arXiv research

Improved Frank-Wolfe algorithm for polytopes converges linearly with dimension dependence on optimal face.

New tensor recovery method improves efficiency under strict complementarity.

New method solves subspace optimization problems efficiently.

In this paper, we show that the bundle method can be applied to solve semidefinite programming problems with a low rank solution without ever constructing a full matrix. To accomplish this, we use recent results from randomly sketching matrix optimization problems and from the analysis of bundle methods. Under strong d…

Geometric programming approach for traffic equilibrium problems.

Study efficient numerical methods for American basket options.

In a previous paper the second author showed that if $M$ is a pseudomanifold with complementarity other than the 6-vertex real projective plane and the 9-vertex complex projective plane, then $M$ must have dimension $\geq 6$, and - in case of equality - $M$ must have exactly 12 vertices. In this paper we prove that suc…

Improved Frank-Wolfe algorithm for constrained convex optimization with nearest extreme point oracle.

This paper proposes low-complexity algorithms for finding approximate second-order stationary points (SOSPs) of problems with smooth non-convex objective and linear constraints. While finding (approximate) SOSPs is computationally intractable, we first show that generic instances of the problem can be solved efficientl…

The paper proposes an efficient algorithm for solving Schatten-$p$ quasi-norm problems.

Kurdyka-Lojasiewicz (KL) exponent plays an important role in estimating the convergence rate of many contemporary first-order methods. In particular, a KL exponent of $\frac12$ for a suitable potential function is related to local linear convergence. Nevertheless, KL exponent is in general extremely hard to estimate. I…

Study explores optimal strategies in games with multiple players and mean-field interactions.

Error bounds, which refer to inequalities that bound the distance of vectors in a test set to a given set by a residual function, have proven to be extremely useful in analyzing the convergence rates of a host of iterative methods for solving optimization problems. In this paper, we present a new framework for establis…

Low rank matrix recovery problems appear widely in statistics, combinatorics, and imaging. One celebrated method for solving these problems is to formulate and solve a semidefinite program (SDP). It is often known that the exact solution to the SDP with perfect data recovers the solution to the original low rank matrix…

New method solves nonsmooth low-rank matrix optimization problems efficiently.

Designs algorithms to assist humans without affecting their decisions.

Efficiently implements MEG for low-rank matrix optimization problems.

Sparse attention model reduces long-context inference time with exponential accuracy guarantees.

The paper establishes conditions for strict power concavity in convolutions.

The paper studies strict equivalence in multi-virtual linkoids with new invariants.

This paper studies an environment of simultaneous, separate, first-price auctions for complementary goods. Agents observe private values of each good before making bids, and the complementarity between goods is explicitly incorporated in their utility. For simplicity, a model is presented with two first-price auctions …

In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential complementarity problem. The stability and convergence of the new methods are extensively inv…

Study strict stability of cones with isolated singularities.

We introduce a more restrictive version of the strict $CD(K,\infty)$ -condition, the so-called very strict $CD(K,\infty)$ -condition, and show the existence of optimal maps in very strict $CD(K,\infty)$ -spaces despite the possible lack of uniqueness of optimal plans.

Bundling, the practice of jointly selling two or more products at a discount, is a widely used strategy in industry and a well examined concept in academia. Historically, the focus has been on theoretical studies in the context of monopolistic firms and assumed product relationships, e.g., complementarity in usage. We …

Maps Lie 2-groups to Weil algebras, showing cohomology isomorphisms.

Proves integrability of strict Lie 2-algebras using cohomological methods.

We study strict local martingales via h-transforms, a method which first appeared in Delbaen-Schachermayer. We show that strict local martingales arise whenever there is a consistent family of change of measures where the two measures are not equivalent to one another. Several old and new strict local martingales are i…

A new algorithm solves the metric nearness problem efficiently.

In an earlier work, we constructed the almost strict Morse $n$-category $\mathcal X$ which extends Cohen $\&$ Jones $\&$ Segal's flow category. In this article, we define two other almost strict $n$-categories $\mathcal V$ and $\mathcal W$ where $\mathcal V$ is based on homomorphisms between real vector spaces and $\ma…

Study complex hyperbolic lattices and their relation to strict hyperbolization.

This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we investigate by ample numerical experiments the temporal convergence behaviour of three modern splitting methods: the explic…

In this work we present a review of the state of the art of information theoretic feature selection methods. The concepts of feature relevance, redundance and complementarity (synergy) are clearly defined, as well as Markov blanket. The problem of optimal feature selection is defined. A unifying theoretical framework i…

In this paper, we initiate the study of a parametrised version of Rieffel's strict deformation quantization. We apply it to give a classification of noncommutative principal torus bundles, in terms of parametrised strict deformation quantization of ordinary principal torus bundles. The paper also contains a putative de…

We introduce a geometrically transparent strict saddle property for nonsmooth functions. This property guarantees that simple proximal algorithms on weakly convex problems converge only to local minimizers, when randomly initialized. We argue that the strict saddle property may be a realistic assumption in applications…

There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model. Based on a class of models that embeds the JLS model and can exhibit strict local martingale behavior, we clarify the connection between th…

A new method for analyzing product competition using low-dimensional embeddings.

In this paper, we use the parametrised strict deformation quantization of C*-bundles obtained in a previous paper, and give more examples and applications of this theory. In particular, it is used here to classify H_3-twisted noncommutative torus bundles over a locally compact space. This is extended to the case of gen…

We revisit the landscape of the simple matrix factorization problem. For low-rank matrix factorization, prior work has shown that there exist infinitely many critical points all of which are either global minima or strict saddles. At a strict saddle the minimum eigenvalue of the Hessian is negative. Of interest is whet…

Study on Kähler manifolds sharing submanifolds, proving projective implies relative.

We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an integral criterion and by non-uniqueness of an associated ordinary differential equat…

Proves strict inequality for minimizers of Willmore energy under isoperimetric constraints.

Strict type-II blowup in harmonic map flow is proven to have Hölder continuous body map.

New methods help escape strict saddle points in nonsmooth optimization.

Let X be a norm curve in the SL(2,C)-character variety of a knot exterior M. Let t = || b || / || a || be the ratio of the Culler-Shalen norms of two distinct non-zero classes a, b in H_1(\partial M, Z). We demonstrate that either X has exactly two associated strict boundary slopes \pm t, or else there are strict bound…

We present explicit universal strict deformation quantization formulae for actions of Iwasawa subgroups AN of SU(1,n). This answers a question raised by Rieffel.

We show the equivalence of the definitions of very strict $CD(K,N)$ -condition defined, on one hand, using (only) the entropy functionals, and on the other, the full displacement convexity class $\mathcal{DC}_N$. In particular, we show that assuming the convexity inequalities for the critical exponent implies it for al…

We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptotic expansion of the right wing of the implied volatility smile and shows that the strict local martingale property can be determined from thi…