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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.

168,932 papers · 148 categories

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48 results for convex envelope

This work uses Lasry-Lions envelopes to solve nonconvex optimization problems.

problem Nonconvex and nonsmooth terms in optimization problems.
method Develops a homotopy approach using Lasry-Lions envelopes to approximate and solve the original problem.
result The method can solve composite minimization problems and is more effective than classical alternatives in certain domains.

We give a global description of envelopes of geodesic tangents of regular curves in (not necessarily convex) Riemannian surfaces. We prove that such an envelope is the union of the curve itself, its inflectional geodesics and its tangential caustics (formed by the conjugate points to those of the initial curve along th…

2004-11-19abs ↗pdf ↗

Study cash-subadditive risk measures without quasi-convexity.

problem Cash subadditivity without quasi-convexity.
method Represent cash-subadditive risk measures as lower envelopes of quasi-convex measures and introduce quasi-star-shapedness.
result General cash-subadditive risk measures can be represented as lower envelopes of quasi-convex measures.

New Langevin Monte Carlo algorithms for sampling from nonsmooth distributions.

problem Sampling from distributions with nonsmooth convex composite potentials.
method Leveraging Bregman--Moreau envelopes and proximal operators in mirror descent.
result Efficiency in sampling from nonsmooth distributions, extending existing methods.

In this paper we develop proximal methods for statistical learning. Proximal point algorithms are useful in statistics and machine learning for obtaining optimization solutions for composite functions. Our approach exploits closed-form solutions of proximal operators and envelope representations based on the Moreau, Fo…

2015-02-11abs ↗pdf ↗

The study explores vector flows on manifolds, focusing on polynomial constraints and equivalence relations.

problem Understanding vector flows on compact manifolds with constraints on tangency patterns.
method Introduces equivalence relations (quasitopy) and computes spaces of polynomials with constrained divisors.
result Quasitopy classes stabilize as the degree of polynomials increases.

The paper explores non-convex risk measures and their characterizations.

problem Characterizing non-convex risk measures without convexity or weak convexity.
method Characterizes monetary risk measures as lower envelopes of families of convex or coherent risk measures, considering law-invariance and SSD-consistency.
result Unified representation theorems for law-invariant risk measures, including VaR.

New algorithm solves complex non-convex problems efficiently.

problem Non-smooth non-convex problems with weakly convex and strongly concave components.
method Stochastic Moreau envelope approximate gradient method (SMAG).
result First single-loop algorithm with state-of-the-art convergence rate.

Adaptive algorithm AMSGrad converges for weakly convex constrained optimization problems.

problem Solving constrained stochastic optimization problems with weakly convex objectives.
method Analysis of AMSGrad algorithm for a specific class of problems.
result AMSGrad achieves a convergence rate of ildeO(t1/4)\mathcal{ ilde O}(t^{-1/4}) for the norm of the gradient of the Moreau envelope.

Characterizes dropout's regularizer in deep linear networks.

problem Understanding dropout's regularization effect in deep learning.
method Formal characterization of dropout's regularizer, showing it is composed of an 2\ell_2-path regularizer and the squared nuclear norm.
result For large dropout rates, the global optima of the dropout objective can be characterized.

This paper generalizes the envelope of mid-lines to intermediate lines for a plane curve.

problem Understanding the envelope of intermediate lines for a plane curve.
method Using singularity theory techniques to analyze the local behavior of the envelope of intermediate lines.
result The envelope of intermediate lines (EILEIL) is formed by three disconnected sets: AEIL, the curve itself, and IPTL.

The problem of low-rank approximation with convex constraints, which appears in data analysis, system identification, model order reduction, low-order controller design and low-complexity modelling is considered. Given a matrix, the objective is to find a low-rank approximation that meets rank and convex constraints, w…

2016-06-06abs ↗pdf ↗

A distributed subgradient method tackles non-convex optimization problems in networks.

problem Solving non-convex optimization problems in distributed networks.
method Proposes a distributed stochastic subgradient method (stoDPSM) with theoretical guarantees.
result Global convergence of stoDPSM using Moreau envelope stationarity measure, and linear convergence under sharpness condition.

pFedMe uses Moreau envelopes to improve personalized FL performance.

problem Statistical diversity among clients limits FL performance.
method pFedMe employs Moreau envelopes as clients' regularized loss functions in a bi-level optimization problem.
result pFedMe achieves state-of-the-art convergence rates and superior empirical performance.

Let G be a complex semisimple Lie group, K a maximal compact subgroup and V an irreducible representation of K. Denote by M the unique closed orbit of G in P(V) and by O its image via the moment map. For any measure on M we construct a map from the Satake compactification of G/K (associated to V) to the Lie algebra of …

2010-03-13abs ↗pdf ↗

The paper studies dynamic star-shaped risk measures and their representation.

problem Representing dynamic star-shaped risk measures and their properties.
method Representation theorems for dynamic monetary and star-shaped risk measures.
result Dynamic star-shaped risk measures can be represented as the lower envelope of a family of dynamic convex risk measures.

Sparse methods for supervised learning aim at finding good linear predictors from as few variables as possible, i.e., with small cardinality of their supports. This combinatorial selection problem is often turned into a convex optimization problem by replacing the cardinality function by its convex envelope (tightest c…

2010-08-25abs ↗pdf ↗

This paper is concerned with the MAXVAR risk measure on L^2 space. We present an elementary and direct proof of its coherency and averseness. Based on the observation that the MAXVAR measure is a continuous convex combination of the CVaR measure, we provide an explicit formula for the risk envelope of MAXVAR.

2017-03-31abs ↗pdf ↗

New convergence rates found for PnP methods using MMSE denoisers.

problem Asymptotic convergence of PnP methods with MMSE denoisers.
method Explicitly represented MMSE denoiser as an upper Moreau envelope, derived sublinear convergence rates.
result First sublinear convergence guarantee for PnP proximal gradient descent with MMSE denoiser.

The conjugate locus of a point on a surface is the envelope of geodesics emanating radially from that point. In this paper we show that the conjugate loci of generic points on convex surfaces satisfy a simple relationship between the rotation index and the number of cusps. As a consequence we prove the `vierspitzensatz…

2018-06-01abs ↗pdf ↗

Improves regression efficiency by separating material and immaterial parts of responses.

problem Improving estimation efficiency in nonlinear multivariate regressions.
method Kernel envelope (KENV) estimator for nonparametric response envelopes in reproducing kernel Hilbert space.
result KENV achieves lower in-sample prediction risk than kernel ridge regression in non-trivial immaterial components.

The paper tackles finding stationary points in stochastic convex optimization problems.

problem Finding stationary points for stochastic convex optimization problems.
method The approach relies on dimension theory to decompose the graph of the subdifferential of a convex function, showing how stochastic sampling preserves 'pieces' of these graphs, and allowing effective application of proximal-point-like methods.
result The paper provides convergence guarantees for finding stationary points in stochastic convex optimization problems.

Given a collection of data points, non-negative matrix factorization (NMF) suggests to express them as convex combinations of a small set of `archetypes' with non-negative entries. This decomposition is unique only if the true archetypes are non-negative and sufficiently sparse (or the weights are sufficiently sparse),…

2017-05-08abs ↗pdf ↗

New method for operating envelope identifies key performance indicators without arbitrary binning.

problem Accurate identification of operating envelope for optimal KPIs.
method Regularized GA algorithm with interpretability and implementability constraints.
result Validated through simulations and real-world application in mining.

The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is characterized by the upper Snell envelope. The infimum of the arbitrage free prices is characterized by the lower Snell envelope. In this paper we …

2009-02-24abs ↗pdf ↗

This paper explores geometric insights into discrete R-congruences and their envelopes.

problem Understanding the ambiguity in discrete R-congruences and their envelopes.
method Analyzes discrete R-congruences that are enveloped by specific types of surfaces and maps.
result Discovers a 2-parameter family of discrete enveloping surfaces for discrete R-congruences.

Consider a number of workers running SGD independently on the same pool of data and averaging the models every once in a while -- a common but not well understood practice. We study model averaging as a variance-reducing mechanism and describe two ways in which the frequency of averaging affects convergence. For convex…

2016-06-23abs ↗pdf ↗

Extends orbital integral evaluation to center of enveloping algebra.

problem Evaluate semisimple orbital integrals for arbitrary elements in the center of the enveloping algebra.
method Explicit geometric evaluation of Casimir operator to arbitrary elements in the center of the enveloping algebra.
result Extension of orbital integral evaluation to center of enveloping algebra.

Study on Laplacian determinant in isosceles triangles, finding equilateral triangle minimizes determinant.

problem Finding the minimum of the spectral determinant on isosceles triangles.
method Analyzing the determinant of the Laplacian on Euclidean isosceles triangle envelopes of fixed area.
result Equilateral triangle envelope minimizes the determinant of the Laplacian.

Enhances neural network robustness with polyhedral envelope regularization.

problem Improving neural network robustness against adversarial attacks.
method Introduces polyhedral envelope regularization to bound the robustness region.
result Demonstrates improved robustness guarantees with minimal computational overhead.

We make a systematic study of (quasi-)plurisubharmonic envelopes on compact Kähler manifolds, as well as on domains of Cn\mathbb{C}^n, by using and extending an approximation process due to Berman [Ber13]. We show that the quasi-psh envelope of a viscosity super-solution is a pluripotential super-solution of a given co…

2017-03-15abs ↗pdf ↗

Recently the authors have explored new concepts of plurisubharmonicity and pseudoconvexity, with much of the attendant analysis, in the context of calibrated manifolds. Here a much broader extension is made. This development covers a wide variety of geometric situations, including, for example, Lagrangian plurisubhamon…

2008-04-08abs ↗pdf ↗