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We introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially high-dimensional, financial derivatives and for the…

计算金融 · 定量金融 2022-12-15 Ariel Neufeld , Julian Sester

Current differentiable renderers provide light transport gradients with respect to arbitrary scene parameters. However, the mere existence of these gradients does not guarantee useful update steps in an optimization. Instead, inverse…

计算机视觉与模式识别 · 计算机科学 2023-03-29 Michael Fischer , Tobias Ritschel

As neural networks grow deeper and wider, learning networks with hard-threshold activations is becoming increasingly important, both for network quantization, which can drastically reduce time and energy requirements, and for creating large…

机器学习 · 计算机科学 2018-04-18 Abram L. Friesen , Pedro Domingos

An universal primal-dual approach of description equilibriums in large class of hierarchical congestion population games is proposed. At the very core of the approach is hierarchy of enclosed to each other transport networks. In different…

最优化与控制 · 数学 2016-03-09 Alexander Gasnikov , Evgenia Gasnikova , Sergey Matsievsky , Inna Usik

Semi-supervised learning provides an effective paradigm for leveraging unlabeled data to improve a model's performance. Among the many strategies proposed, graph-based methods have shown excellent properties, in particular since they allow…

机器学习 · 统计学 2021-03-29 Mourad El Hamri , Younès Bennani

Neural implicit shape representations are an emerging paradigm that offers many potential benefits over conventional discrete representations, including memory efficiency at a high spatial resolution. Generalizing across shapes with such…

计算机视觉与模式识别 · 计算机科学 2020-06-18 Vincent Sitzmann , Eric R. Chan , Richard Tucker , Noah Snavely , Gordon Wetzstein

Most algorithms for solving optimization problems or finding saddle points of convex-concave functions are fixed-point algorithms. In this work we consider the generic problem of finding a fixed point of an average of operators, or an…

机器学习 · 计算机科学 2020-06-17 Grigory Malinovsky , Dmitry Kovalev , Elnur Gasanov , Laurent Condat , Peter Richtárik

We present a new multiscale algorithm for solving regularized Optimal Transport problems on the GPU, with a linear memory footprint. Relying on Sinkhorn divergences which are convex, smooth and positive definite loss functions, this method…

计算机视觉与模式识别 · 计算机科学 2021-07-06 Jean Feydy , Pierre Roussillon , Alain Trouvé , Pietro Gori

We study alternating first-order algorithms with no inner loops for solving nonconvex-strongly-concave min-max problems. We show the convergence of the alternating gradient descent--ascent algorithm method by proposing a substantially…

最优化与控制 · 数学 2026-03-31 Guido Tapia-Riera , Camille Castera , Nicolas Papadakis

We introduce Deep Set Linearized Optimal Transport, an algorithm designed for the efficient simultaneous embedding of point clouds into an $L^2-$space. This embedding preserves specific low-dimensional structures within the Wasserstein…

机器学习 · 计算机科学 2024-01-04 Scott Mahan , Caroline Moosmüller , Alexander Cloninger

Neural ordinary differential equations (ODEs) provide expressive representations of invertible transport maps that can be used to approximate complex probability distributions, e.g., for generative modeling, density estimation, and Bayesian…

机器学习 · 计算机科学 2025-02-07 Youssef Marzouk , Zhi Ren , Jakob Zech

This work investigates several aspects related to quantitative stability in optimal transport, as well as uniqueness of the dual transport problem. Our main contributions are as follows. Chapter 1: Observations regarding the quantitative…

泛函分析 · 数学 2025-10-22 William Ford

In this paper, we propose objective-function-free (OFF) variants of the proximal Newton method for nonconvex composite optimization problems and the regularized Newton method for unconstrained optimization problems, respectively, using…

最优化与控制 · 数学 2026-05-19 Hong Zhu

Neural networks have greatly boosted performance in computer vision by learning powerful representations of input data. The drawback of end-to-end training for maximal overall performance are black-box models whose hidden representations…

计算机视觉与模式识别 · 计算机科学 2020-04-29 Patrick Esser , Robin Rombach , Björn Ommer

This paper presents a novel accelerated distributed algorithm for unconstrained consensus optimization over static undirected networks. The proposed algorithm combines the benefits of acceleration from momentum, the robustness of the…

A central challenge to many fields of science and engineering involves minimizing non-convex error functions over continuous, high dimensional spaces. Gradient descent or quasi-Newton methods are almost ubiquitously used to perform such…

机器学习 · 计算机科学 2014-05-29 Razvan Pascanu , Yann N. Dauphin , Surya Ganguli , Yoshua Bengio

In this effort, we propose a new deep architecture utilizing residual blocks inspired by implicit discretization schemes. As opposed to the standard feed-forward networks, the outputs of the proposed implicit residual blocks are defined as…

机器学习 · 计算机科学 2021-02-23 Viktor Reshniak , Clayton Webster

Bilevel optimization has been developed for many machine learning tasks with large-scale and high-dimensional data. This paper considers a constrained bilevel optimization problem, where the lower-level optimization problem is convex with…

机器学习 · 计算机科学 2023-08-22 Siyuan Xu , Minghui Zhu

Optimal transport maps define a one-to-one correspondence between probability distributions, and as such have grown popular for machine learning applications. However, these maps are generally defined on empirical observations and cannot be…

统计理论 · 数学 2021-02-18 Lucas de Lara , Alberto González-Sanz , Jean-Michel Loubes

In this paper, we study the problem of learning compact (low-dimensional) representations for sequential data that captures its implicit spatio-temporal cues. To maximize extraction of such informative cues from the data, we set the problem…

机器学习 · 计算机科学 2020-07-14 Anoop Cherian , Shuchin Aeron