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arXiv research

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.

168,657 papers · 148 categories

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2865728581,144 · Jun 202019922001200920172026
48 results for level set approximation

Develops consistent approximations for composite optimization problems.

problem Significant errors in solutions due to approximations in optimization problems.
method Specifies conditions for well-behaved approximations in minimizers, stationary points, and level-sets for a broad class of composite problems.
result Framework of consistent approximations for composite problems, including stochastic, neural-network, and multi-objective optimization.

The level set tree approach of Hartigan (1975) provides a probabilistically based and highly interpretable encoding of the clustering behavior of a dataset. By representing the hierarchy of data modes as a dendrogram of the level sets of a density estimator, this approach offers many advantages for exploratory analysis…

2013-07-30abs ↗pdf ↗

We introduce a notion of rectifiability modeled on Carnot groups. Precisely, we say that a subset E of a Carnot group M and N is a subgroup of M, we say E is N-rectifiable if it is the Lipschitz image of a positive measure subset of N. First, we discuss the implications of N-rectifiability, where N is a Carnot group (n…

2000-04-11abs ↗pdf ↗

New method solves complex optimization problems faster.

problem Minimizing a convex smooth objective over the optimal solution set of another convex smooth problem.
method Uses a cutting plane approach to approximate the lower-level problem and an accelerated gradient method to update the upper-level objective.
result Shows that the method requires at most O(max{1/εf,1/εg})\mathcal{O}(\max\{1/\sqrt{ε_{f}}, 1/ε_g\}) iterations to achieve εfε_f-suboptimality and εgε_g-infeasibility.

In this paper, we study the motion of level sets by general curvature. The difficulty of this setting is that a general curvature function is only well defined in an admissible cone. In order to extend the existence of a weak solution of a general curvature flow to outside the cone we introduce a new approximation func…

2016-02-05abs ↗pdf ↗

We study the evolution of hypersurfaces in spacetime initial data sets by their null mean curvature. A theory of weak solutions is developed using the level-set approach. Starting from an arbitrary mean convex, outer untapped hypersurface Ω0\partialΩ_0, we show that there exists a weak solution to the null mean curvatu…

2015-03-13abs ↗pdf ↗

Reduces function approximation dimensions from high to low with sparse data.

problem Function approximation from sparse data.
method Nonlinear Level Set Learning (NLL) with geometric information.
result Reduces input dimension to theoretical lower bound with minor accuracy loss.

A new weighted MLMC method improves efficiency in Monte Carlo simulations.

problem Improving efficiency in Monte Carlo simulations with correlated coarse level approximations.
method Generalization of MLMC to any number of levels with control variates and weights.
result Significant efficiency improvements possible, especially when coarse level approximations are poorly correlated.

New algorithm tackles nested bi-level optimization problems for robust feature learning.

problem Nested compositional bi-level optimization problems in machine learning.
method Stochastic approximation algorithms for solving nested compositional bi-level optimization problems without matrix inversions.
result Achieves an ε-stationary solution with an oracle complexity of approximately O_T(1/ε^2).

New method models dewetting of anisotropic particles using numerical techniques.

problem Modeling dewetting dynamics of particles with varying surface energies.
method Level set numerical approach with convolution kernels to handle anisotropic interfacial energies.
result Validated numerical scheme supports merging and splitting of interfaces.

We consider evidence integration from potentially dependent observation processes under varying spatio-temporal sampling resolutions and noise levels. We develop a multi-resolution multi-task (MRGP) framework while allowing for both inter-task and intra-task multi-resolution and multi-fidelity. We develop shallow Gauss…

2019-06-19abs ↗pdf ↗

SHINE uses forward pass quasi-Newton matrices to approximate Jacobian inverses for faster bi-level optimization.

problem Efficiently solving bi-level optimization problems with large Jacobian matrices.
method Proposes using quasi-Newton matrices from the forward pass to approximate the inverse Jacobian matrix.
result Empirically shows SHINE reduces computational cost of the backward pass for various problems.

In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation and time discretization, we propose a multi-level l…

2013-03-06abs ↗pdf ↗

o1Neuro neural network approximates complex functions and converges quickly.

problem Approximating complex functions and ensuring convergence in neural networks.
method Sparse indicator activation neurons, population and sample level convergence properties.
result o1Neuro achieves optimal model approximation and convergence with high probability.

Efficient method for high confidence level inference using parallel stochastic optimization.

problem Uncertainty quantification for online estimation.
method Small number of independent multi-runs to construct t-based confidence intervals.
result Rigorous theoretical guarantee for exact coverage of confidence intervals.

Novel method for bilevel optimization with convex lower-level problem.

problem Minimizing a smooth objective over the optimal solution set of a convex constrained problem.
method Local cutting plane approximation of lower-level solution set combined with conditional gradient updates.
result Achieves optimal iteration complexity for the considered class of bilevel problems.

Paper presents a machine learning method to improve significance tests for misspecified linear models.

problem Misspecification of linear assumptions in social science models leads to inaccurate significance levels.
method Apply machine learning to fit ground truth function, calculate linear approximation, and adjust the estimator.
result The method significantly outperforms linear regression for non-linear ground truth functions.

New iterative methods improve Vecchia-Laplace approximations for large data sets.

problem Inaccurate and slow Vecchia-Laplace approximations for large data sets.
method Iterative methods to improve Vecchia-Laplace approximations, including preconditioners and novel methods for predictive variances.
result Order of magnitude speed-up and threefold increase in prediction accuracy compared to state-of-the-art methods.

We present a new modeling technique for solving the problem of ecological inference, in which individual-level associations are inferred from labeled data available only at the aggregate level. We model aggregate count data as arising from the Poisson binomial, the distribution of the sum of independent but not identic…

2018-02-04abs ↗pdf ↗

New method tackles inexact bilevel optimization for faster parameter learning.

problem Nested optimization problems in bilevel learning with computationally difficult exact solutions.
method Inexact derivative-free optimization algorithms for approximate lower-level solutions.
result Global convergence and worst-case complexity for the proposed approach.

New method achieves optimal sample complexity without warm-start in bilevel optimization.

problem Optimizing smooth objective functions with fixed point constraints in meta-learning and equilibrium models.
method Fixed point iterations at lower-level and projected inexact gradient descent at upper-level.
result Achieves near optimal sample complexity O(ε2)O(ε^{-2}) and ildeO(ε1) ilde{O}(ε^{-1}) samples.

Infinite-dimensional SBDMs improve image generation across multiple resolutions.

problem Efficient image generation at high resolutions and across different levels.
method Developed SBDMs in infinite-dimensional setting, using trace class operators and operator networks.
result Improved efficiency and generalization across resolution levels.

New methods optimize complex optimization problems with improved efficiency.

problem Optimizing complex problems with a convex lower-level objective.
method Uses stochastic cutting planes and conditional gradient updates.
result Improves complexity for both convex and non-convex upper-level functions.

Private mean estimation with multiple samples requires a certain number of people to maintain privacy.

problem Private mean estimation with person-level differential privacy for multiple samples.
method The approach involves estimating the mean up to a distance α in ℓ_2-norm under ε-differential privacy, using algorithms based on the clip-and-noise framework and new analyses.
result The necessary and sufficient number of people to estimate the mean up to distance α in ℓ_2-norm is given by a specific formula.

This paper compares linear regression and neural networks for pricing swing options.

problem Pricing swing options using approximation methods.
method Linear regression and neural networks for approximating the continuation value and swing price.
result The approximation methods converge to the actual swing price as the number of functions or Monte Carlo samples increases.

In order to choose a neural network architecture that will be effective for a particular modeling problem, one must understand the limitations imposed by each of the potential options. These limitations are typically described in terms of information theoretic bounds, or by comparing the relative complexity needed to a…

2018-09-30abs ↗pdf ↗

We consider the problem of approximate joint triangularization of a set of noisy jointly diagonalizable real matrices. Approximate joint triangularizers are commonly used in the estimation of the joint eigenstructure of a set of matrices, with applications in signal processing, linear algebra, and tensor decomposition.…

2016-07-02abs ↗pdf ↗

Utilizing a number of results of Dittmann, we investigate the nature of the Yang-Mills field over the eight-dimensional convex set, endowed with the Bures metric, of three-level quantum systems. Adopting a numerical strategy, we first decompose the field into self-dual and anti-self-dual components, by implementing the…

2001-05-04abs ↗pdf ↗