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 rates of convergence for approximate solutions to linear ill-posed problems in Hilbert scales.
New framework assesses regularization norms in ill-posed problems, revealing L2 instability and proposing adaptive fractional RKHS solutions.
MCGDiff uses SGM to guide SMC for solving ill-posed linear inverse problems.
In the present paper we consider application of overcomplete dictionaries to solution of general ill-posed linear inverse problems. In the context of regression problems, there has been enormous amount of effort to recover an unknown function using such dictionaries. One of the most popular methods, lasso and its versi…
The Fredholm integral equation of the first kind improves solutions for ill-posed supervised learning problems with limited data.
Paper optimizes estimation of quadratic functionals in nonparametric IV models.
IAGAN method improves medical image reconstruction by incorporating adaptive GAN priors.
Paper introduces a Gibbs sampler for Bayesian inversion of ill-posed problems.
Researchers develop methods to recover agent behavior from sparse data using Gaussian processes.
Score-based models improve diffuse optical tomography accuracy.
We study Tikhonov regularization for solving ill--posed operator equations where the solutions are functions defined on surfaces. One contribution of this paper is an error analysis of Tikhonov regularization which takes into account perturbations of the surfaces, in particular when the surfaces are approximated by spl…
New method for adaptive estimation and inference in econometric models without knowing smoothness.
We study the geodesic X-ray transform on compact Riemannian surfaces with conjugate points. Regardless of the type of the conjugate points, we show that we cannot recover the singularities and therefore, this transform is always unstable (ill-posed). We describe the microlocal kernel of and relate it to the con…
Novel method uses Gaussian process to estimate particle sizes from scattering data.
Study tackles inverse problems on low-dimensional manifolds, proving stability and proposing a reconstruction algorithm.
We propose a new learning-based approach to solve ill-posed inverse problems in imaging. We address the case where ground truth training samples are rare and the problem is severely ill-posed - both because of the underlying physics and because we can only get few measurements. This setting is common in geophysical ima…
Functional PLS improves prediction and inference for scalar responses from functional predictors.
The paper tackles inverse uncertainty quantification in neutron noise analysis.
This work tackles uncertainty quantification in tomography reconstruction.
A new mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock as well as new initial and boundary conditions. Conventional notions of maturity time and strike prices are not used. The Black-Scholes equation is solved…
Proposes debiasing strategy for ill-posed regression problems.
The paper analyzes reg-SGD for convex problems, proving convergence and quantifying the rate of convergence.
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend on a pair of stochastic factors, namely, a slow factor (e.g. a macroeconomic indicator) and a fast factor (e.g. stochastic volatility). We …
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the conventional expected utility maximization model, such a behavioral model could…
This paper explores deep learning for improving X-ray CT image reconstruction from undersampled data.
New method forecasts stock option prices accurately.
ReTaSA tackles continuous target shift in regression problems.
New method identifies causal relationships without strong assumptions.
Paper examines convergence rate of PGD for BP objective in inverse problems.
Signal retrieval from a series of indirect measurements is a common task in many imaging, metrology and characterization platforms in science and engineering. Because most of the indirect measurement processes are well-described by physical models, signal retrieval can be solved with an iterative optimization that enfo…
This paper proposes a novel framework to regularize the highly ill-posed and non-linear Fourier ptychography problem using generative models. We demonstrate experimentally that our proposed algorithm, Deep Ptych, outperforms the existing Fourier ptychography techniques, in terms of quality of reconstruction and robustn…
New method calibrates LV surfaces for exotic derivatives with smoother, more stable Greeks.
Method determines credit transition matrix from cumulative default probabilities.
Variational Gaussian Processes solve linear inverse problems efficiently.
Iterative shrinkage/thresholding algorithm (ISTA) is a well-studied method for finding sparse solutions to ill-posed inverse problems. In this letter, we present a data-driven scheme for learning optimal thresholding functions for ISTA. The proposed scheme is obtained by relating iterations of ISTA to layers of a simpl…
New method recovers radar and communication signals from overlaid data.
A new data-adaptive prior stabilizes kernel learning in operators.
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range logvolatility. For this object and th…
New method uses diffusion models to solve inverse problems.
The present paper studies so-called deep image prior (DIP) techniques in the context of ill-posed inverse problems. DIP networks have been recently introduced for applications in image processing; also first experimental results for applying DIP to inverse problems have been reported. This paper aims at discussing diff…
New boundary conditions improve Hamiltonian analysis in GR.
We study the microlocal properties of the geodesic X-ray transform on a manifold with boundary allowing the presence of conjugate points. Assuming that there are no self-intersecting geodesics and all conjugate pairs are nonsingular we show that the normal operator $\mathcal{N} = \mathcal{X}^t \circ \math…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external parameters, when the available time series is too short, the portfolio optimization is …
In this paper we present nonparametric estimators for coefficients in stochastic differential equation if the data are described by independent, identically distributed random variables. The problem is formulated as a nonlinear ill-posed operator equation with a deterministic forward operator described by the Fokker-Pl…
We introduce a general constructive setting of the density ratio estimation problem as a solution of a (multidimensional) integral equation. In this equation, not only its right hand side is known approximately, but also the integral operator is defined approximately. We show that this ill-posed problem has a rigorous …
This paper proposes a new framework to regularize the highly ill-posed and non-linear phase retrieval problem through deep generative priors using simple gradient descent algorithm. We experimentally show effectiveness of proposed algorithm for random Gaussian measurements (practically relevant in imaging through scatt…
Smoothed analysis of complexity bounds and condition numbers has been done, so far, on a case by case basis. In this paper we consider a reasonably large class of condition numbers for problems over the complex numbers and we obtain smoothed analysis estimates for elements in this class depending only on geometric inva…
We consider basic conceptual questions concerning the relationship between statistical estimation and causal inference. Firstly, we show how to translate causal inference problems into an abstract statistical formalism without requiring any structure beyond an arbitrarily-indexed family of probability models. The forma…