The universal approximation property of various machine learning models is currently only understood on a case-by-case basis, limiting the rapid development of new theoretically justified neural network architectures and blurring our understanding of our current models’ potential. This paper works towards overcoming these challenges by presenting a characterization, a representation, a construction method, and an existence result, each of which applies to any universal approximator on most function spaces of practical interest. Our characterization result is used to describe which activation functions allow the feed-forward architecture to maintain its universal approximation capabilities when multiple constraints are imposed on its final layers and its remaining layers are only sparsely connected. These include a rescaled and shifted Leaky ReLU activation function but not the ReLU activation function. Our construction and representation result is used to exhibit a simple modification of the feed-forward architecture, which can approximate any continuous function with non-pathological growth, uniformly on the entire Euclidean input space. This improves the known capabilities of the feed-forward architecture.
A regularization approach to model selection, within a generalized HJM framework, is introduced, which learns the closest arbitrage-free model to a prespecified factor model. This optimization problem is represented as the limit of a one-parameter family of computationally tractable penalized model selection tasks. General theoretical results are derived and then specialized to affine term-structure models where new types of arbitrage-free machine learning models for the forward-rate curve are estimated numerically and compared to classical short-rate and the dynamic Nelson-Siegel factor models.
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