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 study finite energy classes of quasiplurisubharmonic (qpsh) functions in the setting of toric compact K{ä}hler manifolds. We characterize toric qpsh functions and give necessary and sufficient conditions for them to have finite (weighted) energy, both in terms of the associated convex function in R n , and through t…
The purpose of these notes is to explain parts of Gromov's survey of Carnot-Carathedory spaces, in the light of subsequent results of M. Rumin. Among the rich material provided by Gromov, most of which pertains to analysis on metric spaces, we choose to concentrate on the H{ö}lder equivalence problem for Carnot manifol…
problem Adversarial online nonparametric regression with general convex losses.
method Parameter-free learning algorithm leveraging chaining trees to compete against H{ö}lder functions, dynamically tracking and adapting to local smoothness variations.
result First computationally efficient algorithm with locally adaptive optimal rates for online regression in an adversarial setting.
A variant of Gromov's H{ö}lder-equivalence problem, motivated by a pinching problem in Riemannian geometry, is discussed. A partial result is given. The main tool is a general coarea inequality satisfied by packing energies of maps.
Let S be a closed oriented surface of genus at least 2, and denote by T(S) its Teichm{ü}ller space. For any isotopy class of closed curves γ, we compute the first three derivatives of the length function ℓ_γ:T(S)→R_+ in the shearing coordinates associated to a maxim…
Nonuniform tubular neighborhoods of curves in Euclidean n-space are studied by using weighted distance functions and generalizing the normal exponential map. Different notions of injectivity radii are introduced to investigate singular but injective exponential maps. A generalization of the thickness formula is obtaine…
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very general assumptions on the underlying contract space. Our analysis relies on an…
We find a local solution to the Ricci flow equation under a negative lower bound for many known curvature conditions. The flow exists for a uniform amount of time, during which the curvature stays bounded below by a controllable negative number. The curvature conditions we consider include 2-non-negative and weakly $\t…
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces the effective dimensionality of the estimation (and hence measurement noise) via techniques borrowed from random matrix theory. We calculate…
In the context of stochastic continuum-armed bandits, we present an algorithm that adapts to the unknown smoothness of the objective function. We exhibit and compute a polynomial cost of adaptation to the H{ö}lder regularity for regret minimization. To do this, we first reconsider the recent lower bound of Locatelli an…
We present a generalization of the adversarial linear bandits framework, where the underlying losses are kernel functions (with an associated reproducing kernel Hilbert space) rather than linear functions. We study a version of the exponential weights algorithm and bound its regret in this setting. Under conditions on …
This paper develops fundamental limits of deep neural network learning by characterizing what is possible if no constraints are imposed on the learning algorithm and on the amount of training data. Concretely, we consider Kolmogorov-optimal approximation through deep neural networks with the guiding theme being a relat…
We improve deep threshold networks' memorization capacity exponentially.
problem Memorizing datasets with randomized labels using deep neural networks.
method Using Gaussian random weights in the first layer and binary or integer weights in subsequent layers, we prove a new dependence on minimum distance.
result We show that O(δ1+n) neurons and O(δd+n) weights are sufficient.
We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in relationship with stochastic volatility models.
We consider the problem of online nonparametric regression with arbitrary deterministic sequences. Using ideas from the chaining technique, we design an algorithm that achieves a Dudley-type regret bound similar to the one obtained in a non-constructive fashion by Rakhlin and Sridharan (2014). Our regret bound is expre…
Study tackles non-stationary bandit convex optimization with new algorithms.
problem Minimizing regret in non-stationary environments with various measures of non-stationarity.
method Proposed Tilted Exponentially Weighted Average with Sleeping Experts (TEWA-SE) for strongly convex losses and clipped Exploration by Optimization (cExO) for general convex losses.
result Proved minimax-optimality of TEWA-SE for strongly convex losses and introduced cExO for general convex losses.