Gihun Kim

Gihun Kim, Sun-Yong Choi, Yeoneung Kim

We propose a novel diffusion-based generative framework for financial time series that incorporates geometric Brownian motion (GBM), the foundation of the Black--Scholes theory, into the forward noising process. Unlike standard score-based models that treat price trajectories as generic numerical sequences, our method injects noise proportionally to asset prices at each time step, reflecting the heteroskedasticity observed in financial time series. By accurately balancing the drift and diffusion terms, we show that the resulting log-price process reduces to a variance-exploding stochastic differential equation, aligning with the formulation in score-based generative models. The reverse-time generative process is trained via denoising score matching using a Transformer-based architecture adapted from the Conditional Score-based Diffusion Imputation (CSDI) framework. Empirical evaluations on historical stock data demonstrate that our model reproduces key stylized facts heavy-tailed return distributions, volatility clustering, and the leverage effect more realistically than conventional diffusion models.

Jaeuk Shin, Astghik Hakobyan, Mingyu Park et al.

The successful operation of mobile robots requires them to adapt rapidly to environmental changes. To develop an adaptive decision-making tool for mobile robots, we propose a novel algorithm that combines meta-reinforcement learning (meta-RL) with model predictive control (MPC). Our method employs an off-policy meta-RL algorithm as a baseline to train a policy using transition samples generated by MPC when the robot detects certain events that can be effectively handled by MPC, with its explicit use of robot dynamics. The key idea of our method is to switch between the meta-learned policy and the MPC controller in a randomized and event-triggered fashion to make up for suboptimal MPC actions caused by the limited prediction horizon. During meta-testing, the MPC module is deactivated to significantly reduce computation time in motion control. We further propose an online adaptation scheme that enables the robot to infer and adapt to a new task within a single trajectory. The performance of our method has been demonstrated through simulations using a nonlinear car-like vehicle model with (i) synthetic movements of obstacles, and (ii) real-world pedestrian motion data. The simulation results indicate that our method outperforms other algorithms in terms of learning efficiency and navigation quality.