← 研踪 PaperTrailarXiv:2611.16484 · v1
TAPES: Terminal Adjoint-Propagated Error Scheduling for Financial Diffusion Samplers
首次提交 2026-11-12 16:53
版本更新 2026-11-12 16:53
雷达观测 2026-11-13 14:15
摘要
Financial diffusion samplers are often reused with a small number of function evaluations (NFE) inside scenario and risk pipelines, where numerical time-grid error can distort terminal quantities such as covariances, tails, and drawdown proxies. We study offline grid construction for a frozen probability-flow ODE: the score network, conditioning, Euler solver, report normalization, and deployment NFE remain fixed. TAPES (Terminal Adjoint-Propagated Error Scheduling) estimates signed local defects by Richardson comparisons, transports them through the remaining discrete flow and a terminal-report adjoint, and optimizes the squared norm of their sum before a capped direct refinement. We show that this transported signed sum is the first-order terminal-report error and quantify, under an aligned-defect model, the inefficiency of diagonal criteria. Across six budgets on a regime-switching simulation and chronologically held-out Mag7 contexts, TAPES gives the lowest design- and audit-report errors in all 24 dataset--budget--report rows within the reported five-pipeline panel. Cross-budget mean relative audit-error reductions are about 10--11% on Regime-SV and about 1% on Mag7, with Bonferroni intervals excluding zero; all displayed winners persist under a doubled-resolution reference, and a small Regime-SV Heun probe preserves the TAPES-first audit ordering. TAPES changes only the offline schedule and retains the prescribed deployment NFE; claims concern numerical fidelity to frozen generators.
作者备注：9 pages. Accepted at the 7th ACM International Conference on AI in Finance (ICAIF 2026)
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v1 · 2026-11-12 16:53 · 最新观测版本
TAPES: Terminal Adjoint-Propagated Error Scheduling for Financial Diffusion Samplers
Financial diffusion samplers are often reused with a small number of function evaluations (NFE) inside scenario and risk pipelines, where numerical time-grid error can distort terminal quantities such as covariances, tails, and drawdown proxies. We study offline grid construction for a frozen probability-flow ODE: the score network, conditioning, Euler solver, report normalization, and deployment NFE remain fixed. TAPES (Terminal Adjoint-Propagated Error Scheduling) estimates signed local defects by Richardson comparisons, transports them through the remaining discrete flow and a terminal-report adjoint, and optimizes the squared norm of their sum before a capped direct refinement. We show that this transported signed sum is the first-order terminal-report error and quantify, under an aligned-defect model, the inefficiency of diagonal criteria. Across six budgets on a regime-switching simulation and chronologically held-out Mag7 contexts, TAPES gives the lowest design- and audit-report errors in all 24 dataset--budget--report rows within the reported five-pipeline panel. Cross-budget mean relative audit-error reductions are about 10--11% on Regime-SV and about 1% on Mag7, with Bonferroni intervals excluding zero; all displayed winners persist under a doubled-resolution reference, and a small Regime-SV Heun probe preserves the TAPES-first audit ordering. TAPES changes only the offline schedule and retains the prescribed deployment NFE; claims concern numerical fidelity to frozen generators.
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