Author name cluster

Yan Leng

Possible papers associated with this exact author name in Arrow. This page groups case-insensitive exact name matches and is not a full identity disambiguation profile.

4 papers

2 author rows

NeurIPS Conference 2025 Conference Paper

Neural MJD: Neural Non-Stationary Merton Jump Diffusion for Time Series Prediction

Yuanpei Gao
Qi Yan
Yan Leng
Renjie Liao

While deep learning methods have achieved strong performance in time series prediction, their black-box nature and inability to explicitly model underlying stochastic processes often limit their robustness handling non-stationary data, especially in the presence of abrupt changes. In this work, we introduce Neural MJD, a neural network based non-stationary Merton jump diffusion (MJD) model. Our model explicitly formulates forecasting as a stochastic differential equation (SDE) simulation problem, combining a time-inhomogeneous Itô diffusion to capture non-stationary stochastic dynamics with a time-inhomogeneous compound Poisson process to model abrupt jumps. To enable tractable learning, we introduce a likelihood truncation mechanism that caps the number of jumps within small time intervals and provide a theoretical error bound for this approximation. Additionally, we propose an Euler-Maruyama with restart solver, which achieves a provably lower error bound in estimating expected states and reduced variance compared to the standard solver. Experiments on both synthetic and real-world datasets demonstrate that Neural MJD consistently outperforms state-of-the-art deep learning and statistical learning methods. Our code is available at https: //github. com/DSL-Lab/neural-MJD.

PDF Details

ICML Conference 2024 Conference Paper

Learning Latent Structures in Network Games via Data-Dependent Gated-Prior Graph Variational Autoencoders

Xue Yu
Muchen Li
Yan Leng
Renjie Liao 0001

In network games, individuals interact strategically within network environments to maximize their utilities. However, obtaining network structures is challenging. In this work, we propose an unsupervised learning model, called data-dependent gated-prior graph variational autoencoder (GPGVAE), that infers the underlying latent interaction type (strategic complement vs. substitute) among individuals and the latent network structure based on their observed actions. Specially, we propose a spectral graph neural network (GNN) based encoder to predict the interaction type and a data-dependent gated prior that models network structures conditioned on the interaction type. We further propose a Transformer based mixture of Bernoulli encoder of network structures and a GNN based decoder of game actions. We systematically study the Monte Carlo gradient estimation methods and effectively train our model in a stage-wise fashion. Extensive experiments across various synthetic and real-world network games demonstrate that our model achieves state-of-the-art performances in inferring network structures and well captures interaction types.

Details

ICML Conference 2022 Conference Paper

Learning to Infer Structures of Network Games

Emanuele Rossi 0001
Federico Monti
Yan Leng
Michael M. Bronstein
Xiaowen Dong 0001

Strategic interactions between a group of individuals or organisations can be modelled as games played on networks, where a player’s payoff depends not only on their actions but also on those of their neighbours. Inferring the network structure from observed game outcomes (equilibrium actions) is an important problem with numerous potential applications in economics and social sciences. Existing methods mostly require the knowledge of the utility function associated with the game, which is often unrealistic to obtain in real-world scenarios. We adopt a transformer-like architecture which correctly accounts for the symmetries of the problem and learns a mapping from the equilibrium actions to the network structure of the game without explicit knowledge of the utility function. We test our method on three different types of network games using both synthetic and real-world data, and demonstrate its effectiveness in network structure inference and superior performance over existing methods.

Details

ICML Conference 2020 Conference Paper

Learning Quadratic Games on Networks

Yan Leng
Xiaowen Dong 0001
Junfeng Wu 0001
Alex Pentland

Individuals, or organizations, cooperate with or compete against one another in a wide range of practical situations. Such strategic interactions are often modeled as games played on networks, where an individual’s payoff depends not only on her action but also on that of her neighbors. The current literature has largely focused on analyzing the characteristics of network games in the scenario where the structure of the network, which is represented by a graph, is known beforehand. It is often the case, however, that the actions of the players are readily observable while the underlying interaction network remains hidden. In this paper, we propose two novel frameworks for learning, from the observations on individual actions, network games with linear-quadratic payoffs, and in particular, the structure of the interaction network. Our frameworks are based on the Nash equilibrium of such games and involve solving a joint optimization problem for the graph structure and the individual marginal benefits. Both synthetic and real-world experiments demonstrate the effectiveness of the proposed frameworks, which have theoretical as well as practical implications for understanding strategic interactions in a network environment.

Details