arXiv research

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

We show that the graph TQFT for Heegaard Floer homology satisfies a strong version of Atiyah's duality axiom for a TQFT. As an application, we compute some Heegaard Floer mixed invariants of 4-dimensional mapping tori in terms of Lefschetz numbers on $HF^+$.

We show that the self-duality defined in [Trautman, Int.J.Theor.Phys.,{\bf 16},561 (1977)] is equivalent to strong self-duality defined in [Bilge, Dereli and Kocak, Lett.Math.Phys., {\bf 36}, 301-309, (1996)] and we obtain an upper bound on $\int (p_2)^{n}$, where $p_2$ is the second Pontrjagin class of an $SO(N)$ bund…

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…

Extending previous work that involved D3-branes ending on a fivebrane with $θ_{\mathrm{YM}}\not=0$, we consider a similar two-sided problem. This construction, in case the fivebrane is of NS type, is associated to the three-dimensional Chern-Simons theory of a supergroup U$(m|n)$ or OSp$(m|2n)$ rather than an ordinary …

In this paper we generalize the framework of the feasible descent method (FDM) to a randomized (R-FDM) and a coordinate-wise random feasible descent method (RC-FDM) framework. We show that the famous SDCA algorithm for optimizing the SVM dual problem, or the stochastic coordinate descent method for the LASSO problem, f…

We consider the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of payoffs that includes American, Asian, Bermudan, and European options with intermediate m…

We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our primal problem, is a constrained stochastic optimization problem. We derive a du…

We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability space and finite-horizon discrete time steps. This framework allows us to compare v…

Paper relaxes the Lipschitz constraint in WGANs to improve performance.

We solve optimal consumption in a market with bounded risk.

For portfolio optimisation under proportional transaction costs, we provide a duality theory for general cadlag price processes. In this setting, we prove the existence of a dual optimiser as well as a shadow price process in a generalised sense. This shadow price is defined via a "sandwiched" process consisting of a p…

Study collective pricing and hedging with admissible risk exchanges forming a finitely generated convex cone.

The paper explores criteria for positivity of forms and proves their strong positivity in specific cases.

A new screening rule 'dynamic Sasvi' improves sparse optimization speed.

New method reduces over-pessimism in Bayesian control under parameter uncertainty.

The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related to symmetry properties of both their ordinary as well as their stochastic logarithms. We provide a structure result for continuous quasi self…

Several recently proposed architectures of neural networks such as ResNeXt, Inception, Xception, SqueezeNet and Wide ResNet are based on the designing idea of having multiple branches and have demonstrated improved performance in many applications. We show that one cause for such success is due to the fact that the mul…

A new robust Wasserstein distance is proposed to handle outliers in probability distributions.

Study stability of contingent claim solutions under probabilistic perturbations.

Epoch gradient descent method (a.k.a. Epoch-GD) proposed by Hazan and Kale (2011) was deemed a breakthrough for stochastic strongly convex minimization, which achieves the optimal convergence rate of $O(1/T)$ with $T$ iterative updates for the {\it objective gap}. However, its extension to solving stochastic min-max pr…

Develops SGH bundles and theories for GC manifolds.

Our main objective is to demonstrate how homological perturbation theory (HPT) results over the last 40 years immediately or with little extra work give some of the Koszul duality results that have appeared in the last decade. Higher homotopies typically arise when a huge object, e. g. a chain complex defining various …

Study uncovers new phase transitions in asymmetric causal inference scenarios.

Recently the authors showed that there is a robust potential theory attached to any calibrated manifold (X,φ). In particular, on X there exist φ-plurisubharmonic functions, φ-convex domains, φ-convex boundaries, etc., all inter-related and having a number of good properties. In this paper we show that, in a strong sens…

Extends utility maximization theory for infinite horizons without strong no-arbitrage assumptions.

Develops algorithms for multi-class Neyman-Pearson classification with cost sensitivity.

A manifold (M,I,J,K) is called hypercomplex if I,J,K are complex structures satisfying quaternionic relations. A quaternionic Hermitian metric is called HKT (hyperkaehler with torsion) if $Idω_I = Jd ω_J=Kdω_K$, where $ω_I,ω_J, ω_K$ are Hermitian forms associated with I, J, K. A Hermitian metric $ω$ on a complex manifo…

Paper analyzes complexity of PSGLA for sampling log-concave distributions.

Proves Poincaré duality for Hopf algebroids with bijective antipode.

The twist construction is a geometric T-duality that produces new manifolds from old, works well with for example hypercomplex structures and is easily inverted. It tends to destroy properties such as the hyperKähler condition. On the other hand modifications preserve the hyperKähler property, but do not have an obviou…

New graph feedback model for bandits with improved regret bounds.

New proof of chain duality for simplicial complexes.

Introduces Kähler duality between domains in complex space.

Given an n-manifold M and an n-category C, we define a chain complex (the "blob complex") B_*(M;C). The blob complex can be thought of as a derived category analogue of the Hilbert space of a TQFT, and as a generalization of Hochschild homology to n-categories and n-manifolds. It enjoys a number of nice formal properti…

Factorization homology theories of topological manifolds, after Beilinson, Drinfeld and Lurie, are homology-type theories for topological $n$-manifolds whose coefficient systems are $n$-disk algebras or $n$-disk stacks. In this work we prove a precise formulation of this idea, giving an axiomatic characterization of fa…

Research on dualities in geometric stereotypes.

Duality restored in gauge theory, gravity, and string theory models.

Unified proof of four Bavard dualities and new results on quasimorphisms.

Verma Howe duality connects tensor products of Verma modules to LKB representations.

Cohomological and homological spectral sequences are shown to be isomorphic.

The paper establishes general results in Lorentzian optimal transport theory.

Revisits shallow neural networks using Lipschitz norms and measures.

Geometric framework for CFMMs simplifies many results.

In 1997, T. Cochran, K. Orr, and P. Teichner defined a filtration {F_n} of the classical knot concordance group C. The filtration is important because of its strong connection to the classification of topological 4-manifolds. Here we introduce new techniques for studying C and use them to prove that, for each natural n…

The paper proves T-duality and Hori formulae for winding loop spaces.

Equivariant T-duality connects bundles with twists.

We give the definition of a duality that is applicable to arbitrary $k$-forms. The operator that defines the duality depends on a fixed form $Ω$. Our definition extends in a very natural way the Hodge duality of $n$-forms in $2n$ dimensional spaces and the generalized duality of two-forms. We discuss the properties of …