相关论文: Efficient multivariate approximation on the cube

We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation…

We propose a single time-scale stochastic subgradient method for constrained optimization of a composition of several nonsmooth and nonconvex functions. The functions are assumed to be locally Lipschitz and differentiable in a generalized…

We consider approximation problems for a special space of d variate functions. We show that the problems have small number of active variables, as it has been postulated in the past using concentration of measure arguments. We also show…

We study regression of $1$-Lipschitz functions under a log-concave measure $\mu$ on $\mathbb{R}^d$. We focus on the high-dimensional regime where the sample size $n$ is subexponential in $d$, in which distribution-free estimators are…

In this paper we introduce a new methodology for smooth rigidity of Anosov diffeomorphisms based on "matching functions." The main observation is that under certain bunching assumptions on the diffeomorphism the periodic cycle functionals…

We propose novel smooth approximations to the classical rounding function, suitable for differentiable optimization and machine learning applications. Our constructions are based on two approaches: (1) localized sigmoid window functions…

We investigate quasi-Monte Carlo rules for the numerical integration of multivariate periodic functions from Besov spaces $S^r_{p,q}B(\mathbb{T}^d)$ with dominating mixed smoothness $1/p<r<2$. We show that order 2 digital nets achieve the…

Weighted least squares polynomial approximation uses random samples to determine projections of functions onto spaces of polynomials. It has been shown that, using an optimal distribution of sample locations, the number of samples required…

Stochastic nonlinear dynamical systems can undergo rapid transitions relative to the change in their forcing, for example due to the occurrence of multiple equilibrium solutions for a specific interval of parameters. In this paper, we…

In this paper we give explicit constructions of point sets in the $s$ dimensional unit cube yielding quasi-Monte Carlo algorithms which achieve the optimal rate of convergence of the worst-case error for numerically integrating high…

Fixed a continuous kernel K on the $d$-dimensional torus, we consider a generalization of the univariate $sk$-spline to the torus, associated with the kernel K. It is proved an estimate which provides the rate of convergence of a given…

We are interested in approximation of a multivariate function $f(x_1,\dots,x_d)$ by linear combinations of products $u^1(x_1)\cdots u^d(x_d)$ of univariate functions $u^i(x_i)$, $i=1,\dots,d$. In the case $d=2$ it is a classical problem of…

In this paper we study the fundamental problems of maximizing a continuous non-monotone submodular function over the hypercube, both with and without coordinate-wise concavity. This family of optimization problems has several applications…

We use available measurements to estimate the unknown parameters (variance, smoothness parameter, and covariance length) of a covariance function by maximizing the joint Gaussian log-likelihood function. To overcome cubic complexity in the…

In a seminal paper (Weitz, 2006), Weitz gave a deterministic fully polynomial approximation scheme for count- ing exponentially weighted independent sets (equivalently, approximating the partition function of the hard-core model from…

We present a random-subspace variant of cubic regularization algorithm that chooses the size of the subspace adaptively, based on the rank of the projected second derivative matrix. Iteratively, our variant only requires access to…

Multivariate orthogonal polynomials in $D$ real dimensions are considered from the perspective of the Cholesky factorization of a moment matrix. The approach allows for the construction of corresponding multivariate orthogonal polynomials,…

The extended Hubbard model on a two-dimensional lattice captures key physical phenomena, but is challenging to simulate due to the presence of long-range interactions. In this work, we present an efficient quantum algorithm for simulating…

We propose a two-phase systematical framework for approximation algorithm design and analysis via Lyapunov function. The first phase consists of using Lyapunov function as an input and outputs a continuous-time approximation algorithm with…

We consider the minimization of non-convex functions that typically arise in machine learning. Specifically, we focus our attention on a variant of trust region methods known as cubic regularization. This approach is particularly attractive…