arXiv research

This paper solves the dual Minkowski problem for q-torsional rigidity.

Researchers prove uniqueness and continuity of solution to L_p dual Minkowski problem.

Solves a generalized dual Minkowski problem for specific values of q.

Dual martingales improve primal optimal stopping problem efficiency.

Study anisotropic inverse Gauss curvature flows and solve dual Orlicz Minkowski problems.

In this paper, the dual Orlicz curvature measure is proposed and its basic properties are provided. A variational formula for the dual Orlicz-quermassintegral is established in order to give a geometric interpretation of the dual Orlicz curvature measure. Based on the established variational formula, a solution to the …

Efficient algorithm solves best subset selection problem.

Paper solves dual Minkowski problem in 2D plane for specific curvature cases.

Optimizes subset selection in sparse learning problems.

We study projectively self-dual polygons and curves in the projective plane. Our results provide a partial answer to problem No 1994-17 in the book of Arnold's problems.

In this paper the dual Orlicz-Minkowski problem, a generalization of the $L_p$ dual Minkowski problem, is studied. By studying a flow involving the Gauss curvature and support function, we obtain a new existence result of solutions to this problem for smooth measures.

This paper discusses the numéraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her position in stock at the terminal time. We first observe the stability of the primal and dual value functions as well as the convergence of t…

We consider empirical risk minimization of linear predictors with convex loss functions. Such problems can be reformulated as convex-concave saddle point problems, and thus are well suitable for primal-dual first-order algorithms. However, primal-dual algorithms often require explicit strongly convex regularization in …

Study anisotropic flows without global terms and solve dual Orlicz Christoffel-Minkowski problems.

We introduce the dual isoperimetrix which solves the isoperimetric problem in the dual Brunn-Minkowski theory. We then show how the dual isoperimetrix is related to the isoperimetrix from the Brunn-Minkowski theory.

Derives stability for curvature measure near constant density, proving dual Minkowski problem solutions.

Paper offers a dual formulation for consumption problem with multiplicative habit.

Study investigates duality and dual optimizers for various transport problems.

Derives a primal-dual MLSVD formulation for multilinear data.

This work studies the strong duality of non-convex matrix factorization problems: we show that under certain dual conditions, these problems and its dual have the same optimum. This has been well understood for convex optimization, but little was known for non-convex problems. We propose a novel analytical framework an…

Given a convex optimization problem and its dual, there are many possible first-order algorithms. In this paper, we show the equivalence between mirror descent algorithms and algorithms generalizing the conditional gradient method. This is done through convex duality, and implies notably that for certain problems, such…

Previous studies on stochastic primal-dual algorithms for solving min-max problems with faster convergence heavily rely on the bilinear structure of the problem, which restricts their applicability to a narrowed range of problems. The main contribution of this paper is the design and analysis of new stochastic primal-d…

Smooth even solutions found for a generalized convex geometry problem.

Drago optimizes DRO problems with faster convergence.

Sketching techniques have become popular for scaling up machine learning algorithms by reducing the sample size or dimensionality of massive data sets, while still maintaining the statistical power of big data. In this paper, we study sketching from an optimization point of view: we first show that the iterative Hessia…

The general volume of a star body, a notion that includes the usual volume, the $q$th dual volumes, and many previous types of dual mixed volumes, is introduced. A corresponding new general dual Orlicz curvature measure is defined that specializes to the $(p,q)$-dual curvature measures introduced recently by Lutwak, Ya…

Study confirms the uniqueness of the unit sphere for a specific geometric problem.

In this paper, we study a constrained utility maximization problem following the convex duality approach. After formulating the primal and dual problems, we construct the necessary and sufficient conditions for both the primal and dual problems in terms of FBSDEs plus additional conditions. Such formulation then allows…

In the present paper, the primal-dual problem consisting of the investment risk minimization problem and the expected return maximization problem in the mean-variance model is discussed using replica analysis. As a natural extension of the investment risk minimization problem under only a budget constraint that we anal…

Paper estimates diameter for Minkowski problem solutions.

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints…

The classical duality theory of Kantorovich and Kellerer for the classical optimal transport is generalized to an abstract framework and a characterization of the dual elements is provided. This abstract generalization is set in a Banach lattice $\cal{X}$ with a order unit. The primal problem is given as the supremum o…

This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin utility, duality between the primal and dual problems is established. Consequently the optimal strategy of the consumption and investment proble…

The dual problem of optimal transportation in Lorentz-Finsler geometry is studied. It is shown that in general no solution exists even in the presence of an optimal coupling. Under natural assumptions dual solutions are established. It is further shown that the existence of a dual solution implies that the optimal tran…

Researchers develop Orlov-Schulman symmetries for self-dual conformal structures.

Geometric framework for inverse problems using foliations and dual connections.

We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a numéra…

We develop a primal dual active set with continuation algorithm for solving the \ell^0-regularized least-squares problem that frequently arises in compressed sensing. The algorithm couples the the primal dual active set method with a continuation strategy on the regularization parameter. At each inner iteration, it fir…

The paper extends NUP representations to factor graphs for better estimation.

The dual $L_p$-Minkowski problem with $p<0<q$ is investigated in this paper. By proving a new existence result of solutions and constructing an example, we obtain the non-uniqueness of solutions to this problem.

The dual Minkowski problem for even data asks what are the necessary and sufficient conditions on an even prescribed measure on the unit sphere for it to be the $q$-th dual curvature measure of an origin-symmetric convex body in $\mathbb{R}^n$. A full solution to this is given when $1 < q < n$. The necessary and suffic…

Unified algorithm solves convex optimization problems with optimal rates.

We study regularity properties of the dynamic value functions of primal and dual problems of optimal investing for utility functions defined on the whole real line. Relations between decomposition terms of value processes of primal and dual problems and between optimal solutions of basic and conditional utility maximiz…

PURE-CD algorithm proves complexity bounds for convex-concave problems.

In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a fully nonlinear partial differential equation. Using the dual control method, we der…

We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the shortfall minimization p…

Unified Minkowski problem discussed for (p,q)-mixed quermassintegrals.

Paper proposes a novel metric learning algorithm using Riemannian optimization.