question?
 
User avatar
Cuchulainn
Posts: 60457
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Machine Learning and the physical sciences

May 21st, 2019, 9:18 pm


Did you mean a Bayesian network or a Bayesian neural network? They are not the same. 
No, And if they were the same one would be redundant.
I am a mathematician and I try to avoid redundant words. I'm sure someone has tried to glue NNs with a posterior but my hunch is that it is a nasty fix and has no theoretical foundations.

It's similar to called an initial value problem for an ODE a Cauchy problem (only for ODEs). ODEs always have initial or boundary conditions.I call it "title inflation"
A Cauchy problem in mathematics asks for the solution of a partial differential equation that satisfies certain conditions that are given on a hypersurface in the domain.

The big difference IMO is BNs use DAGs while NNs are flat as pancake. They can't hold paths. You can't fit much structure into GD. See Cauchy's original article.

https://www.math.uni-bielefeld.de/docum ... claude.pdf
Last edited by Cuchulainn on May 21st, 2019, 9:48 pm, edited 6 times in total.
http://www.datasimfinancial.com
http://www.datasim.nl

Approach your problem from the right end and begin with the answers. Then one day, perhaps you will find the final question..
R. van Gulik
 
User avatar
Cuchulainn
Posts: 60457
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Machine Learning and the physical sciences

May 21st, 2019, 9:36 pm

I would say that "Bayesian neural network" was coined by some anonymous blogger. People googled and started using the term? Then it starts to lead a life of its own.
http://www.datasimfinancial.com
http://www.datasim.nl

Approach your problem from the right end and begin with the answers. Then one day, perhaps you will find the final question..
R. van Gulik
 
User avatar
bearish
Posts: 5155
Joined: February 3rd, 2011, 2:19 pm

Re: Machine Learning and the physical sciences

May 22nd, 2019, 12:50 am

Bayesian networks represent causal reasoning (see Pearl's DAGs), hence a much more complex problem than what's done with NNs. And no, they weren't developed by the ML community (the methods and dedicated libraries are much older - Metropolis–Hastings algorithm was what year?).
Metropolis 1953, Hastings 1970.
 
User avatar
ISayMoo
Topic Author
Posts: 2205
Joined: September 30th, 2015, 8:30 pm

Re: Machine Learning and the physical sciences

May 22nd, 2019, 7:17 am

 
User avatar
katastrofa
Posts: 8488
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Machine Learning and the physical sciences

May 22nd, 2019, 3:14 pm

Bayesian networks represent causal reasoning (see Pearl's DAGs), hence a much more complex problem than what's done with NNs. And no, they weren't developed by the ML community (the methods and dedicated libraries are much older - Metropolis–Hastings algorithm was what year?).
Metropolis 1953, Hastings 1970.
Thank you, Professar Bearish! I was being rhetorically lazy :-)
 
User avatar
Cuchulainn
Posts: 60457
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Machine Learning and the physical sciences

May 22nd, 2019, 4:34 pm

Is MH a special case of MCMC? "Constructors" for BNs?
http://www.datasimfinancial.com
http://www.datasim.nl

Approach your problem from the right end and begin with the answers. Then one day, perhaps you will find the final question..
R. van Gulik
 
User avatar
katastrofa
Posts: 8488
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Machine Learning and the physical sciences

May 22nd, 2019, 11:46 pm

It's a type of an MCMC method / an implementation of an MCMC algorithm(?). Those methods are simple and straightforward.
 
User avatar
mtsm
Posts: 351
Joined: July 28th, 2010, 1:40 pm

Re: Machine Learning and the physical sciences

May 23rd, 2019, 1:42 pm

You're not a mathematician cuch, you're some kind of engineer. You're the guy with the wrench and the duct tape...

You need to do some googling about Bayesian neural nets also...
 
User avatar
Cuchulainn
Posts: 60457
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Machine Learning and the physical sciences

May 23rd, 2019, 3:19 pm

Small dogs bark the loudest. No wonder everyone ignores you. Why don't you say something righteous and hopeful for a change?
http://www.datasimfinancial.com
http://www.datasim.nl

Approach your problem from the right end and begin with the answers. Then one day, perhaps you will find the final question..
R. van Gulik
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On