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Tied-down renewal processes are generalisations of the Brownian bridge, where an event (or a zero crossing) occurs both at the origin of time and at the final observation time $t$. We give an analytical derivation of the two-time…
An infinite dimensional algebra, which is useful for deriving exact solutions of the generalized pairing problem, is introduced. A formalism for diagonalizing the corresponding Hamiltonian is also proposed. The theory is illustrated with…
The bridge problem is to find an SDE (or sometimes an ODE) that bridges two given distributions. The application areas of the bridge problem are enormous, among which the recent generative modeling (e.g., conditional or unconditional image…
We establish upper and lower bounds for the expected Wasserstein distance between the random empirical measure and the uniform measure on the Boolean cube. Our analysis leverages techniques from Fourier analysis, following the framework…
The last decade has witnessed an explosion in the development of models, theory and computational algorithms for "big data" analysis. In particular, distributed computing has served as a natural and dominating paradigm for statistical…
We evaluate correlation functions of the BCS model for finite number of particles. The integrability of the Hamiltonian relates it with the Gaudin algebra ${\cal G}[sl(2)]$. Therefore, a theorem that Sklyanin proved for the Gaudin model,…
We study the optimal transport problem in the Euclidean space where the cost function is given by the value function associated with a Linear Quadratic minimization problem. Under appropriate assumptions, we generalize Brenier's Theorem…
We compute the closest convex piecewise linear-quadratic (PLQ) function with minimal number of pieces to a given univariate piecewise linear-quadratic function. The Euclidean norm is used to measure the distance between functions. First, we…
Estimating means on Riemannian manifolds is generally computationally expensive because the Riemannian distance function is not known in closed-form for most manifolds. To overcome this, we show that Riemannian diffusion means can be…
We consider cost minimizing stopping time solutions to Skorokhod embedding problems, which deal with transporting a source probability measure to a given target measure through a stopped Brownian process. PDEs and a free boundary problem…
Consider a fluid flowing through a junction between two pipes with different sections. Its evolution is described by the 2D or 3D Euler equations, whose analytical theory is far from complete and whose numerical treatment may be rather…
We continue to study the squared Frobenius norm of a submatrix of a $n \times n$ random unitary matrix. When the choice of the submatrix is deterministic and its size is $[ns] \times [nt]$, we proved in a previous paper that, after…
We study the problem of optimizing nonlinear objective functions over bipartite matchings. While the problem is generally intractable, we provide several efficient algorithms for it, including a deterministic algorithm for maximizing convex…
We consider n non-intersecting Brownian motion paths with p prescribed starting positions at time t=0 and q prescribed ending positions at time t=1. The positions of the paths at any intermediate time are a determinantal point process,…
Similarity learning is a general problem to elicit useful representations by predicting the relationship between a pair of patterns. This problem is related to various important preprocessing tasks such as metric learning, kernel learning,…
The techniques and analysis presented in this thesis provide new methods to solve optimization problems posed on Riemannian manifolds. These methods are applied to the subspace tracking problem found in adaptive signal processing and…
Variational problems under uniform quasiconvex constraints on the gradient are studied. In particular, existence of solutions to such problems is proved as well as existence of lagrange multipliers associated to the uniform constraint. They…
We design an additive approximation scheme for estimating the cost of the min-weight bipartite matching problem: given a bipartite graph with non-negative edge costs and $\varepsilon > 0$, our algorithm estimates the cost of matching all…
We address the problem of predicting the solvation free energy and equilibrium solvent density profile in fews minutes from the molecular density functional theory beyond the usual hypernetted-chain approximation. We introduce a bridge…
In this article we study the convex hull spanned by the union of trajectories of a standard planar Brownian motion, and an independent standard planar Brownian bridge. We find exact values of the expectation of perimeter and area of such a…