Related papers: Technical report : Risk-neutral density recovery v…
Generating hyperspectral images (HSIs) from RGB images through spectral reconstruction can significantly reduce the cost of HSI acquisition. In this paper, we propose a Fractal-Based Recursive Spectral Reconstruction Network (FRN), which…
We consider truncated SVD (or spectral cut-off, projection) estimators for a prototypical statistical inverse problem in dimension $D$. Since calculating the singular value decomposition (SVD) only for the largest singular values is much…
Dynamic Mode Decomposition (DMD) has emerged as a powerful tool for analyzing the dynamics of non-linear systems from experimental datasets. Recently, several attempts have extended DMD to the context of low-rank approximations. This…
Vanishing and exploding gradients are two of the main obstacles in training deep neural networks, especially in capturing long range dependencies in recurrent neural networks~(RNNs). In this paper, we present an efficient parametrization of…
We consider the problem of optimal sparse output feedback controller synthesis for continuous linear time invariant systems when the feedback gain is static and subject to specified structural constraints. Introducing an additional term…
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in terms of the drift component of the state-price deflator…
We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…
Regression aims at estimating the conditional mean of output given input. However, regression is not informative enough if the conditional density is multimodal, heteroscedastic, and asymmetric. In such a case, estimating the conditional…
Speckle noise poses a significant challenge in maintaining the quality of synthetic aperture radar (SAR) images, so SAR despeckling techniques have drawn increasing attention. Despite the tremendous advancements of deep learning in…
Four different applications of spectral proper orthogonal decomposition (SPOD): low-rank reconstruction, denoising, frequency-time analysis, and prewhitening are demonstrated on large-eddy simulation data of a turbulent jet. SPOD-based…
For the first time, this paper investigates the phase retrieval problem with the assumption that the phase (of the complex signal) is sparse in contrast to the sparsity assumption on the signal itself as considered in the literature of…
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adjusted return have significant drawbacks.…
In this paper, we develop a novel framework to optimally design spectral estimators for phase retrieval given measurements realized from an arbitrary model. We begin by deconstructing spectral methods, and identify the fundamental…
This paper presents QDSR, an advanced symbolic Regression (SR) system that integrates genetic programming (GP), a quality-diversity (QD) algorithm, and a dimensional analysis (DA) engine. Our method focuses on exact symbolic recovery of…
Compared to real-valued signals, complex-valued signals provide a unique and intuitive representation of the phase of real physical systems and processes, which holds fundamental significance and is widely applied across many fields of…
Many applications require recovering a ground truth low-rank matrix from noisy observations of the entries, which in practice is typically formulated as a weighted low-rank approximation problem and solved by non-convex optimization…
Localizing a cloud of points from noisy measurements of a subset of pairwise distances has applications in various areas, such as sensor network localization and reconstruction of protein conformations from NMR measurements. In [1], Drineas…
Sparse recovery Space-time Adaptive Processing (STAP) can reduce the requirements of clutter samples, and suppress clutter effectively using limited training samples for airborne radar. The whole angle-Doppler plane is discretized into…
We present a novel method to reconstruct 3D scenes from images by leveraging deep dense monocular SLAM and fast uncertainty propagation. The proposed approach is able to 3D reconstruct scenes densely, accurately, and in real-time while…
Spectral computed tomography (CT) is an emerging technology, that generates a multienergy attenuation map for the interior of an object and extends the traditional image volume into a 4D form. Compared with traditional CT based on…