Risk-sensitive Reinforcement Learning Based on Convex Scoring Functions

We propose a reinforcement learning (RL) framework under a broad class of risk objectives, characterized by convex scoring functions. This class covers many common risk measures, such as variance, Expected Shortfall, entropic Value-at-Risk, and mean-risk utility. To resolve the time-inconsistency issue, we consider an augmented state space and an auxiliary variable and recast the problem as a two-state optimization problem. We propose a customized Actor-Critic algorithm and establish some theoretical approximation guarantees. A key theoretical contribution is that our results do not require the Markov decision process to be continuous. Additionally, we propose an auxiliary variable sampling method inspired by the alternating minimization algorithm, which is convergent under certain conditions. We validate our approach in simulation experiments with a financial application in statistical arbitrage trading, demonstrating the effectiveness of the algorithm.

Multivariate Conformal Selection

Selecting high-quality candidates from large datasets is critical in applications such as drug discovery, precision medicine, and alignment of large language models (LLMs). While Conformal Selection (CS) provides rigorous uncertainty quantification, it is limited to univariate responses and scalar criteria. To address this issue, we propose Multivariate Conformal Selection (mCS), a generalization of CS designed for multivariate response settings. Our method introduces regional monotonicity and employs multivariate nonconformity scores to construct conformal p-values, enabling finite-sample False Discovery Rate (FDR) control. We present two variants: mCS-dist, using distance-based scores, and mCS-learn, which learns optimal scores via differentiable optimization. Experiments on simulated and real-world datasets demonstrate that mCS significantly improves selection power while maintaining FDR control, establishing it as a robust framework for multivariate selection tasks.

Towards Collaborative Anti-Money Laundering Among Financial Institutions

Money laundering is the process that intends to legalize the income derived from illicit activities, thus facilitating their entry into the monetary flow of the economy without jeopardizing their source. It is crucial to identify such activities accurately and reliably in order to enforce anti-money laundering (AML). Despite considerable efforts to AML, a large number of such activities still go undetected. Rule-based methods were first introduced and are still widely used in current detection systems. With the rise of machine learning, graph-based learning methods have gained prominence in detecting illicit accounts through the analysis of money transfer graphs. Nevertheless, these methods generally assume that the transaction graph is centralized, whereas in practice, money laundering activities usually span multiple financial institutions. Due to regulatory, legal, commercial, and customer privacy concerns, institutions tend not to share data, restricting their utility in practical usage. In this paper, we propose the first algorithm that supports performing AML over multiple institutions while protecting the security and privacy of local data. To evaluate, we construct Alipay-ECB, a real-world dataset comprising digital transactions from Alipay, the world's largest mobile payment platform, alongside transactions from E-Commerce Bank (ECB). The dataset includes over 200 million accounts and 300 million transactions, covering both intra-institution transactions and those between Alipay and ECB. This makes it the largest real-world transaction graph available for analysis. The experimental results demonstrate that our methods can effectively identify cross-institution money laundering subgroups. Additionally, experiments on synthetic datasets also demonstrate that our method is efficient, requiring only a few minutes on datasets with millions of transactions.

Toward an Automated, Proactive Safety Warning System Development for Truck Mounted Attenuators in Mobile Work Zones

Even though Truck Mounted Attenuators (TMA)/Autonomous Truck Mounted Attenuators (ATMA) and traffic control devices are increasingly used in mobile work zones to enhance safety, work zone collisions remain a significant safety concern in the United States. In Missouri, there were 63 TMA-related crashes in 2023, a 27% increase compared to 2022. Currently, all the signs in the mobile work zones are passive safety measures, relying on drivers' recognition and attention. Some distracted drivers may ignore these signs and warnings, raising safety concerns. In this study, we proposed an additional proactive warning system that could be applied to the TMA/ATMA to improve overall safety. A feasible solution has been demonstrated by integrating a Panoptic Driving Perception algorithm into the Robot Operating System (ROS) and applying it to the TMA/ATMA systems. This enables us to alert vehicles on a collision course with the TMA. Our experimental setup, currently conducted in a laboratory environment with two ROS robots and a desktop GPU, demonstrates the system's capability to calculate real-time distance and speed and activate warning signals. Leveraging ROS's distributed computing capabilities allows for flexible system deployment and cost reduction. In future field tests, by combining the stopping sight distance (SSD) standards from the AASHTO Green Book, the system enables real-time monitoring of oncoming vehicles and provides additional proactive warnings to enhance the safety of mobile work zones.

Feedback Favors the Generalization of Neural ODEs

The well-known generalization problem hinders the application of artificial neural networks in continuous-time prediction tasks with varying latent dynamics. In sharp contrast, biological systems can neatly adapt to evolving environments benefiting from real-time feedback mechanisms. Inspired by the feedback philosophy, we present feedback neural networks, showing that a feedback loop can flexibly correct the learned latent dynamics of neural ordinary differential equations (neural ODEs), leading to a prominent generalization improvement. The feedback neural network is a novel two-DOF neural network, which possesses robust performance in unseen scenarios with no loss of accuracy performance on previous tasks. A linear feedback form is presented to correct the learned latent dynamics firstly, with a convergence guarantee. Then, domain randomization is utilized to learn a nonlinear neural feedback form. Finally, extensive tests including trajectory prediction of a real irregular object and model predictive control of a quadrotor with various uncertainties, are implemented, indicating significant improvements over state-of-the-art model-based and learning-based methods.

Disturbance Observer for Estimating Coupled Disturbances

High-precision control for nonlinear systems is impeded by the low-fidelity dynamical model and external disturbance. Especially, the intricate coupling between internal uncertainty and external disturbance is usually difficult to be modeled explicitly. Here we show an effective and convergent algorithm enabling accurate estimation of the coupled disturbance via combining control and learning philosophies. Specifically, by resorting to Chebyshev series expansion, the coupled disturbance is firstly decomposed into an unknown parameter matrix and two known structures depending on system state and external disturbance respectively. A Regularized Least Squares (RLS) algorithm is subsequently formalized to learn the parameter matrix by using historical time-series data. Finally, a higher-order disturbance observer (HODO) is developed to achieve a high-precision estimation of the coupled disturbance by utilizing the learned portion. The efficiency of the proposed algorithm is evaluated through extensive simulations. We believe this work can offer a new option to merge learning schemes into the control framework for addressing existing intractable control problems.

Unified continuous-time q-learning for mean-field game and mean-field control problems

This paper studies the continuous-time q-learning in the mean-field jump-diffusion models from the representative agent's perspective. To overcome the challenge when the population distribution may not be directly observable, we introduce the integrated q-function in decoupled form (decoupled Iq-function) and establish its martingale characterization together with the value function, which provides a unified policy evaluation rule for both mean-field game (MFG) and mean-field control (MFC) problems. Moreover, depending on the task to solve the MFG or MFC problem, we can employ the decoupled Iq-function by different means to learn the mean-field equilibrium policy or the mean-field optimal policy respectively. As a result, we devise a unified q-learning algorithm for both MFG and MFC problems by utilizing all test policies stemming from the mean-field interactions. For several examples in the jump-diffusion setting, within and beyond the LQ framework, we can obtain the exact parameterization of the decoupled Iq-functions and the value functions, and illustrate our algorithm from the representative agent's perspective with satisfactory performance.

Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy

This paper studies continuous-time reinforcement learning for controlled jump-diffusion models by featuring the q-function (the continuous-time counterpart of Q-function) and the q-learning algorithms under the Tsallis entropy regularization. Contrary to the conventional Shannon entropy, the general form of Tsallis entropy renders the optimal policy not necessary a Gibbs measure, where some Lagrange multiplier and KKT multiplier naturally arise from certain constraints to ensure the learnt policy to be a probability distribution. As a consequence,the relationship between the optimal policy and the q-function also involves the Lagrange multiplier. In response, we establish the martingale characterization of the q-function under Tsallis entropy and devise two q-learning algorithms depending on whether the Lagrange multiplier can be derived explicitly or not. In the latter case, we need to consider different parameterizations of the q-function and the policy and update them alternatively. Finally, we examine two financial applications, namely an optimal portfolio liquidation problem and a non-LQ control problem. It is interesting to see therein that the optimal policies under the Tsallis entropy regularization can be characterized explicitly, which are distributions concentrate on some compact support. The satisfactory performance of our q-learning algorithm is illustrated in both examples.

QComp: A QSAR-Based Data Completion Framework for Drug Discovery

In drug discovery, in vitro and in vivo experiments reveal biochemical activities related to the efficacy and toxicity of compounds. The experimental data accumulate into massive, ever-evolving, and sparse datasets. Quantitative Structure-Activity Relationship (QSAR) models, which predict biochemical activities using only the structural information of compounds, face challenges in integrating the evolving experimental data as studies progress. We develop QSAR-Complete (QComp), a data completion framework to address this issue. Based on pre-existing QSAR models, QComp utilizes the correlation inherent in experimental data to enhance prediction accuracy across various tasks. Moreover, QComp emerges as a promising tool for guiding the optimal sequence of experiments by quantifying the reduction in statistical uncertainty for specific endpoints, thereby aiding in rational decision-making throughout the drug discovery process.

Application of 2D Homography for High Resolution Traffic Data Collection using CCTV Cameras

Traffic cameras remain the primary source data for surveillance activities such as congestion and incident monitoring. To date, State agencies continue to rely on manual effort to extract data from networked cameras due to limitations of the current automatic vision systems including requirements for complex camera calibration and inability to generate high resolution data. This study implements a three-stage video analytics framework for extracting high-resolution traffic data such vehicle counts, speed, and acceleration from infrastructure-mounted CCTV cameras. The key components of the framework include object recognition, perspective transformation, and vehicle trajectory reconstruction for traffic data collection. First, a state-of-the-art vehicle recognition model is implemented to detect and classify vehicles. Next, to correct for camera distortion and reduce partial occlusion, an algorithm inspired by two-point linear perspective is utilized to extracts the region of interest (ROI) automatically, while a 2D homography technique transforms the CCTV view to bird's-eye view (BEV). Cameras are calibrated with a two-layer matrix system to enable the extraction of speed and acceleration by converting image coordinates to real-world measurements. Individual vehicle trajectories are constructed and compared in BEV using two time-space-feature-based object trackers, namely Motpy and BYTETrack. The results of the current study showed about +/- 4.5% error rate for directional traffic counts, less than 10% MSE for speed bias between camera estimates in comparison to estimates from probe data sources. Extracting high-resolution data from traffic cameras has several implications, ranging from improvements in traffic management and identify dangerous driving behavior, high-risk areas for accidents, and other safety concerns, enabling proactive measures to reduce accidents and fatalities.