Related papers: Efficient simulation and calibration of general HJ…
Polynomial approximations to the inverse of the fermion matrix are used to filter the dynamics of the upper energy scales in HMC simulations. The use of a multiple time-scale integration scheme allows the filtered pseudofermions to be…
Primal-dual splitting schemes are a class of powerful algorithms that solve complicated monotone inclusions and convex optimization problems that are built from many simpler pieces. They decompose problems that are built from sums, linear…
Combinatorial optimization is considered a promising class of problems in which quantum computers can show significant advantages. However, problems of practical relevance typically have more variables than current or foreseeable quantum…
This work introduces an end-to-end framework for multi-asset option pricing that combines market-consistent risk-neutral density recovery with quantum-accelerated numerical integration. We first calibrate arbitrage-free marginal…
Quantum circuit mapping is a critical process in quantum computing that involves adapting logical quantum circuits to adhere to hardware constraints, thereby generating physically executable quantum circuits. Current quantum circuit mapping…
Quantum machine learning has the potential for a transformative impact across industry sectors and in particular in finance. In our work we look at the problem of hedging where deep reinforcement learning offers a powerful framework for…
Constrained quasiconvex optimization problems appear in many fields, such as economics, engineering, and management science. In particular, fractional programming, which models ratio indicators such as the profit/cost ratio as fractional…
Variational inference lies at the core of many state-of-the-art algorithms. To improve the approximation of the posterior beyond parametric families, it was proposed to include MCMC steps into the variational lower bound. In this work we…
High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the setting of weighted spaces, the necessary analyticity of the split…
In this paper, we present and analyze a new set of low-rank recovery algorithms for linear inverse problems within the class of hard thresholding methods. We provide strategies on how to set up these algorithms via basic ingredients for…
Designing scalable estimation algorithms is a core challenge in modern statistics. Here we introduce a framework to address this challenge based on parallel approximants, which yields estimators with provable properties that operate on the…
Quantum computing has become increasingly practical in solving real-world problems due to advances in hardware and algorithms. In this paper, we aim to design and estimate quantum machine learning and hybrid quantum-classical models in a…
Markov Chain Monte Carlo (MCMC) algorithms play an important role in statistical inference problems dealing with intractable probability distributions. Recently, many MCMC algorithms such as Hamiltonian Monte Carlo (HMC) and Riemannian…
This article provides an overview of some interfaces between the theory of quasi-Monte Carlo (QMC) methods and applications. We summarize three QMC theoretical settings: first order QMC methods in the unit cube $[0,1]^s$ and in…
We study quasi-Monte Carlo (QMC) integration over the multi-dimensional unit cube in several weighted function spaces with different smoothness classes. We consider approximating the integral of a function by the median of several integral…
In the last years, we have been witnessing a tremendous push to demonstrate that quantum computers can solve classically intractable problems. This effort, initially focused on the hardware, progressively included the simplification of the…
We prove precise rates of convergence for monotone approximation schemes of fractional and nonlocal Hamilton-Jacobi-Bellman (HJB) equations. We consider diffusion corrected difference-quadrature schemes from the literature and new…
We present an accelerated algorithm for the solution of static Hamilton-Jacobi-Bellman equations related to optimal control problems. Our scheme is based on a classic policy iteration procedure, which is known to have superlinear…
The dynamic behavior of jointed assemblies exhibiting friction nonlinearities features amplitude-dependent dissipation and stiffness. To develop numerical simulations for predictive and design purposes, macro-scale High Fidelity Models…
We propose a splitting Hamiltonian Monte Carlo (SHMC) algorithm, which can be computationally efficient when combined with the random mini-batch strategy. By splitting the potential energy into numerically nonstiff and stiff parts, one…