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A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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11 results for Lipschitzian

Paper introduces derivative-free optimization methods for deep learning model training.

problem Training deep learning models with gradient descent can get stuck in local optima.
method Bayesian methods and Lipschitzian approaches for global optimization.
result Improves deep learning model training by avoiding local optima.

We present αα-loss, α[1,]α\in [1,\infty], a tunable loss function for binary classification that bridges log-loss (α=1α=1) and 00-11 loss (α=α= \infty). We prove that αα-loss has an equivalent margin-based form and is classification-calibrated, two desirable properties for a good surrogate loss function for the ideal y…

2019-02-12abs ↗pdf ↗

We find a different approach to define convex functions in the sub-Riemannian setting. A function on a sub-Riemannian manifold is nonholonomically geodesic convex if its restriction to any nonholonomic (straightest) geodesic is convex. In the case of Carnot groups, this definition coincides with that by Danniell-Garofa…

2007-01-10abs ↗pdf ↗

Study introduces indecomposability for varifolds, leading to geometric consequences.

problem Understanding the structure of varifolds and their connectedness properties.
method Introducing indecomposability and related concepts for varifolds.
result Substantial geometric consequences derived from the connectedness properties of varifolds.

The metric jets, introduced in the first chapter, generalize the jets (at order one) of Charles Ehresmann. In short, for a "good" map ff (said to be "tangentiable" at aa), we define its metric jet tangent at aa (composed of all the maps which are locally lipschitzian at aa and tangent to ff at aa) called the "tan…

2009-12-05abs ↗pdf ↗

HALO uses local Lipschitz constants to optimize functions efficiently.

problem Efficiently solving global optimization problems with complex objective functions.
method Hybrid Adaptive Lipschizian Optimization (HALO) algorithm that estimates local Lipschitz constants and balances global and local information.
result HALO outperforms other global optimization algorithms on numerous test functions.

Study the averaging principle for non-autonomous slow-fast systems and apply it to financial local stochastic volatility models.

problem Understanding the behavior of non-autonomous slow-fast systems of stochastic differential equations.
method Prove the averaging principle under specific conditions and apply it to a financial model.
result Prices of derivatives converge to those calculated using the limit model under a risk-neutral measure.

Recently, based on the idea of randomizing space theory, random convex analysis has been being developed in order to deal with the corresponding problems in random environments such as analysis of conditional convex risk measures and the related variational problems and optimization problems. Random convex analysis is …

2016-03-23abs ↗pdf ↗