arXiv research

Paper introduces second-order Esscher densities for continuous-time models.

We consider the geometry of second order linear operators acting on the commutative algebra of densities on a (super)manifold introduced in our previous work. In the conventional language, operators on the algebra of densities correspond to operator pencils. This algebra has a natural invariant scalar product. We consi…

NMC improves MCMC convergence by analyzing gradients to determine optimal proposal densities.

In our previous works, we introduced, for each (super)manifold, a commutative algebra of densities. It is endowed with a natural invariant scalar product. In this paper, we study geometry of differential operators of second order on this algebra. In the more conventional language they correspond to certain operator pen…

On a manifold with a projective connection we canonically assign a second order differential operator acting on the algebra of all densities to any tensor density $S^{ij}$ of fixed weight $λ$. In particular, this implies that on any projectively connected manifold, a `bracket' (symmetric biderivation) on the algebra of…

Quantum vacuum energy (Casimir energy) is reviewed for a mathematical audience as a topic in spectral theory. Then some one-dimensional systems are solved exactly, in terms of closed classical paths and periodic orbits. The relations among local spectral densities, energy densities, global eigenvalue densities, and tot…

We propose a method to infer causal structures containing both discrete and continuous variables. The idea is to select causal hypotheses for which the conditional density of every variable, given its causes, becomes smooth. We define a family of smooth densities and conditional densities by second order exponential mo…

We analyze geometry of the second order differential operators, having in mind applications to Batalin--Vilkovisky formalism in quantum field theory. As we show, an exhaustive picture can be obtained by considering pencils of differential operators acting on densities of all weights simultaneously. The algebra of densi…

In this paper, we study the problem of sampling from a given probability density function that is known to be smooth and strongly log-concave. We analyze several methods of approximate sampling based on discretizations of the (highly overdamped) Langevin diffusion and establish guarantees on its error measured in the W…

Sharp lower bound found for integral varifolds' mean curvature.

We consider a smooth Euclidean solid cone endowed with a smooth homogeneous density function used to weight Euclidean volume and hypersurface area. By assuming convexity of the cone and a curvature-dimension condition we prove that the unique compact, orientable, second order minima of the weighted area under variation…

Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at time $T>0$, with $l \leq d$. Global conditions are found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymptot…

In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. Our …

In this paper we continue to study equivariant pencil liftings and differential operators on the algebra of densities. We emphasize the role that the geometry of the extended manifold plays. Firstly we consider basic examples. We give a projective line of diff($M$)-equivariant pencil liftings for first order operators,…

We consider differential operators acting on densities of arbitrary weights on manifold $M$ identifying pencils of such operators with operators on algebra of densities of all weights. This algebra can be identified with the special subalgebra of functions on extended manifold $\hat M$. On one hand there is a canonical…

A boosting method improves nonparametric density estimation without smoothing assumptions.

New quantum states capture more information, enabling advanced processing tasks.

Modes and ridges of the probability density function behind observed data are useful geometric features. Mode-seeking clustering assigns cluster labels by associating data samples with the nearest modes, and estimation of density ridges enables us to find lower-dimensional structures hidden in data. A key technical cha…

Proposes second-order Esscher transform for Lévy models in financial markets.

New ICA method for sources with mixed spectra.

We study the dynamical behaviors of degenerate stochastic differential equations (SDEs). We select an auxiliary Fisher information functional as the Lyapunov functional. Using generalized Fisher information, we conduct the Lyapunov exponential convergence analysis of degenerate SDEs. We derive the convergence rate cond…

Let $(M,g)$ be a pseudo-Riemannian manifold and $F_λ(M)$ the space of densities of degree $λ$ on $M$. We study the space $D^2_{λ,μ}(M)$ of second-order differential operators from $F_λ(M)$ to $F_μ(M)$. If $(M,g)$ is conformally flat with signature $p-q$, then $D^2_{λ,μ}(M)$ is viewed as a module over the group of confo…

Let $M$ be a weighted manifold with boundary $\partial M$, i.e., a Riemannian manifold where a density function is used to weight the Riemannian Hausdorff measures. In this paper we compute the first and the second variational formulas of the interior weighted area for deformations by hypersurfaces with boundary in $\p…

Active Learning (AL) is increasingly important in a broad range of applications. Two main AL principles to obtain accurate classification with few labeled data are refinement of the current decision boundary and exploration of poorly sampled regions. In this paper we derive a novel AL scheme that balances these two pri…

Paper presents a new method to learn unnormalized models efficiently.

We prove the existence and uniqueness of a *projectively equivariant symbol map*, which is an isomorphism between the space of bidifferential operators acting on tensor densities over $R^n$ and that of their symbols, when both are considered as modules over an imbedding of $sl(n+1,\R)$ into polynomial vector fields. Th…

Conditional density estimation is a general framework for solving various problems in machine learning. Among existing methods, non-parametric and/or kernel-based methods are often difficult to use on large datasets, while methods based on neural networks usually make restrictive parametric assumptions on the probabili…

The paper introduces a new method to find meaningful data subsets in multivariate probability density functions.

Study on evolving interfaces with complex curvature and density effects.

Clustering is fundamental for gaining insights from complex networks, and spectral clustering (SC) is a popular approach. Conventional SC focuses on second-order structures (e.g., edges connecting two nodes) without direct consideration of higher-order structures (e.g., triangles and cliques). This has motivated SC ext…

Improved regret bounds for adversarial linear contextual bandits.

Bayesian state and parameter estimation for nonlinear models using variational methods.

We consider a Markov process $X$, which is the solution of a stochastic differential equation driven by a Lévy process $Z$ and an independent Wiener process $W$. Under some regularity conditions, including non-degeneracy of the diffusive and jump components of the process as well as smoothness of the Lévy density of $Z…

Scattering representations simplify SBI for images without extra compression.

The article derives a novel Gram-Charlier A (GCA) Series based Extended Rule-of-Thumb (ExROT) for bandwidth selection in Kernel Density Estimation (KDE). There are existing various bandwidth selection rules achieving minimization of the Asymptotic Mean Integrated Square Error (AMISE) between the estimated probability d…

Proposes a method to estimate time-dependent probability density functions using binary classifiers.

A new clustering algorithm reduces density peaks clustering's computational complexity.

We prove that the support of an $m$ dimensional rectifiable varifold with a uniform lower bound on the density and bounded generalized mean curvature can be covered $\mathscr{H}^{m}$ almost everywhere by a countable union of $m$ dimensional submanifolds of class $\mathcal{C}^{2}$. We obtain this result using the …

Breiman (2001) proposed to statisticians awareness of two cultures: 1. Parametric modeling culture, pioneered by R.A.Fisher and Jerzy Neyman; 2. Algorithmic predictive culture, pioneered by machine learning research. Parzen (2001), as a part of discussing Breiman (2001), proposed that researchers be aware of many cultu…

Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function with the series coefficients, allows to recover the density function rapidly and accurately. Based on this representation for the density fun…

We solve the following problem: to describe in geometric terms all differential operators of the second order with a given principal symbol. Initially the operators act on scalar functions. Operator pencils acting on densities of arbitrary weights appear naturally in the course of study. We show that for the algebra of…

New elastic energy for irregular curves defined through polygonal approximations.

New algebraic approach classifies conformally superintegrable systems in arbitrary dimensions.

Study on dynamic curves with elastic energy and spontaneous curvature.

Improved VI with Price's gradient estimator for target log-density.

In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential Lévy models with or without Brownian component. The results hereafter shed new light on the connection between both the volatility of the continuous component and the jump parameters and the behavio…

A new method improves model generalization by recognizing representations.

We develop a normative framework for hierarchical model-based policy optimization based on applying second-order methods in the space of all possible state-action paths. The resulting natural path gradient performs policy updates in a manner which is sensitive to the long-range correlational structure of the induced st…