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.
Study MinMax methods for optimization problems, including optimal transport.
New method generates critical points for complex functionals.
A new algorithm improves GAN training stability and performance.
In this paper, we will study the existence problem of minmax minimal torus. We use classical conformal invariant geometric variational methods. We prove a theorem about the existence of minmax minimal torus in Theorem 5.1. Firstly we prove a strong uniformization result(Proposition 3.1) using method of [1]. Then we use…
We develop a general Minmax procedure in Euclidian spaces for constructing Willmore surfaces of non zero indices. We implement this procedure to the Willmore Minmax Sphere Eversion in the 3 dimensional euclidian space. We compute the cost of the Sphere eversion in terms of Willmore energies of Willmore Spheres in ${\R}…
We introduce a general scheme that permits to generate successive min-max problems for producing critical points of higher and higher indices to Palais-Smale Functionals in Banach manifolds equipped with Finsler structures. We call the resulting tree of minmax problems a minmax hierarchy. Using the viscosity approach t…
We introduce a new family of minmax rank aggregation problems under two distance measures, the Kendall τ and the Spearman footrule. As the problems are NP-hard, we proceed to describe a number of constant-approximation algorithms for solving them. We conclude with illustrative applications of the aggregation methods on…
Proves existence of a single-valued minimal hypersurface in compact manifolds.
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to take place at a finite number of occasions but not bounded in number nor necessari…
Estimates conditional mutual information using a minmax formulation.
New proof of minimal hypersurface existence in manifolds with positive Ricci curvature.
The study finds a continuous map achieving minmax area under Legendrian constraints.
Introduces self-regularization for analyzing learning algorithms.
We treat the so-called scenario approach, a popular probabilistic approximation method for robust minmax optimization problems via independent and indentically distributed (i.i.d) sampling from the uncertainty set, from various perspectives. The scenario approach is well-studied in the important case of convex robust o…
Gradient descent-ascent converges to strict local minmax equilibria with a finite timescale separation.
The study improves model selection by considering curvature in statistical manifolds.
Study on optimal rates for sequential probability assignment using smoothed analysis.
ADMM algorithm solves nonlinear matrix decompositions efficiently.
In a recent paper the author introduced a new method based on viscosity techniques for producing minimal surfaces by minmax arguments. The present work corresponds to the regularity part of the method. Precisely we establish that any weakly conformal map from a riemann surface into a closed oriented sub-m…
Bayesian adversaries can outsmart traditional adversarial attacks.
New theory for area of Legendrian surfaces, proving smoothness and variational results.
Generative adversarial networks (GANs) are a widely used framework for learning generative models. Wasserstein GANs (WGANs), one of the most successful variants of GANs, require solving a minmax optimization problem to global optimality, but are in practice successfully trained using stochastic gradient descent-ascent.…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a generalization that allows a limited notion of arbitrage in the market while still…
Characterizing the phase transitions of convex optimizations in recovering structured signals or data is of central importance in compressed sensing, machine learning and statistics. The phase transitions of many convex optimization signal recovery methods such as minimization and nuclear norm minimization are…
The paper improves the empirical bootstrap method for non-normal estimators.
Paper accelerates conformal prediction by using approximate leave-one-out estimators.
AAS optimizes neural network PDE approximations by adaptively sampling.
Despite being impactful on a variety of problems and applications, the generative adversarial nets (GANs) are remarkably difficult to train. This issue is formally analyzed by \cite{arjovsky2017towards}, who also propose an alternative direction to avoid the caveats in the minmax two-player training of GANs. The corres…
This work finds mixed equilibria in zero-sum games using interacting particle dynamics.
Stability of Morse index for Yang-Mills connections in 4D.
We study the stochastic multi-armed bandit problem in the case when the arm samples are dependent over time and generated from so-called weak $\cC$-mixing processes. We establish a $\cC-$Mix Improved UCB agorithm and provide both problem-dependent and independent regret analysis in two different scenarios. In the first…
We introduce a new method for estimating the support size of an unknown distribution which provably matches the performance bounds of the state-of-the-art techniques in the area and outperforms them in practice. In particular, we present both theoretical and computer simulation results that illustrate the utility and p…
We present the min-max construction of critical points of the area using penalization arguments. Precisely, for any immersion of a closed surface into a given closed manifold, we add to the area Lagrangian a term equal to the norm of the second fundamental form of the immersion times a "viscosity" parameter. …
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different financial underlyings is developed in this paper. Computing the differences of the relat…
A new method controls risk for set predictors using cross-validation.
Study analyzes symmetric two-armed Bernoulli bandit problem with zero mean gap.
While the objective in traditional multi-armed bandit problems is to find the arm with the highest mean, in many settings, finding an arm that best captures information about other arms is of interest. This objective, however, requires learning the underlying correlation structure and not just the means of the arms. Se…
The worst-case training principle that minimizes the maximal adversarial loss, also known as adversarial training (AT), has shown to be a state-of-the-art approach for enhancing adversarial robustness. Nevertheless, min-max optimization beyond the purpose of AT has not been rigorously explored in the adversarial contex…
Structure-preserving GANs learn distributions with group symmetry efficiently.
Proposes an adversarial algorithm to learn unbiased representations via HGR coefficient.
GANs can learn hierarchical distributions in real-world images efficiently.
iWGAN improves GANs by stabilizing training and preventing mode collapse.
We introduce a procedure for conditional density estimation under logarithmic loss, which we call SMP (Sample Minmax Predictor). This estimator minimizes a new general excess risk bound for statistical learning. On standard examples, this bound scales as with the model dimension and the sample size, and c…
Improved iterative methods for risk parity portfolio weights.
We describe a novel optimization method for finite sums (such as empirical risk minimization problems) building on the recently introduced SAGA method. Our method achieves an accelerated convergence rate on strongly convex smooth problems. Our method has only one parameter (a step size), and is radically simpler than o…
A new method combines Laplace and Variational Bayes for scalable inference.
Unified framework for model explanation methods based on feature removal.
This work reviews and evaluates methods for predicting prediction intervals in regression problems.