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.
We propose a robust elastic net (REN) model for high-dimensional sparse regression and give its performance guarantees (both the statistical error bound and the optimization bound). A simple idea of trimming the inner product is applied to the elastic net model. Specifically, we robustify the covariance matrix by trimm…
Study online pricing with contextual elasticity and heteroscedastic valuation.
problem Online contextual dynamic pricing with customer decision based on features and price.
method Introduced a novel approach to modeling customer demand with feature-based price elasticity and heteroscedastic noise. Proposed an efficient algorithm called Pricing with Perturbation (PwP).
result Proved an O(dTlogT) regret bound for the algorithm, matching a lower bound of Ω(dT).
The elastic energy functional of a thin elastic rod or sheet is generalized to the case of an M-dimensional manifold in N-dimensional space. We derive potentials for the stress field and curvatures and find the generalized von Karman equations for a manifold in elastic equilibrium. We perform a scaling analysis of an M…
A fast method estimates group-adaptive elastic net penalties using co-data.
problem Computational inefficiency in estimating group-adaptive elastic net penalties.
method Derive low-dimensional representation of Taylor approximation for marginal likelihood and its derivative for group-adaptive ridge penalties; approximate elastic net marginal likelihood by ridge; transform ridge penalties to elastic net penalties.
result Significantly decreases computation time and outperforms other methods.
In this paper we study a class of Riemannian metrics on the space of unparametrized curves and develop a method to compute geodesics with given boundary conditions. It extends previous works on this topic in several important ways. The model and resulting matching algorithm integrate within one common setting both the …
The aim of this paper is to find an optimal matching between manifold-valued curves, and thereby adequately compare their shapes, seen as equivalent classes with respect to the action of reparameterization. Using a canonical decomposition of a path in a principal bundle, we introduce a simple algorithm that finds an op…
In the shape analysis approach to computer vision problems, one treats shapes as points in an infinite-dimensional Riemannian manifold, thereby facilitating algorithms for statistical calculations such as geodesic distance between shapes and averaging of a collection of shapes. The performance of these algorithms depen…
Motivated by the problem of finding an explicit description of a developable narrow Moebius strip of minimal bending energy, which was first formulated by M. Sadowsky in 1930, we will develop the theory of elastic strips. Recently E.L. Starostin and G.H.M. van der Heijden found a numerical description for an elastic Mo…
Due to the advantage of achieving a better performance under weak regularization, elastic net has attracted wide attention in statistics, machine learning, bioinformatics, and other fields. In particular, a variation of the elastic net, adaptive elastic net (AEN), integrates the adaptive grouping effect. In this paper,…
We study a class of elastic energy functionals for maps between planar domains (among them the so-called squared distance functional) whose critical points (elastic maps) allow a far more complete theory than one would expect from general elasticity theory. For some of these functionals elastic maps even admit a "Weier…
Demand variance can result in a mismatch between planned supply and actual demand. Demand shaping strategies such as pricing can be used to shift elastic demand to reduce the imbalance. In this work, we propose to consider elastic demand in the forecasting phase. We present a method to reallocate the historical elastic…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism used in stock markets. Both buyers and sellers are elastic in the price-quantity …
In non-linear incompatible elasticity, the configurations are maps from a non-Euclidean body manifold into the ambient Euclidean space, Rk. We prove the Γ-convergence of elastic energies for configurations of a converging sequence, Mn→M, of body manifolds. This convergence result …