Publikationen

Monografien

  • F. Stonyakin, D. Dvinskikh, P. Dvurechensky, A. Kroshnin, O. Kuznetsova, A. Agafonov, A. Gasnikov, A. Tyurin, C. Uribe, D. Pasechnyuk, S. Artamonov, Gradient methods for problems with inexact model of the objective, M. Khachay, Y. Kochetov, P. Pardalos, eds., Mathematical Optimization Theory and Operations Research, Springer International Publishing AG, Cham, Switzerland, 2019, pp. 97--114, (Chapter Published), DOI 10.1007/978-3-030-22629-9_8 .

  • J. Polzehl, K. Tabelow, Magnetic resonance brain imaging: Modeling and data analysis using R, Use R!, Springer Nature, Cham, 2019, 231 pages, (Monograph Published), DOI 10.1007/978-3-030-29184-6 .
    Abstract
    This book discusses the modeling and analysis of magnetic resonance imaging (MRI) data acquired from the human brain. The data processing pipelines described rely on R. The book is intended for readers from two communities: Statisticians who are interested in neuroimaging and looking for an introduction to the acquired data and typical scientific problems in the field; and neuroimaging students wanting to learn about the statistical modeling and analysis of MRI data. Offering a practical introduction to the field, the book focuses on those problems in data analysis for which implementations within R are available. It also includes fully worked examples and as such serves as a tutorial on MRI analysis with R, from which the readers can derive their own data processing scripts. The book starts with a short introduction to MRI and then examines the process of reading and writing common neuroimaging data formats to and from the R session. The main chapters cover three common MR imaging modalities and their data modeling and analysis problems: functional MRI, diffusion MRI, and Multi-Parameter Mapping. The book concludes with extended appendices providing details of the non-parametric statistics used and the resources for R and MRI data.The book also addresses the issues of reproducibility and topics like data organization and description, as well as open data and open science. It relies solely on a dynamic report generation with knitr and uses neuroimaging data publicly available in data repositories. The PDF was created executing the R code in the chunks and then running LaTeX, which means that almost all figures, numbers, and results were generated while producing the PDF from the sources.

  • P. Friz, W. König, Ch. Mukherjee, S. Olla, eds., Probability and Analysis in Interacting Physical Systems. In Honor of S.R.S. Varadhan, Berlin, August, 2016, 283 of Springer Proceedings in Mathematics & Statistics book series, Springer, 2019, pp. 1--294, (Monograph Published), DOI https://doi.org/10.1007/978-3-030-15338-0 .

  • A. Bayandina, P. Dvurechensky, A. Gasnikov, Chapter 8: Mirror Descent and Convex Optimization Problems with Non-smooth Inequality Constraints, in: Large Scale and Distributed Optimization, P. Giselsson, A. Rantzer, eds., Lecture Notes in Mathematics 2227, Springer Nature Switzerland AG, Cham, 2018, pp. 181--215, (Chapter Published), DOI 10.1007/978-3-319-97478-1_8 .

  • D. Belomestny, J. Schoenmakers, Advanced Simulation-Based Methods for Optimal Stopping and Control: With Applications in Finance, Macmillan Publishers Ltd., London, 2018, 364 pages, (Monograph Published), DOI 10.1057/978-1-137-03351-2 .

Artikel in Referierten Journalen

  • M. Coghi, B. Gess, Stochastic nonlinear Fokker-Planck equations, Nonlinear Analysis. An International Mathematical Journal, 187 (2019), pp. 259--278, DOI 10.1016/j.na.2019.05.003 .
    Abstract
    The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with common noise. The uniqueness of solutions is obtained without any higher moment assumption on the solution by means of a duality argument to a backward stochastic PDE.

  • P. Pigato, Extreme at-the-money skew in a local volatility model, Finance and Stochastics, 23 (2019), pp. 827--859, DOI 10.1007/s00780-019-00406-2 .

  • D.R. Baimurzina, A. Gasnikov, E.V. Gasnikova, P.E. Dvurechensky, E.I. Ershov, M.B. Kubentaeva, A.A. Lagunovskaya, Universal method of searching for equilibria and stochastic equilibria in transportation networks, Computational Mathematics and Mathematical Physics, 59 (2019), pp. 19--33.

  • H. Bessaih, M. Coghi, F. Flandoli, Mean field limit of interacting filaments for 3D Euler equations, Journal of Statistical Physics, 174 (2019), pp. 562--578, DOI 10.1007/s10955-018-2189-4 .

  • M.F. Callaghan, A. Lutti, J. Ashburner, E. Balteau, N. Corbin, B. Draganski, G. Helms, F. Kherif, T. Leutritz, S. Mohammadi, Ch. Phillips, E. Reimer, L. Ruthotto, M. Seif, K. Tabelow, G. Ziegler, N. Weiskopf, Example Dataset for the hMRI Toolbox, Data in Brief, (2019), published online on 11.06.2019, DOI 10.1016/j.dib.2019.104132 .

  • E.A. Vorontsova, A. Gasnikov, E.A. Gorbunov, P. Dvurechensky, Accelerated gradient-free optimization methods with a non-Euclidean proximal operator, Automation and Remote Control, 80 (2019), pp. 1487--1501.

  • C. Améndola, P. Friz, B. Sturmfels, Varieties of signature tensors, Forum of Mathematics. Sigma, 7 (2019), pp. e10/1--e10/54, DOI 10.1017/fms.2019.3 .
    Abstract
    The signature of a parametric curve is a sequence of tensors whose entries are iterated integrals. This construction is central to the theory of rough paths in stochastic analysis. It is examined here through the lens of algebraic geometry. We introduce varieties of signature tensors for both deterministic paths and random paths. For the former, we focus on piecewise linear paths, on polynomial paths, and on varieties derived from free nilpotent Lie groups. For the latter, we focus on Brownian motion and its mixtures.

  • D. Belomestny, R. Hildebrand, J.G.M. Schoenmakers, Optimal stopping via pathwise dual empirical maximisation, Applied Mathematics and Optimization. An International Journal with Applications to Stochastics, 79 (2019), pp. 715--741, DOI 10.1007/s00245-017-9454-9 .
    Abstract
    The optimal stopping problem arising in the pricing of American options can be tackled by the so called dual martingale approach. In this approach, a dual problem is formulated over the space of martingales. A feasible solution of the dual problem yields an upper bound for the solution of the original primal problem. In practice, the optimization is performed over a finite-dimensional subspace of martingales. A sample of paths of the underlying stochastic process is produced by a Monte-Carlo simulation, and the expectation is replaced by the empirical mean. As a rule the resulting optimization problem, which can be written as a linear program, yields a martingale such that the variance of the obtained estimator can be large. In order to decrease this variance, a penalizing term can be added to the objective function of the path-wise optimization problem. In this paper, we provide a rigorous analysis of the optimization problems obtained by adding different penalty functions. In particular, a convergence analysis implies that it is better to minimize the empirical maximum instead of the empirical mean. Numerical simulations confirm the variance reduction effect of the new approach.

  • Y. Bruned, I. Chevyrev, P. Friz, R. Preiss, A rough path perspective on renormalization, Journal of Functional Analysis, 277 (2019), pp. 108283/1--108283/60, DOI 10.1016/j.jfa.2019.108283 .
    Abstract
    We develop the algebraic theory of rough path translation. Particular attention is given to the case of branched rough paths, whose underlying algebraic structure (Connes-Kreimer, Grossman-Larson) makes it a useful model case of a regularity structure in the sense of Hairer. Pre-Lie structures are seen to play a fundamental rule which allow a direct understanding of the translated (i.e. renormalized) equation under consideration. This construction is also novel with regard to the algebraic renormalization theory for regularity structures due to Bruned-Hairer-Zambotti (2016), the links with which are discussed in detail.

  • I. Chevyrev, P. Friz, Canonical RDEs and general semimartingales as rough paths, The Annals of Probability, 47 (2019), pp. 420--463.

  • K. Efimov, L. Adamyan, V. Spokoiny, Adaptive nonparametric clustering, IEEE Transactions on Information Theory, 65 (2019), pp. 4875--4892, DOI 10.1109/TIT.2019.2903113 .
    Abstract
    This paper presents a new approach to non-parametric cluster analysis called adaptive weights? clustering. The method is fully adaptive and does not require to specify the number of clusters or their structure. The clustering results are not sensitive to noise and outliers, and the procedure is able to recover different clusters with sharp edges or manifold structure. The method is also scalable and computationally feasible. Our intensive numerical study shows a state-of-the-art performance of the method in various artificial examples and applications to text data. The idea of the method is to identify the clustering structure by checking at different points and for different scales on departure from local homogeneity. The proposed procedure describes the clustering structure in terms of weights $w_ij$ , and each of them measures the degree of local inhomogeneity for two neighbor local clusters using statistical tests of ?no gap? between them. The procedure starts from very local scale, and then, the parameter of locality grows by some factor at each step. We also provide a rigorous theoretical study of the procedure and state its optimal sensitivity to deviations from local homogeneity.

  • A. Gasnikov, P. Dvurechensky, F. Stonyakin, A.A. Titov, An adaptive proximal method for variational inequalities, Computational Mathematics and Mathematical Physics, 59 (2019), pp. 836--841.

  • F. Götze, A. Naumov, V. Spokoiny, V. Ulyanov, Large ball probabilities, Gaussian comparison and anti-concentration, Bernoulli. Official Journal of the Bernoulli Society for Mathematical Statistics and Probability, 25 (2019), pp. 2538--2563, DOI 10.3150/18-BEJ1062 .
    Abstract
    We derive tight non-asymptotic bounds for the Kolmogorov distance between the probabilities of two Gaussian elements to hit a ball in a Hilbert space. The key property of these bounds is that they are dimension-free and depend on the nuclear (Schatten-one) norm of the difference between the covariance operators of the elements and on the norm of the mean shift. The obtained bounds significantly improve the bound based on Pinsker?s inequality via the Kullback?Leibler divergence. We also establish an anti-concentration bound for a squared norm of a non-centered Gaussian element in Hilbert space. The paper presents a number of examples motivating our results and applications of the obtained bounds to statistical inference and to high-dimensional CLT.

  • P. Goyal, M. Redmann, Time-limited H2-optimal model order reduction, Applied Mathematics and Computation, 355 (2019), pp. 184--197, DOI 10.1016/j.amc.2019.02.065 .

  • S. Guminov, Y. Nesterov, P. Dvurechensky, A. Gasnikov, Accelerated primal-dual gradient descent with linesearch for convex, nonconvex, and nonsmooth optimization problems, Doklady Mathematics. Maik Nauka/Interperiodica Publishing, Moscow. English. Translation of the Mathematics Section of: Doklady Akademii Nauk. (Formerly: Russian Academy of Sciences. Doklady. Mathematics)., 99 (2019), pp. 125--128.

  • B. Hofmann, S. Kindermann, P. Mathé, Penalty-based smoothness conditions in convex variational regularization, Journal of Inverse and Ill-Posed Problems, 27 (2019), pp. 283--300, DOI 10.1515/jiip-2018-0039 .
    Abstract
    The authors study Tikhonov regularization of linear ill-posed problems with a general convex penalty defined on a Banach space. It is well known that the error analysis requires smoothness assumptions. Here such assumptions are given in form of inequalities involving only the family of noise-free minimizers along the regularization parameter and the (unknown) penalty-minimizing solution. These inequalities control, respectively, the defect of the penalty, or likewise, the defect of the whole Tikhonov functional. The main results provide error bounds for a Bregman distance, which split into two summands: the first smoothness-dependent term does not depend on the noise level, whereas the second term includes the noise level. This resembles the situation of standard quadratic Tikhonov regularization Hilbert spaces. It is shown that variational inequalities, as these were studied recently, imply the validity of the assumptions made here. Several examples highlight the results in specific applications.

  • A. Lejay, P. Pigato, A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data, International Journal of Theoretical and Applied Finance, 22 (2019), published online on 29.05.2019, DOI 10.1142/S0219024919500171 .

  • A. Naumov, V. Spokoiny, V. Ulyanov, Bootstrap confidence sets for spectral projectors of sample covariance, Probability Theory and Related Fields, 174 (2019), pp. 1091--1132, DOI 10.1007/s00440-018-0877-2 .

  • CH. Bayer, J. Häppölä, R. Tempone, Implied stopping rules for American basket options from Markovian projection, Quantitative Finance, 19 (2019), pp. 371--390.
    Abstract
    This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimensions, nonlinear partial differential equation methods for solving the problem become prohibitively costly due to the curse of dimensionality. Instead, this work proposes to use a stopping rule that depends on the dynamics of a low-dimensional Markovian projection of the given basket of assets. It is shown that the ability to approximate the original value function by a lower-dimensional approximation is a feature of the dynamics of the system and is unaffected by the path-dependent nature of the American basket option. Assuming that we know the density of the forward process and using the Laplace approximation, we first efficiently evaluate the diffusion coefficient corresponding to the low-dimensional Markovian projection of the basket. Then, we approximate the optimal early-exercise boundary of the option by solving a Hamilton-Jacobi-Bellman partial differential equation in the projected, low-dimensional space. The resulting near-optimal early-exercise boundary is used to produce an exercise strategy for the high-dimensional option, thereby providing a lower bound for the price of the American basket option. A corresponding upper bound is also provided. These bounds allow to assess the accuracy of the proposed pricing method. Indeed, our approximate early-exercise strategy provides a straightforward lower bound for the American basket option price. Following a duality argument due to Rogers, we derive a corresponding upper bound solving only the low-dimensional optimal control problem. Numerically, we show the feasibility of the method using baskets with dimensions up to fifty. In these examples, the resulting option price relative errors are only of the order of few percent.

  • CH. Bayer, P. Friz, P. Gassiat, J. Martin, B. Stemper, A regularity structure for rough volatility, Mathematical Finance. An International Journal of Mathematics, Statistics and Financial Economics, (2019), online on 19.11.2019, DOI 10.1111/mafi12233 .

  • CH. Bayer, P. Friz, A. Gulisashvili, B. Horvath, B. Stemper, Short-time near-the-money skew in rough fractional volatility models, Quantitative Finance, 19 (2019), pp. 779--798, DOI 10.1080/14697688.2018.1529420 .
    Abstract
    We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter H < ½. This regime recently attracted a lot of attention both from the statistical and option pricing point of view. With focus on the latter, we sharpen the large deviation results of Forde-Zhang (2017) in a way that allows us to zoom-in around the money while maintaining full analytical tractability. More precisely, this amounts to proving higher order moderate deviation estimates, only recently introduced in the option pricing context. This in turn allows us to push the applicability range of known at-the-money skew approximation formulae from CLT type log-moneyness deviations of order t1/2 (recent works of Alòs, León & Vives and Fukasawa) to the wider moderate deviations regime.

  • P. Mathé, Bayesian inverse problems with non-commuting operators, Mathematics of Computation, 88 (2019), pp. 2897--2912, DOI 10.1090/mcom/3439 .
    Abstract
    The Bayesian approach to ill-posed operator equations in Hilbert space recently gained attraction. In this context, and when the prior distribution is Gaussian, then two operators play a significant role, the one which governs the operator equation, and the one which describes the prior covariance. Typically it is assumed that these operators commute. Here we extend this analysis to non-commuting operators, replacing the commutativity assumption by a link condition. We discuss its relation to the commuting case, and we indicate that this allows to use interpolation type results to obtain tight bounds for the contraction of the posterior Gaussian distribution towards the data generating element.

  • V. Spokoiny, N. Willrich, Bootstrap tuning in Gaussian ordered model selection, The Annals of Statistics, 47 (2019), pp. 1351--1380, DOI 10.1214/18-AOS1717 .
    Abstract
    In the problem of model selection for a given family of linear estimators, ordered by their variance, we offer a new “smallest accepted” approach motivated by Lepski's device and the multiple testing idea. The procedure selects the smallest model which satisfies the acceptance rule based on comparison with all larger models. The method is completely data-driven and does not use any prior information about the variance structure of the noise: its parameters are adjusted to the underlying possibly heterogeneous noise by the so called “propagation condition” using bootstrap multiplier method. The validity of the bootstrap calibration is proved for finite samples with an explicit error bound. We provide a comprehensive theoretical study of the method and describe in details the set of possible values of the selector ( hatm ). We also establish some precise oracle error bounds for the corresponding estimator ( hattheta = tildetheta_hatm ) which equally applies to estimation of the whole parameter vectors, its subvector or linear mapping, as well as estimation of a linear functional.

  • K. Tabelow, E. Balteau, J. Ashburner, M.F. Callaghan, B. Draganski, G. Helms, F. Kherif, T. Leutritz, A. Lutti, Ch. Phillips, E. Reimer, L. Ruthotto, M. Seif, N. Weiskopf, G. Ziegler, S. Mohammadi, hMRI -- A toolbox for quantitative MRI in neuroscience and clinical research, NeuroImage, 194 (2019), pp. 191--210, DOI 10.1016/j.neuroimage.2019.01.029 .
    Abstract
    Quantitative magnetic resonance imaging (qMRI) finds increasing application in neuroscience and clinical research due to its sensitivity to micro-structural properties of brain tissue, e.g. axon, myelin, iron and water concentration. We introduce the hMRI--toolbox, an easy-to-use open-source tool for handling and processing of qMRI data presented together with an example dataset. This toolbox allows the estimation of high-quality multi-parameter qMRI maps (longitudinal and effective transverse relaxation rates R1 and R2*, proton density PD and magnetisation transfer MT) that can be used for calculation of standard and novel MRI biomarkers of tissue microstructure as well as improved delineation of subcortical brain structures. Embedded in the Statistical Parametric Mapping (SPM) framework, it can be readily combined with existing SPM tools for estimating diffusion MRI parameter maps and benefits from the extensive range of available tools for high-accuracy spatial registration and statistical inference. As such the hMRI--toolbox provides an efficient, robust and simple framework for using qMRI data in neuroscience and clinical research.

  • V. Avanesov, N. Buzun, Change-point detection in high-dimensional covariance structure, Electronic Journal of Statistics, 12 (2018), pp. 3254--3294, DOI 10.1214/18-EJS1484 .

  • W. Dreyer, P. Friz, P. Gajewski, C. Guhlke, M. Maurelli, Stochastic many-particle model for LFP electrodes, Continuum Mechanics and Thermodynamics, 30 (2018), pp. 593--628, DOI 10.1007/s00161-018-0629-7 .
    Abstract
    In the framework of non-equilibrium thermodynamics we derive a new model for porous electrodes. The model is applied to LiFePO4 (LFP) electrodes consisting of many LFP particles of nanometer size. The phase transition from a lithium-poor to a lithium-rich phase within LFP electrodes is controlled by surface fluctuations leading to a system of stochastic differential equations. The model is capable to derive an explicit relation between battery voltage and current that is controlled by thermodynamic state variables. This voltage-current relation reveals that in thin LFP electrodes lithium intercalation from the particle surfaces into the LFP particles is the principal rate limiting process. There are only two constant kinetic parameters in the model describing the intercalation rate and the fluctuation strength, respectively. The model correctly predicts several features of LFP electrodes, viz. the phase transition, the observed voltage plateaus, hysteresis and the rate limiting capacity. Moreover we study the impact of both the particle size distribution and the active surface area on the voltagecharge characteristics of the electrode. Finally we carefully discuss the phase transition for varying charging/discharging rates.

  • P. Pigato, Tube estimates for diffusion processes under a weak Hörmander condition, Annales de l'Institut Henri Poincare. Probabilites et Statistiques, 54 (2018), pp. 299--342, DOI 10.1214/16-AIHP805 .
    Abstract
    We consider a diffusion process under a local weak Hörmander condition on the coefficients. We find Gaussian estimates for the density in short time and exponential lower and upper bounds for the probability that the diffusion remains in a small tube around a deterministic trajectory (skeleton path). These bounds depend explicitly on the radius of the tube and on the energy of the skeleton path. We use a norm which reflects the non-isotropic structure of the problem, meaning that the diffusion propagates in R2 with different speeds in the directions ? and [?,b]. We establish a connection between this norm and the standard control distance.

  • M. Redmann, P. Kürschner, An output error bound for time-limited balanced truncation, Systems & Control Letters, 121 (2018), pp. 1--6, DOI 10.1016/j.sysconle.2018.08.004 .
    Abstract
    When solving partial differential equations numerically, usually a high order spatial discretization is needed. Model order reduction (MOR) techniques are often used to reduce the order of spatially-discretized systems and hence reduce computational complexity. A particular MOR technique to obtain a reduced order model (ROM) is balanced truncation (BT). However, if one aims at finding a good ROM on a certain finite time interval only, time-limited BT (TLBT) can be a more accurate alternative. So far, no error bound on TLBT has been proved. In this paper, we close this gap in the theory by providing an output error bound for TLBT with two different representations. The performance of the error bound is then shown in several numerical experiments.

  • M. Redmann, Energy estimates and model order reduction for stochastic bilinear systems, International Journal of Control, published online on 08.11.2018, urlhttps://doi.org/10.1080/00207179.2018.1538568, DOI 10.1080/00207179.2018.1538568 .
    Abstract
    In this paper, we investigate a large-scale stochastic system with bilinear drift and linear diffusion term. Such high dimensional systems appear for example when discretizing a stochastic partial differential equations in space. We study a particular model order reduction technique called balanced truncation (BT) to reduce the order of spatially-discretized systems and hence reduce computational complexity. We introduce suitable Gramians to the system and prove energy estimates that can be used to identify states which contribute only very little to the system dynamics. When BT is applied the reduced system is obtained by removing these states from the original system. The main contribution of this paper is an L2-error bound for BT for stochastic bilinear systems. This result is new even for deterministic bilinear equations. In order to achieve it, we develop a new technique which is not available in the literature so far.

  • M. Redmann, Type II balanced truncation for deterministic bilinear control systems, SIAM Journal on Control and Optimization, 56 (2018), pp. 2593--2612, DOI 10.1137/17M1147962 .
    Abstract
    When solving partial differential equations numerically, usually a high order spatial discretisation is needed. Model order reduction (MOR) techniques are often used to reduce the order of spatially-discretised systems and hence reduce computational complexity. A particular MOR technique to obtain a reduced order model (ROM) is balanced truncation (BT), a method which has been extensively studied for deterministic linear systems. As so-called type I BT it has already been extended to bilinear equations, an important subclass of nonlinear systems. We provide an alternative generalisation of the linear setting to bilinear systems which is called type II BT. The Gramians that we propose in this context contain information about the control. It turns out that the new approach delivers energy bounds which are not just valid in a small neighbourhood of zero. Furthermore, we provide an ℋ∞-error bound which so far is not known when applying type I BT to bilinear systems.

  • M. Redmann, Type II singular perturbation approximation for linear systems with Lévy noise, SIAM Journal on Control and Optimization, 56 (2018), pp. 2120--2158, DOI 10.1137/17M113160X .
    Abstract
    When solving linear stochastic partial differential equations numerically, usually a high order spatial discretisation is needed. Model order reduction (MOR) techniques are often used to reduce the order of spatially-discretised systems and hence reduce computational complexity. A particular MOR technique to obtain a reduced order model (ROM) is singular perturbation approximation (SPA), a method which has been extensively studied for deterministic systems. As so-called type I SPA it has already been extended to stochastic equations. We provide an alternative generalisation of the deterministic setting to linear systems with Lévy noise which is called type II SPA. It turns out that the ROM from applying type II SPA has better properties than the one of using type I SPA. In this paper, we provide new energy interpretations for stochastic reachability Gramians, show the preservation of mean square stability in the ROM by type II SPA and prove two different error bounds for type II SPA when applied to Lévy driven systems

  • M.A. Freitag, M. Redmann, Balanced model order reduction for linear random dynamical systems driven by Lévy noise, Journal of Computational Dynamics, 5 (2018), pp. 33--59, DOI 10.3934/jcd.2018002 .

  • D. Belomestny, J.G.M. Schoenmakers, Projected particle methods for solving McKean--Vlasov equations, SIAM Journal on Numerical Analysis, 56 (2018), pp. 3169--3195, DOI 10.1137/17M1111024 .
    Abstract
    We propose a novel projection-based particle method for solving McKean--Vlasov stochastic differential equations. Our approach is based on a projection-type estimation of the marginal density of the solution in each time step. The projection-based particle method leads in many situations to a significant reduction of numerical complexity compared to the widely used kernel density estimation algorithms. We derive strong convergence rates and rates of density estimation. The convergence analysis, particularly in the case of linearly growing coefficients, turns out to be rather challenging and requires some new type of averaging technique. This case is exemplified by explicit solutions to a class of McKean--Vlasov equations with affine drift. The performance of the proposed algorithm is illustrated by several numerical examples.

  • K. Chouk, P. Friz, Support theorem for a singular SPDE: The case of gPAM, Annales de l'Institut Henri Poincare. Probabilites et Statistiques, 54 (2018), pp. 202-219.
    Abstract
    We consider the generalized parabolic Anderson equation (gPAM) in 2 dimensions with periodic boundary. This is an example of a singular semilinear stochastic partial differential equation in the subcritical regime, with (renormalized) solutions only recently understood via Hairer?s regularity structures and, in some cases equivalently, paracontrollled distributions by Gubinelli, Imkeller and Perkowski. In the present paper we utilise the paracontrolled machinery and obtain a (Stroock?Varadhan) type support description for the law of gPAM. In the spirit of rough paths, the crucial step is to identify the support of the enhanced noise in a sufficiently fine topology. The renormalization is seen to affect the support description.

  • A. Gasnikov, P. Dvurechensky, M. Zhukovskii, S. Kim, S. Plaunov, D. Smirnov, F. Noskov, About the power law of the PageRank vector distribution. Part 2. Backley--Osthus model, power law verification for this model and setup of real search engines, Numerical Analysis and Applications, 11 (2018), pp. 16--32, DOI 10.1134/S1995423918010032 .

  • B. Hofmann, P. Mathé, Tikhonov regularization with oversmoothing penalty for non-linear ill-posed problems in Hilbert scales, Inverse Problems. An International Journal on the Theory and Practice of Inverse Problems, Inverse Methods and Computerized Inversion of Data, 34 (2018), pp. 015007/1--015007/14.

  • V. Krätschmer, M. Ladkau, R.J.A. Laeven, J.G.M. Schoenmakers, M. Stadje, Optimal stopping under uncertainty in drift and jump intensity, Mathematics of Operations Research, 43 (2018), pp. 1177--1209, DOI 10.1287/moor.2017.0899 .
    Abstract
    This paper studies the optimal stopping problem in the presence of model uncertainty (ambiguity). We develop a method to practically solve this problem in a general setting, allowing for general time-consistent ambiguity averse preferences and general payoff processes driven by jump-diffusions. Our method consists of three steps. First, we construct a suitable Doob martingale associated with the solution to the optimal stopping problem %represented by the Snell envelope using backward stochastic calculus. Second, we employ this martingale to construct an approximated upper bound to the solution using duality. Third, we introduce backward-forward simulation to obtain a genuine upper bound to the solution, which converges to the true solution asymptotically. We analyze the asymptotic behavior and convergence properties of our method. We illustrate the generality and applicability of our method and the potentially significant impact of ambiguity to optimal stopping in a few examples.

  • A. Lejay, P. Pigato, Statistical estimation of the oscillating Brownian motion, Bernoulli. Official Journal of the Bernoulli Society for Mathematical Statistics and Probability, 24 (2018), pp. 3568--3602, DOI 10.3150/17-BEJ969 .
    Abstract
    We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Using the relation of the latter process with the Skew Brownian Motion, we propose two natural consistent estimators, which are variants of the integrated volatility estimator and take the occupation times into account. We show the stable convergence of the renormalized errors? estimations toward some Gaussian mixture, possibly corrected by a term that depends on the local time. These limits stem from the lack of ergodicity as well as the behavior of the local time at zero of the process. We test both estimators on simulated processes, finding a complete agreement with the theoretical predictions.

  • A. Naumov, V. Spokoiny, Y. Tavyrikov, V. Ulyanov, Non-asymptotic estimates of the closeness of Gaussian measures on the balls, Doklady Mathematics. Maik Nauka/Interperiodica Publishing, Moscow. English. Translation of the Mathematics Section of: Doklady Akademii Nauk. (Formerly: Russian Academy of Sciences. Doklady. Mathematics)., 98 (2018), pp. 490--493.

  • A. Naumov, V. Spokoiny, V. Ulyanov, Bootstrap confidence sets for spectral projectors of sample covariance, Probability Theory and Related Fields, pp. published online on 26.10.2018, urlhttps://doi.org/10.1007/s00440-018-0877-2, DOI 10.1007/s00440-018-0877-2 .
    Abstract
    Let X1,?,Xn be i.i.d. sample in ?p with zero mean and the covariance matrix ?. The problem of recovering the projector onto an eigenspace of ? from these observations naturally arises in many applications. Recent technique from [Koltchinskii, Lounici, 2015] helps to study the asymptotic distribution of the distance in the Frobenius norm ?Pr?P?r?2 between the true projector Pr on the subspace of the r-th eigenvalue and its empirical counterpart P?r in terms of the effective rank of ?. This paper offers a bootstrap procedure for building sharp confidence sets for the true projector Pr from the given data. This procedure does not rely on the asymptotic distribution of ?Pr?P?r?2 and its moments. It could be applied for small or moderate sample size n and large dimension p. The main result states the validity of the proposed procedure for finite samples with an explicit error bound for the error of bootstrap approximation. This bound involves some new sharp results on Gaussian comparison and Gaussian anti-concentration in high-dimensional spaces. Numeric results confirm a good performance of the method in realistic examples.

  • A. Naumov, V. Spokoiny, V. Ulyanov, Confidence sets for spectral projectors of covariance matrices, Doklady Mathematics. Maik Nauka/Interperiodica Publishing, Moscow. English. Translation of the Mathematics Section of: Doklady Akademii Nauk. (Formerly: Russian Academy of Sciences. Doklady. Mathematics)., 98 (2018), pp. 511--514.

  • I. Silin, V. Spokoiny, Bayesian inference for spectral projectors of covariance matrix, Electronic Journal of Statistics, 12 (2018), pp. 1948--1987, DOI 10.1214/18-EJS1451 .

  • CH. Bayer, P. Friz, A. Gulisashvili, B. Horvath, B. Stemper, Short-time near-the-money skew in rough fractional volatility models, Quantitative Finance, 19 (2019), pp. 779--798 (published online on 13.11.2018), DOI 10.1080/14697688.2018.1529420 .
    Abstract
    We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter H < ½. This regime recently attracted a lot of attention both from the statistical and option pricing point of view. With focus on the latter, we sharpen the large deviation results of Forde-Zhang (2017) in a way that allows us to zoom-in around the money while maintaining full analytical tractability. More precisely, this amounts to proving higher order moderate deviation estimates, only recently introduced in the option pricing context. This in turn allows us to push the applicability range of known at-the-money skew approximation formulae from CLT type log-moneyness deviations of order t1/2 (recent works of Alòs, León & Vives and Fukasawa) to the wider moderate deviations regime.

  • CH. Bayer, H. Mai, J.G.M. Schoenmakers, Forward-reverse expectation-maximization algorithm for Markov chains: Convergence and numerical analysis, Advances in Applied Probability, 2 (2018), pp. 621--644, DOI 10.1017/apr.2018.27 .
    Abstract
    We develop a forward-reverse expectation-maximization (FREM) algorithm for estimating parameters of a discrete-time Markov chain evolving through a certain measurable state-space. For the construction of the FREM method, we develop forward-reverse representations for Markov chains conditioned on a certain terminal state. We prove almost sure convergence of our algorithm for a Markov chain model with curved exponential family structure. On the numerical side, we carry out a complexity analysis of the forward-reverse algorithm by deriving its expected cost. Two application examples are discussed.

  • P. Dvurechensky, A. Gasnikov, A. Lagunovskaya, Parallel algorithms and probability of large deviation for stochastic convex optimization problems, Numerical Analysis and Applications, 11 (2018), pp. 33--37, DOI 10.1134/S1995423918010044 .

  • P. Friz, H. Zhang, Differential equations driven by rough paths with jumps, Journal of Differential Equations, 264 (2018), pp. 6226--6301, DOI 10.1016/j.jde.2018.01.031 .
    Abstract
    We develop the rough path counterpart of Itô stochastic integration and differential equations driven by general semimartingales. This significantly enlarges the classes of (Itô/forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.

  • TH. Koprucki, M. Kohlhase, K. Tabelow, D. Müller, F. Rabe, Model pathway diagrams for the representation of mathematical models, Optical and Quantum Electronics, 50 (2018), pp. 70/1--70/9, DOI 10.1007/s11082-018-1321-7 .
    Abstract
    Mathematical models are the foundation of numerical simulation of optoelectronic devices. We present a concept for a machine-actionable as well as human-understandable representation of the mathematical knowledge they contain and the domain-specific knowledge they are based on. We propose to use theory graphs to formalize mathematical models and model pathway diagrams to visualize them. We illustrate our approach by application to the van Roosbroeck system describing the carrier transport in semiconductors by drift and diffusion. We introduce an approach for the block-based composition of models from simpler components.

Beiträge zu Sammelwerken

  • TH. Koprucki, A. Maltsi, T. Niermann, T. Streckenbach, K. Tabelow, J. Polzehl, On a database of simulated TEM images for In(Ga)As/GaAs quantum dots with various shapes, in: Proceedings of the 19th International Conference on Numerical Simulation of Optoelectronic Devices (NUSOD 2019), J. Piprek, K. Hinze, eds., IEEE Conference Publications Management Group, Piscataway, NJ, 2019, pp. 13--14 (appeared online 22.08.2019), DOI 10.1109/NUSOD.2019.8807025 .

  • Y. Bruned, I. Chevyrev, P. Friz, Examples of renormalized SDEs, in: Stochastic Partial Differential Equations and Related Fields, A. Eberle, M. Grothaus, W. Hoh, M. Kassmann, W. Stannat, G. Trutnau, eds., 229 of Springer Proceedings in Mathematics & Statistics, Springer Nature Switzerland AG, Cham, 2018, pp. 303--317, DOI 10.1007/978-3-319-74929-7 .

  • P. Dvurechensky, A. Gasnikov, A. Kroshnin, Computational optimal transport: Complexity by accelerated gradient descent is better than by Sinkhorn's algorithm, in: Proceedings of the 35th International Conference on Machine Learning, J. Dy, A. Krause, eds., 80 of Proceedings of Machine Learning Research, 2018, pp. 1367--1376.

  • P. Dvurechensky, D. Dvinskikh, A. Gasnikov, C.A. Uribe, A. Nedić, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, in: Advances in Neural Information Processing Systems 31, S. Bengio, H. Wallach, H. Larochelle, K. Grauman, N. Cesa-Bianchi, R. Garnett, eds., Curran Associates, Inc., 2018, pp. 10760--10770.

  • TH. Koprucki, A. Maltsi, T. Niermann, T. Streckenbach, K. Tabelow, J. Polzehl, Towards model-based geometry reconstruction of quantum dots from TEM, in: Proceedings of the 18th International Conference on Numerical Simulation of Optoelectronic Devices (NUSOD 2018), A. Djurišić, J. Piprek, eds., IEEE Conference Publications Management Group, Piscataway, NJ, 2018, pp. 115--116.

  • O. Marquardt, P. Mathé, Th. Koprucki, M. Caro, M. Willatzen, Data-driven electronic structure calculations in semiconductor nanostructures -- beyond the eight-band k.p formalism, in: Proceedings of the 18th International Conference on Numerical Simulation of Optoelectronic Devices (NUSOD 2018), A. Djurišić, J. Piprek, eds., IEEE Conference Publications Management Group, Piscataway, NJ, 2018, pp. 55--56.

  • P. Mathé, S. Agapiou, Posterior contraction in Bayesian inverse problems under Gaussian priors, in: New Trends in Parameter Identification for Mathematical Models, B. Hofmann, A. Leitao, J. Passamani Zubelli, eds., Trends in Mathematics, Springer, Basel, 2018, pp. 1--29, DOI 10.1007/978-3-319-70824-9 .

  • H.-J. Mucha, H.-G. Bartel, I. Reiche, K. Müller, Multivariate statistische Auswertung von archäometrischen Messwerten von Mammut-Elfenbein, in: Archäometrie und Denkmalpflege 2018, L. Glaser, ed., Verlag Deutsches Elektronen-Synchrotron, Hamburg, 2018, pp. 162--165, DOI 10.3204/DESY-PROC-2018-01 .

  • H.-J. Mucha, H.-G. Bartel, Distance and data transformation, in: The Encyclopedia of Archaeological Sciences, S.L. López Varela, ed., John Wiley & Sons, Inc., pp. published online on 26.11.2018, urlhttps://doi.org/10.1002/9781119188230.saseas0194, DOI 10.1002/9781119188230.saseas0194 .

Preprints, Reports, Technical Reports

  • CH. Bayer, Ch.B. Hammouda, R.F. Tempone, Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model, Preprint no. 2652, WIAS, Berlin, 2019, DOI 10.20347/WIAS.PREPRINT.2652 .
    Abstract, PDF (646 kByte)
    The rough Bergomi (rBergomi) model, introduced recently in [4], is a promising rough volatility model in quantitative finance. It is a parsimonious model depending on only three parameters, and yet exhibits remarkable fit to empirical implied volatility surfaces. In the absence of analytical European option pricing methods for the model, and due to the non-Markovian nature of the fractional driver, the prevalent option is to use the Monte Carlo (MC) simulation for pricing. Despite recent advances in the MC method in this context, pricing under the rBergomi model is still a timeconsuming task. To overcome this issue, we design a novel, hierarchical approach, based on i) adaptive sparse grids quadrature (ASGQ), and ii) quasi Monte Carlo (QMC). Both techniques are coupled with Brownian bridge construction and Richardson extrapolation. By uncovering the available regularity, our hierarchical methods demonstrate substantial computational gains with respect to the standard MC method, when reaching a sufficiently small relative error tolerance in the price estimates across different parameter constellations, even for very small values of the Hurst parameter. Our work opens a new research direction in this field, i.e., to investigate the performance of methods other than Monte Carlo for pricing and calibrating under the rBergomi model.

  • CH. Bayer, R.F. Tempone , S. Wolfers, Pricing American options by exercise rate optimization, Preprint no. 2651, WIAS, Berlin, 2019, DOI 10.20347/WIAS.PREPRINT.2651 .
    Abstract, PDF (761 kByte)
    We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and the optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called optimal exercise regions, which consist of points in time and space at which a given option is exercised. In contrast, our method determines the exercise rates of randomized exercise strategies. We show that the supremum of the corresponding stochastic optimization problem provides the correct option price. By integrating analytically over the random exercise decision, we obtain an objective function that is differentiable with respect to perturbations of the exercise rate even for finitely many sample paths. The global optimum of this function can be approached gradually when starting from a constant exercise rate. Numerical experiments on vanilla put options in the multivariate Black-Scholes model and a preliminary theoretical analysis underline the efficiency of our method, both with respect to the number of time-discretization steps and the required number of degrees of freedom in the parametrization of the exercise rates. Finally, we demonstrate the flexibility of our method through numerical experiments on max call options in the classical Black-Scholes model, and vanilla put options in both the Heston model and the non-Markovian rough Bergomi model.

  • N. Tapia, L. Zambotti, The geometry of the space of branched rough paths, Preprint no. 2645, WIAS, Berlin, 2019, DOI 10.20347/WIAS.PREPRINT.2645 .
    Abstract, PDF (378 kByte)
    We construct an explicit transitive free action of a Banach space of Hölder functions on the space of branched rough paths, which yields in particular a bijection between theses two spaces. This endows the space of branched rough paths with the structure of a principal homogeneous space over a Banach space and allows to characterize its automorphisms. The construction is based on the Baker-Campbell-Hausdorff formula, on a constructive version of the Lyons-Victoir extension theorem and on the Hairer-Kelly map, which allows to describe branched rough paths in terms of anisotropic geometric rough paths.

  • M. Coghi, T. Nilssen, Rough nonlocal diffusions, Preprint no. 2619, WIAS, Berlin, 2019, DOI 10.20347/WIAS.PREPRINT.2619 .
    Abstract, PDF (397 kByte)
    We consider a nonlinear Fokker-Planck equation driven by a deterministic rough path which describes the conditional probability of a McKean-Vlasov diffusion with "common" noise. To study the equation we build a self-contained framework of non-linear rough integration theory which we use to study McKean-Vlasov equations perturbed by rough paths. We construct an appropriate notion of solution of the corresponding Fokker-Planck equation and prove well-posedness.

  • M. Coghi, J.-D. Deuschel, P. Friz, M. Maurelli, Pathwise McKean--Vlasov theory with additive noise, Preprint no. 2618, WIAS, Berlin, 2019, DOI 10.20347/WIAS.PREPRINT.2618 .
    Abstract, PDF (348 kByte)
    We take a pathwise approach to classical McKean-Vlasov stochastic differential equations with additive noise, as e.g. exposed in Sznitmann [34]. Our study was prompted by some concrete problems in battery modelling [19], and also by recent progress on rough-pathwise McKean-Vlasov theory, notably Cass--Lyons [9], and then Bailleul, Catellier and Delarue [4]. Such a “pathwise McKean-Vlasov theory” can be traced back to Tanaka [36]. This paper can be seen as an attempt to advertize the ideas, power and simplicity of the pathwise appproach, not so easily extracted from [4, 9, 36]. As novel applications we discuss mean field convergence without a priori independence and exchangeability assumption; common noise and reflecting boundaries. Last not least, we generalize Dawson--Gärtner large deviations to a non-Brownian noise setting.

  • D. Belomestny, M. Kaledin, J.G.M. Schoenmakers, Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm, Preprint no. 2610, WIAS, Berlin, 2019, DOI 10.20347/WIAS.PREPRINT.2610 .
    Abstract, PDF (381 kByte)
    In this article we propose a Weighted Stochastic Mesh (WSM) algorithm for approximating the value of discrete and continuous time optimal stopping problems. It is shown that in the discrete time case the WSM algorithm leads to semi-tractability of the corresponding optimal stopping problem in the sense that its complexity is bounded in order by $varepsilon^-4log^d+2(1/varepsilon)$ with $d$ being the dimension of the underlying Markov chain. Furthermore we study the WSM approach in the context of continuous time optimal stopping problems and derive the corresponding complexity bounds. Although we can not prove semi-tractability in this case, our bounds turn out to be the tightest ones among the complexity bounds known in the literature. We illustrate our theoretical findings by a numerical example.

  • J. Diehl, E.-F. Kurusch, N. Tapia, Time-warping invariants of multidimensional time series, Preprint no. 2603, WIAS, Berlin, 2019, DOI 10.20347/WIAS.PREPRINT.2603 .
    Abstract, PDF (325 kByte)
    In data science, one is often confronted with a time series representing measurements of some quantity of interest. Usually, in a first step, features of the time series need to be extracted. These are numerical quantities that aim to succinctly describe the data and to dampen the influence of noise. In some applications, these features are also required to satisfy some invariance properties. In this paper, we concentrate on time-warping invariants.We show that these correspond to a certain family of iterated sums of the increments of the time series, known as quasisymmetric functions in the mathematics literature. We present these invariant features in an algebraic framework, and we develop some of their basic properties.

  • CH. Bayer, B. Stemper, Deep calibration of rough stochastic volatility models, Preprint no. 2547, WIAS, Berlin, 2018, DOI 10.20347/WIAS.PREPRINT.2547 .
    Abstract, PDF (3663 kByte)
    Sparked by Alòs, León und Vives (2007); Fukasawa (2011, 2017); Gatheral, Jaisson und Rosenbaum (2018), so-called rough stochastic volatility models such as the rough Bergomi model by Bayer, Friz und Gatheral (2016) constitute the latest evolution in option price modeling. Unlike standard bivariate diffusion models such as Heston (1993), these non-Markovian models with fractional volatility drivers allow to parsimoniously recover key stylized facts of market implied volatility surfaces such as the exploding power-law behaviour of the at-the-money volatility skew as time to maturity goes to zero. Standard model calibration routines rely on the repetitive evaluation of the map from model parameters to Black-Scholes implied volatility, rendering calibration of many (rough) stochastic volatility models prohibitively expensive since there the map can often only be approximated by costly Monte Carlo (MC) simulations (Bennedsen, Lunde & Pakkanen, 2017; McCrickerd & Pakkanen, 2018; Bayer et al., 2016; Horvath, Jacquier & Muguruza, 2017). As a remedy, we propose to combine a standard Levenberg-Marquardt calibration routine with neural network regression, replacing expensive MC simulations with cheap forward runs of a neural network trained to approximate the implied volatility map. Numerical experiments confirm the high accuracy and speed of our approach.

  • CH. Bayer, M. Redmann, J.G.M. Schoenmakers, Dynamic programming for optimal stopping via pseudo-regression, Preprint no. 2532, WIAS, Berlin, 2018, DOI 10.20347/WIAS.PREPRINT.2532 .
    Abstract, PDF (337 kByte)
    We introduce new variants of classical regression-based algorithms for optimal stopping problems based on computation of regression coefficients by Monte Carlo approximation of the corresponding L2 inner products instead of the least-squares error functional. Coupled with new proposals for simulation of the underlying samples, we call the approach "pseudo regression". We show that the approach leads to asymptotically smaller errors, as well as less computational cost. The analysis is justified by numerical examples.

  • D. Belomestny, J.G.M. Schoenmakers, V. Spokoiny, Y. Tavyrikov, Optimal stopping via deeply boosted backward regression, Preprint no. 2530, WIAS, Berlin, 2018, DOI 10.20347/WIAS.PREPRINT.2530 .
    Abstract, PDF (209 kByte)
    In this note we propose a new approach towards solving numerically optimal stopping problems via boosted regression based Monte Carlo algorithms. The main idea of the method is to boost standard linear regression algorithms in each backward induction step by adding new basis functions based on previously estimated continuation values. The proposed methodology is illustrated by several numerical examples from finance.

  • J. Polzehl, K. Papafitsoros, K. Tabelow, Patch-wise adaptive weights smoothing, Preprint no. 2520, WIAS, Berlin, 2018, DOI 10.20347/WIAS.PREPRINT.2520 .
    Abstract, PDF (28 MByte)
    Image reconstruction from noisy data has a long history of methodological development and is based on a variety of ideas. In this paper we introduce a new method called patch-wise adaptive smoothing, that extends the Propagation-Separation approach by using comparisons of local patches of image intensities to define local adaptive weighting schemes for an improved balance of reduced variability and bias in the reconstruction result. We present the implementation of the new method in an R package aws and demonstrate its properties on a number of examples in comparison with other state-of-the art image reconstruction methods.

  • CH. Bayer, D. Belomestny, M. Redmann, S. Riedel, J.G.M. Schoenmakers, Solving linear parabolic rough partial differential equations, Preprint no. 2506, WIAS, Berlin, 2018, DOI 10.20347/WIAS.PREPRINT.2506 .
    Abstract, PDF (4827 kByte)
    We study linear rough partial differential equations in the setting of [Friz and Hairer, Springer, 2014, Chapter 12]. More precisely, we consider a linear parabolic partial differential equation driven by a deterministic rough path W of Hölder regularity α with ⅓ < α ≤ ½ . Based on a stochastic representation of the solution of the rough partial differential equation, we propose a regression Monte Carlo algorithm for spatio-temporal approximation of the solution. We provide a full convergence analysis of the proposed approximation method which essentially relies on the new bounds for the higher order derivatives of the solution in space. Finally, a comprehensive simulation study showing the applicability of the proposed algorithm is presented.

  • L. Antoine, P. Pigato, Maximum likelihood drift estimation for a threshold diffusion, Preprint no. 2497, WIAS, Berlin, 2018, DOI 10.20347/WIAS.PREPRINT.2497 .
    Abstract, PDF (425 kByte)
    We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold diffusion is called the drifted Oscillating Brownian motion. The asymptotic behaviors of the positive and negative occupation times rule the ones of the estimators. Differently from most known results in the literature, we do not restrict ourselves to the ergodic framework: indeed, depending on the signs of the drift, the process may be ergodic, transient or null recurrent. For each regime, we establish whether or not the estimators are consistent; if they are, we prove the convergence in long time of the properly rescaled difference of the estimators towards a normal or mixed normal distribution. These theoretical results are backed by numerical simulations.

Vorträge, Poster

  • A. Maltsi, Th. Koprucki, T. Streckenbach, K. Tabelow, J. Polzehl, Model-based geometry reconstruction of quantum dots from TEM, ``Microscopy Conference 2019'', Poster session IM 4, Berlin, September 1 - 5, 2019.

  • A. Maltsi, Th. Koprucki, T. Streckenbach, K. Tabelow, J. Polzehl, Model-based geometry reconstruction of quantum dots from TEM, BMS Summer School 2019: Mathematics of Deep Learning, Berlin, August 19 - 30, 2019.

  • V. Avanesov, Nonparametric change point detection in regression, SFB 1294 Spring School 2019, Dierhagen, March 18 - 22, 2019.

  • F. Besold, Adaptive manifold clustering, Rencontres de Statistiques Mathématiques, December 16 - 20, 2019, Centre International de Rencontres Mathématiques (CIRM), Luminy, France, December 19, 2019.

  • F. Besold, Manifold clustering, Pennsylvania State University, Department of Mathematics, University Park, PA, USA, October 28, 2019.

  • F. Besold, Manifold clustering with adaptive weights, Structural Inference in High-Dimensional Models 2, St. Petersburg, Russian Federation, August 26 - 30, 2019.

  • F. Besold, Manifold clustering with adaptive weights, Joint Workshop of BBDC, BZML and RIKEN AIP, September 9 - 10, 2019.

  • F. Besold, Minimax clustering with adaptive weights, New frontiers in high-dimensional probability and statistics 2, February 20 - 23, 2019, Higher School of Economics, Moscow, Russian Federation, February 23, 2019.

  • O. Butkovsky, New coupling techniques for exponential ergodicity of SPDEs in hypoelliptic and effectively elliptic settings, Oberseminar Stochastik, Universität Bonn, Hausdorff Research Center, Institut für Angewandte Mathematik (IAM), November 28, 2019.

  • O. Butkovsky, Numerical methods for SDEs: A stochastic sewing approach, 12th Oxford-Berlin Young Researchers Meeting onApplied Stochastic Analysis, December 5 - 6, 2019, University of Oxford, Mathematical Institute, UK, December 6, 2019.

  • O. Butkovsky, Regularization by noise for SDEs and SPDEs with applications to numerical methods, Seminar Wahrscheinlichkeitstheorie, Universität Mannheim, Probability & Statistics Group, October 16, 2019.

  • O. Butkovsky, Regularization by noise for SDEs and related systems: A tale of two approaches, Hausdorff Junior Trimester, Universität Bonn, Hausdorff Research Institute for Mathematics (HIM), November 26, 2019.

  • M. Coghi, Mean field limit of interacting filaments for 3D Euler equations, Second Italian Meeting on Probability and Mathematical Statistics, June 17 - 20, 2019, Università degli Studi di Salerno, Dipartimento di Matematica, Vietri sul Mare, Italy, June 20, 2019.

  • M. Coghi, Pathwise McKean-Vlasov theory, Oberseminar Partielle Differentialgleichungen, Universität Konstanz, Fachbereich Mathmatik und Statistik, February 6, 2019.

  • M. Coghi, Rough nonlocal diffusions, Recent Trends in Stochastic Analysis and SPDEs, July 17 - 20, 2019, University of Pisa, Department of Mathematics, Italy, July 18, 2019.

  • M. Coghi, Stochastic nonlinear Fokker-Planck equations, 11th Annual ERC Berlin-Oxford Young Researchers Meeting on Applied Stochastic Analysis, May 23 - 25, 2019, WIAS Berlin, May 23, 2019.

  • P. Pigato, Applications of stochastic analysis to volatility modelling, Università degli Studi di Roma Tor Vergata, Italy, September 27, 2019.

  • P. Pigato, Density and tube estimates for diffusion processes under Hormander-type conditions, Statistik Seminar, University of Bologna, Italy, February 28, 2019.

  • P. Pigato, Parameters estimation in a threshold diffusion, 62nd ISI World Statistics Congress 2019, August 18 - 23, 2019, Kuala Lumpur, Malaysia, August 21, 2019.

  • P. Pigato, Precise asymptotics of rough stochastic volatility models, 11th Annual ERC Berlin-Oxford Young Researchers Meeting on Applied Stochastic Analysis, May 23 - 25, 2019, WIAS Berlin, May 23, 2019.

  • P. Pigato, Precise asymptotics: Robust stochastic volatility models, Probability and Statistic Seminar, University of Potsdam, July 1, 2019.

  • P. Pigato, Rough stochastic volatility models, University of Rome Tor Vergata, Department of Economics and Finance, Italy, June 26, 2019.

  • M. Redmann, Energy estimates and model order reduction for stochastic bilinear systems, 12th International Workshop on Stochastic Models and Control, March 19 - 22, 2019, Cottbus, March 21, 2019.

  • M. Redmann, Model reduction for stochastic bilinear systems, International Congress on Industrial and Applied Mathematics, July 15 - 19, 2019, Valencia, Spain, July 17, 2019.

  • M. Redmann, Numerical approximations for rough and stochastic differential equations, Technische Universität Bergakademie Freiberg, April 1, 2019.

  • M. Redmann, Numerical approximations for rough and stochastic differential equations, Technische Universität Dresden, April 12, 2019.

  • N. Tapia, Non-commutative Wick polynomials, Rencontre GDR Renormalisation, September 30 - October 4, 2019, L'Université du Littoral Côte d'Opale, Laboratoire de Mathématiques Pures et Appliquées Joseph Liouville, Calais, France, October 3, 2019.

  • N. Tapia, Algebraic aspects of signatures, SciCADE 2019, International Conference on Scientific Computationand Differential Equations, July 22 - 26, 2019, Innsbruck, Austria, July 24, 2019.

  • N. Tapia, Signatures in shape analysis, 4th International Conference, GSI 2019, August 27 - 29, 2019, École nationale de l'aviation civile, Toulouse, France, August 27, 2019.

  • A. Gasnikov, P. Dvurechensky, E. Gorbunov, E. Vorontsova, D. Selikhanovych, C.A. Uribe, Near-optimal method for highly smooth convex optimization, Conference on Learning Theory, COLT 2019, Phoenix, Arizona, USA, June 24 - 28, 2019.

  • A. Kroshnin, N. Tupitsa, D. Dvinskikh, P. Dvurechensky, A. Gasnikov, C.A. Uribe , On the complexity of approximating Wasserstein barycenters, Thirty-sixth International Conference on Machine Learning, ICML 2019, Long Beach, CA, USA, June 9 - 15, 2019.

  • M. Opper, S. Reich, V. Spokoiny, V. Avanesov, D. Maoutsa , P. Rozdeba, Approximative Bayesian inference and model selection for stochastic differential equations, SFB 1294 Annual Meeting 2019, September 23, 2019.

  • D. Dvinskikh, Complexity bounds for optimal distributed primal and dual methods for finite sum minimization problems, New frontiers in high-dimensional probability and statistics 2, February 22 - 23, 2019, Higher School of Economics, Moskau, Russian Federation, February 23, 2019.

  • D. Dvinskikh, Complexity rates for accelerated primal-dual gradient method for stochastic optimisation problem, ICCOPT 2019 -- Sixth International Conference on Continuous Optimization, Session ``Primal-Dual Methods for Structured Optimization'', August 5 - 8, 2019, Berlin, August 7, 2019.

  • D. Dvinskikh, Decentralized and parallelized primal and dual accelerated methods, Structural Inference in High-Dimensional Models 2, St. Petersburg, Russian Federation, August 26 - 30, 2019.

  • D. Dvinskikh, Distributed decentralized (stochastic) optimization for dual friendly functions, Optimization and Statistical Learning, Les Houches, France, March 24 - 29, 2019.

  • D. Dvinskikh, Introduction to decentralized optimization, Summer School, July 15 - 18, 2019, Sirius Educational Centre, Sochi, Russian Federation, July 16, 2019.

  • CH. Bayer, A regularity structure for rough volatility, Vienna Seminar in Mathematical Finance and Probability, TU Wien, Research Unit of Financial and Actuarial Mathematics, Austria, January 10, 2019.

  • CH. Bayer, Calibration of rough volatility models by deep learning, Rough Workshop 2019, September 4 - 6, 2019, TU Wien, Financial and Actuarial Mathematics, Austria.

  • CH. Bayer, Deep calibration of rough volatility models, New Directions in Stochastic Analysis: Rough Paths, SPDEs and Related Topics, WIAS und TU Berlin, March 18, 2019.

  • CH. Bayer, Deep calibration of rough volatility models, SIAM Conference on Financial Mathematics & Engineering, June 4 - 7, 2019, Society for Industrial and Applied Mathematics, Toronto, Ontario, Canada, June 7, 2019.

  • CH. Bayer, Learning rough volatility, Algebraic and Analytic Perspectives in the theory of Rough Paths and Signatures, November 14 - 15, 2019, University of Oslo, Department of Mathematics, Oslo, Norway, November 14, 2019.

  • CH. Bayer, Numerics for rough volatility, Stochastic Processes and related topics, February 21 - 22, 2019, Kansai University, Senriyama Campus, Osaka, Japan, February 22, 2019.

  • CH. Bayer, Pricing American options by exercise rate optimization, ICCOPT 2019 -- Sixth International Conference on Continuous Optimization, Session ``Stochastic Optimization and Its Applications (Part III)'', August 5 - 8, 2019, Berlin, August 7, 2019.

  • CH. Bayer, Pricing american options by exercise rate optimization, Workshop on Financial Risks and Their Management, February 19 - 20, 2019, Ryukoku University, Wagenkan, Kyoto, Japan, February 19, 2019.

  • P. Dvurechensky, A unifying framework for accelerated randomized optimization methods, ICCOPT 2019 -- Sixth International Conference on Continuous Optimization, Session ``Large-Scale Stochastic First-Order Optimization (Part I)'', August 5 - 8, 2019, Berlin, August 6, 2019.

  • P. Dvurechensky, Distributed calculation of Wasserstein barycenters, Huawei, Shanghai, China, June 6, 2019.

  • P. Dvurechensky, Near-optimal method for highly smooth convex optimization, Conference on Learning Theory, COLT 2019, June 24 - 28, 2019, Phoenix, Arizona, USA, June 27, 2019.

  • P. Dvurechensky, On the complexity of approximating Wasserstein barycenters, Thirty-sixth International Conference on Machine Learning, ICML 2019, June 9 - 15, 2019, Long Beach, CA, USA, June 12, 2019.

  • P. Dvurechensky, On the complexity of optimal transport problems, Computational and Mathematical Methods in Data Science, Berlin, October 24 - 25, 2019.

  • P. Dvurechensky, On the complexity of optimal transport problems, Optimal transportation meeting, September 23 - 27, 2019, Higher School of Economics, Moskau, Russian Federation, September 26, 2019.

  • P. Dvurechensky, Optimization and Statistical Learning, Les Houches, France, March 24 - 29, 2019.

  • P. Friz, Multiscale systems, homogenization and rough paths, CRC 1114 Colloquium & Lecture, Freie Universität Berlin, June 13, 2019.

  • P. Friz, On differential equations with singular forcing, Berliner Oberseminar Nichtlineare partielle Differentialgleichungen (Langenbach-Seminar), WIAS Berlin, January 9, 2019.

  • P. Friz, Rough paths, rough volatility and regularity structures, Mini-course consisting of two sessions, Mathematics and CS Seminar, July 4 - 5, 2019, Institute of Science and Technology Austria, Klosterneuburg, Austria.

  • P. Friz, Rough paths, rough volatility, regularity structures, Rough Workshop 2019, September 4 - 6, 2019, TU Wien, Financial and Actuarial Mathematics, Austria.

  • P. Friz, Rough semimartingales, Paths between Probability, PDEs, and Physics: Conference 2019, July 1 - 5, 2019, Imperial College London, July 2, 2019.

  • P. Mathé, Relating direct and inverse Bayesian problems via the modulus of continue, Stochastic Computation and Complexity, April 15 - 16, 2019, Institut Henri Poincaré, Paris, France, April 16, 2019.

  • P. Mathé, Relating direct and inverse problems via the modulus of continuity, The Chemnitz Symposium on Inverse Problems 2019, September 30 - October 2, 2019, TU Chemnitz, Fakultät für Mathematik, Frankfurt a. M., October 1, 2019.

  • P. Mathé, The role of the modulus of continuity in inverse problems, Forschungsseminar Inverse Probleme, Technische Universität Chemnitz, Fachbereich Mathematik, August 13, 2019.

  • J. Polzehl, K. Tabelow, Analyzing neuroimaging experiments within R, 2019 OHBM Annual Meeting, Rom, Italy, June 9 - 13, 2019.

  • J. Polzehl, R Introduction, visualization and package management / Exploring functional data, Leibniz MMS Summer School 2019, October 28 - November 1, 2019, Mathematisches Forschungsinstitut Oberwolfach.

  • J.G.M. Schoenmakers, Tractability of continuous time optimal stopping problems, DynStoch 2019, June 12 - 15, 2019, Delft University of Technology, Institute of Applied Mathematics, Netherlands, June 14, 2019.

  • J.G.M. Schoenmakers, Tractability of continuous time optimal stopping problems, Weekly Workshop on Mathematical Finance and Numerical Probabilty, Université Paris Diderot, École Doctorale de Sciences Mathématiques de Paris Centre, France, June 27, 2019.

  • V. Spokoiny, Advanced statistical methods, April 9 - 11, 2019, Higher School of Economics (HSE), Moskau, Russian Federation.

  • V. Spokoiny, Inference for spectral projectors, RTG Kolloquium, Universität Heidelberg, Institut ür angewandte Mathematik, January 10, 2019.

  • V. Spokoiny, Optimal stopping and control via reinforced regression, Optimization and Statistical Learning, March 25 - 28, 2019, Les Houches School of Physics, France, March 26, 2019.

  • V. Spokoiny, Optimal stopping via reinforced regression, HUB-NUS FinTech Workshop, March 18 - 21, 2019, National University of Singapore, Institute for Mathematical Science, Singapore, March 21, 2019.

  • V. Spokoiny, Statistical inference for barycenters, Optimal transportation meeting, September 23 - 27, 2019, Higher School of Economics, Moskau, Russian Federation, September 26, 2019.

  • V. Spokoiny, tba, Rencontres de Statistiques Mathématiques, December 16 - 20, 2019, Centre International de Rencontres Mathématiques (CIRM), Luminy, France, December 19, 2019.

  • K. Tabelow, Adaptive smoothing data from multi-parameter mapping, 7th Nordic-Baltic Biometric Conference, June 3 - 5, 2019, Vilnius University, Faculty of Medicine, Lithuania, June 5, 2019.

  • K. Tabelow, Model-based imaging for quantitative MRI, KoMSO Challenge-Workshop Mathematical Modeling of Biomedical Problems, December 12 - 13, 2019, Friedrich-Alexander-University Erlangen-Nuremberg (FAU), December 12, 2019.

  • K. Tabelow, Neuroimaging workshop, Advanced Statistics, February 13 - 14, 2019, University of Zurich, Center for Reproducible Science, Switzerland.

  • K. Tabelow, Quantitative MRI for in-vivo histology, Neuroimmunological Colloquium, Charité-Universitätsmedizin Berlin, November 11, 2019.

  • K. Tabelow, Quantitative MRI for in-vivo histology, Doktorandenseminar, Berlin School of Mind and Brain, April 1, 2019.

  • K. Tabelow, Version control using git / Dynamic documents in R, Leibniz MMS Summer School 2019, October 28 - November 1, 2019, Mathematisches Forschungsinstitut Oberwolfach.

  • A. Maltsi, Th. Koprucki, T. Niermann, T. Streckenbach, K. Tabelow, J. Polzehl, Computing TEM images of semiconductor nanostructures, Applied Mathematics and Simulation for Semiconductors (AMaSiS 2018), WIAS Berlin, October 8 - 10, 2018.

  • A. Suvorikova, CLT for barycenters in 2-Wasserstein space, Mass TransportationTheory: Opening Perspectives in Statistics, Probability and Computer Science, June 3 - 10, 2018, Universidad de Valladolid, Departamento de Estadística e Investigación Operativa, Spain, June 5, 2018.

  • A. Suvorikova, Central limit theorem for Wasserstein barycenters of Gaussian measures, 4th Conference of the International Society for Nonparametric Statistics, June 11 - 15, 2018, University of Salerno, Italy, June 15, 2018.

  • A. Suvorikova, Central limit theorem for barycenters in 2-Wasserstein space, Ruhr-Universität Bochum, Fakultät für Mathematik, Lehrstuhl für Stochastik, May 30, 2018.

  • A. Suvorikova, Construction of non-asymptotic confidence sets in 2-Wasserstein space, Structural Learning Seminar, Skolkovo Institute of Science and Technology, Moscow, Russian Federation, May 10, 2018.

  • A. Suvorikova, Gaussian process forecast with multidimensional distributional input, Haindorf Seminar 2018, January 23 - 27, 2018, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, Hejnice, Czech Republic, January 25, 2018.

  • A. Suvorikova, Statistical inference with optimal transport, Spring School ``Structural Inference 2018'' and Closing Workshop, FOR 1735 ``Structural Inference in Statistics'', Lübbenau, March 4 - 9, 2018.

  • N. Buzun, Sein's method, Haindorf Seminar 2018, January 24 - 27, 2018, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, Hejnice, Czech Republic, January 26, 2018.

  • M. Coghi, Mean field limit of interacting filaments for 3D Euler equations, Bielefeld-Edinburgh-Swansea Stochastic Spring, March 26 - 28, 2018, Universität Bielefeld, Fakultät für Mathematik, March 27, 2018.

  • M. Coghi, Mean field limit of interacting filaments for 3D Euler equations, BSDEs, Information and McKean-Vlasov equations, September 10 - 12, 2018, University of Leeds, School of Mathematics, UK, September 10, 2018.

  • M. Coghi, Non-local stochastic scalar conservation laws, Bielefeld Stochastic Afternoon, Universität Bielefeld, Fakultät für Mathematik, October 16, 2018.

  • M. Coghi, Pathwise McKean--Vlasov theory, 10th Oxford-Berlin Young Researchers Meeting on Applied Stochastic Analysis, November 29 - December 1, 2018, University of Oxford, Mathematical Institute, UK, December 1, 2018.

  • M. Maurelli, McKean--Vlasov SDEs with irregular drift: Large deviations for particle approximation, University of Oxford, Mathematical Institute, UK, March 5, 2018.

  • M. Maurelli, Sanov theorem for Brownian rough paths and an application to interacting particles, Università di Roma La Sapienza, Dipartimento di Matematica Guido Castelnuovo, Italy, January 18, 2018.

  • M. Maurelli , A McKean--Vlasov SDE with reflecting boundaries, CASA Colloquium, Eindhoven University of Technology, Department of Mathematics and Computer Science, Netherlands, January 10, 2018.

  • P. Pigato, Asymptotic analysis of rough volatility models, Probability Seminar, L'Università di Milano-Bicocca, Dipartimento di Matematica e Applicazioni, Italy, July 13, 2018.

  • P. Pigato, Asymptotic analysis of rough volatility models, Seminar of the Research Training Group 2131, Ruhr-Universität Bochum, June 25, 2018.

  • P. Pigato, Density and tube estimates for diffusion processes under Hormander-type conditions, Séminaire (de Calcul) Stochastique, Université de Strasbourg, Institut de Recherche Mathématique Avancée, France, November 23, 2018.

  • P. Pigato, Estimation of piecewise-constant coefficients in a stochastic differential equation, The 40th Conference on Stochastic Processes and their Applications (SPA 2018), University of Gothenburg, Göteborg, Sweden, June 13, 2018.

  • P. Pigato, Faits stilisés et modélisation de la volatilité, École Polytechnique, Université Paris-Saclay, Département de Mathématiques Appliquées, Palaiseau, France, April 20, 2018.

  • P. Pigato, Faits stilisés et modélisation de la volatilité, Seminaire, Institut de Science Financière et d'Assurances, Université Lyon 1, France, May 14, 2018.

  • P. Pigato, Precise asymptotics of rough stochastic volatility models, University of Trento, Department of Mathematics, November 16, 2018.

  • P. Pigato, Short dated option pricing under rough volatility, Berlin-Paris Young Researchers Workshop Stochastic Analysis with applications in Biology and Finance, May 2 - 4, 2018, Institut des Systèmes Complexes de Paris Ile-de-France (ISC-PIF), National Center for Scientific Research, Paris, France, May 4, 2018.

  • P. Pigato, Some elements of statistics and modeling for financial markets, University of Trento, Department of Mathematics, Italy, December 19, 2018.

  • M. Redmann, Beyond the theory of ordinary differential equations, Seminar of the Department of Mathematics and Computer Science, University of Southern Denmark, Odense, February 22, 2018.

  • M. Redmann, Numerical approximations of parabolic rough PDEs, Harmonic Analysis for Stochastic PDEs, July 10 - 13, 2018, Delft University of Technology, Netherlands, July 10, 2018.

  • M. Redmann, Solving linear parabolic rough partial differential equations, 13th German Probability and Statistics Days 2018, February 27 - March 2, 2018, Albert-Ludwigs-Universität Freiburg, Abteilung für Mathematische Stochastik, March 1, 2018.

  • M. Redmann, Solving parabolic rough partial differential equations using regression, 13th International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing, July 1 - 6, 2018, University of Rennes, Faculty of Economics, France, July 5, 2018.

  • M. Redmann, Solving stochastic partial differential equations, Universität Greifswald, Institut für Mathematik und Informatik, April 19, 2018.

  • B. Stemper, Calibration of the rough Bergomi model via neural networks, 9th Annual ERC Berlin-Oxford Young Researchers Meeting on Applied Stochastic Analysis, June 14 - 16, 2018, WIAS Berlin, June 14, 2018.

  • B. Stemper, Pricing under rough volatility, Premia Meeting, Centre de recherche INRIA Paris, France, March 12, 2018.

  • B. Stemper, Short-time near-the-money skew in rough volatility models, 10th World Congress of the Bachelier Finance Society, July 16 - 20, 2018, Bachelier Finance Society, Dublin, Ireland, July 19, 2018.

  • D. Dvinskikh, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, Thirty-second Conference on Neural Information Processing Systems, December 3 - 8, 2018, Montréal, Canada, December 6, 2018.

  • CH. Bayer, Short-time near-the-money skew in rough fractional volatility models, 9-th International Workshop on Applied Probability, June 18 - 21, 2018, Eörvös Loránd University (ELU), Budapest, Hungary, June 19, 2018.

  • CH. Bayer, Smoothing the payoff for computation of basket options, Berlin-Paris Young Researchers Workshop Stochastic Analysis with Applications in Biology and Finance, May 2 - 4, 2018, Institut des Systèmes Complexes de Paris Ile-de-France (ISC-PIF), National Center for Scientific Research, Paris, France, May 3, 2018.

  • CH. Bayer, Smoothing the payoff for computation of basket options, 13th International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing, July 1 - 6, 2018, University of Rennes, Faculty of Economics, France, July 3, 2018.

  • CH. Bayer, Smoothing the payoff for computation of basket options, Stochastic Methods in Finance and Physics, July 23 - 27, 2018, National Technical University of Athens, Department of Mathematics, Heraklion, Greece.

  • P. Dvurechensky, D. Dvinskikh, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, Thirty-Second Conference On Neural Information Processing Systems, Montréal, Canada, December 3 - 8, 2018.

  • P. Dvurechensky, Computational optimal transport: Accelerated gradient descent vs Sinkhorn, ISMP 2018 Bordeaux, July 1 - 6, 2018, University of Bordeaux, Institut de Mathématiques, France, July 4, 2018.

  • P. Dvurechensky, Computational optimal transport: Accelerated gradient descent vs. Sinkhorn's algorithm, Statistical Optimal Transport, July 24 - 25, 2018, Skolkovo Institute of Science and Technology, Moscow, Russian Federation, July 25, 2018.

  • P. Dvurechensky, Computational optimal transport: Complexity by accelerated gradient descent is better than by Sinkhorn's algorithm, The 35th International Conference on Machine Learning (ICML 2018), Stockholm, Sweden, July 9 - 15, 2018.

  • P. Dvurechensky, Computational optimal transport: Complexity by accelerated gradient descent is better than by Sinkhorn's algorithm, The 35th International Conference on Machine Learning (ICML 2018), July 9 - 15, 2018, International Machine Learning Society (IMLS), Stockholm, Sweden, July 11, 2018.

  • P. Dvurechensky, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, Thirty-second Conference on Neural Information Processing Systems, December 3 - 8, 2018, Montréal, Canada, December 6, 2018.

  • P. Dvurechensky, Faster algorithms for (regularized) optimal transport, Grenoble Optimization Days 2018, June 28 - 29, 2018, Université Grenoble Alpes, Laboratoire Jean Kuntzmann, France, June 29, 2018.

  • P. Dvurechensky, Faster algorithms for (regularized) optimal transport, Moscow Institute of Physics and Technology, Dolgoprudny, Russian Federation, March 30, 2018.

  • P. Dvurechensky, Primal-dual methods for solving infinite-dimensional games, Games, Dynamics and Optimization GDO2018, March 13 - 15, 2018, Universität Wien, Fakultät für Mathematik, Austria, March 15, 2018.

  • P. Dvurechensky, Universal method for variational inequalities with Holder-continuous monotone operator, MIA 2018 -- Mathematics and Image Analysis, Humboldt-Universität zu Berlin, January 15 - 17, 2018.

  • P. Friz, Analysis of rough volatility via rough paths / regularity structures, METE -- Mathematics and Economics: Trends and Explorations. A conference celebrating Mete Soner's 60th birthday and his contributions to Analysis, Control, Finance and Probability, June 4 - 8, 2018, Eidgenössische Technische Hochschule Zürich, Forschungsinstitut für Mathematik, Switzerland, June 5, 2018.

  • P. Friz, From rough paths and regularity structures to short dated option pricing under rough volatility, Workshop on Mathematical Finance and Related Issues, Osaka University, Nakanoshima Center, Japan, March 15, 2018.

  • P. Friz, Rough path analysis of rough volatility, 9-th International Workshop On Applied Probability, June 18 - 22, 2018, Eörvös Loránd University (ELU), Budapest, Hungary, June 18, 2018.

  • P. Friz, Rough path analysis of rough volatility, Stochastic Analysis Seminar, Imperial College London, Department of Mathematics, Stochastic Analysis Group, UK, February 13, 2018.

  • P. Friz, Rough paths, stochastics and PDE's, ECMath Colloquium, July 6, 2018, Humboldt-Universität zu Berlin, July 6, 2018.

  • P. Friz, Stepping stoch vol and related topics, 25th Global Derivatives Trading & Risk Management 2018, Volatility Modelling & Trading, May 14 - 18, 2018, Lisbon, Portugal, May 16, 2018.

  • P. Friz, Varieties of signature tensors, Workshop on Stochastic Analysis, Geometry and Statistics, June 21 - 22, 2018, Imperial College London, UK, June 22, 2018.

  • A. Koziuk, Gaussian comparison on a family of Euclidean balls, Haindorf Seminar 2018, January 23 - 27, 2018, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, Hejnice, Czech Republic, January 26, 2018.

  • P. Mathé, Bayesian inverse problems with non-commuting operators, Chemnitz September of Applied Mathematics 2018, Chemnitz Symposium on Inverse Problems, September 27 - 28, 2018, Technische Universität Chemnitz, Fakultät für Mathematik, September 28, 2018.

  • P. Mathé, Complexity of linear ill-posed problems in Hilbert space, Stochastisches Kolloquium, Georg-August-Universität Göttingen, Institut für Mathematische Stochastik, February 7, 2018.

  • P. Mathé, Complexity of linear ill-posed problems in Hilbert space, University of Cyprus, Department of Mathematics and Statistics, Nicosia, Cyprus, December 7, 2018.

  • P. Mathé, Relating posterior contraction for direct and inverse Bayesian problems by the modulus of continuity, International Conference on Inverse Problems, October 12 - 14, 2018, Fudan University, School of Mathematical Sciences, Shanghai, China, October 13, 2018.

  • H.-J. Mucha, Multivariate statistische Auswertung von archäometrischen Messwerten von Mammut-Elfenbein, Tagung Archäometrie und Denkmalpflege 2018, Deutsches Elektronen-Synchrotron DESY, Hamburg, March 20 - 24, 2018.

  • J. Polzehl, High resolution magnetic resonance imaging experiments -- Lessons in nonlinear statistical modeling, 3rd Leibniz MMS Days, February 28 - March 2, 2018, Wissenschaftszentrum Leipzig, March 1, 2018.

  • J. Polzehl, Modeling high dimensional data, Leibniz MMS Summer School 2018 on Statistical Modeling and Data Analysis, September 3 - 7, 2018, Leibniz MMS Network, Mathematisches Forschungsinstitut Oberwolfach.

  • J. Polzehl, Towards in-vivo histology of the brain -- Some statistical contributions, CMRR Seminar, University of Minnesota, Center for Magnetic Resonance Research (CMRR), Minneapolis, USA, October 15, 2018.

  • V. Spokoiny, Adaptive nonparametric clustering, Multiscale Problems in Materials Science and Biology: Analysis and Computation, January 8 - 12, 2018, Tsinghua University, Yau Mathematical Sciences Center, Sanya, Hainan, China, January 10, 2018.

  • V. Spokoiny, Bootstrap confidence sets for spectral projectors of sample covariance, 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics, July 2 - 6, 2018, Vilnius University, Lithuanian Mathematical Society and the Institute of Mathematical Statistics, Lithuania, July 5, 2018.

  • V. Spokoiny, Gaussian process forecast with multidimensional distributional input, 4th Conference of the International Society for Nonparametric Statistics, June 11 - 15, 2018, University of Salerno, Italy, June 15, 2018.

  • V. Spokoiny, Inference for spectral projectors, Workshop ``Statistical Inference for Structured High-dimensional Models'', March 11 - 16, 2018, Mathematisches Forschungsinstitut Oberwolfach, March 14, 2018.

  • V. Spokoiny, Large ball probability with applications in statistics, Mathematical Workshop of the School of Applied Mathematics and Computer Science, Moscow Institute of Physics and Technology, Dolgoprudny, Russian Federation, November 30, 2018.

  • V. Spokoiny, Large ball probability with applications to statistical inference, 6th Princeton Day of Statistics, Princeton University, Department of Operations Research and Financial Engineering, USA, November 9, 2018.

  • V. Spokoiny, Manifold learning: Theory and applications, Pennsylvania State University, Department of Mathematics, State College, USA, November 14, 2018.

  • V. Spokoiny, Prior impact in Bayesian inference, International Seminar & Workshop: ``Stochastic Dynamics on Large Networks: Prediction and Inference'', October 15 - 16, 2018, Max-Planck-Institut für Physik komplexer Systeme, Dresden, October 15, 2018.

  • V. Spokoiny, Structured nonparametric and high-dimensional statistics, 2018 Joint Meeting of the Korean Mathematical Society and the German Mathematical Society, October 3 - 6, 2018, Korean Mathematical Society, Seoul, Korea (Republic of), October 5, 2018.

  • K. Tabelow, Structural adaptation for noise reduction in magnetic resonance imaging, SIAM Conference on Imaging Science, Minisymposium MS5 ``Learning and Adaptive Approaches in Image Processing'', June 5 - 8, 2018, Bologna, Italy, June 5, 2018.

Preprints im Fremdverlag

  • V. Avanesov, How to gamble with non-stationary x-armed bandits and have no regrets, Preprint no. arXiv:1908.07636, Cornell University Library, arXiv.org, 2019.
    Abstract
    In X-armed bandit problem an agent sequentially interacts with environment which yields a reward based on the vector input the agent provides. The agent's goal is to maximise the sum of these rewards across some number of time steps. The problem and its variations have been a subject of numerous studies, suggesting sub-linear and some times optimal strategies. The given paper introduces a novel variation of the problem. We consider an environment, which can abruptly change its behaviour an unknown number of times. To that end we propose a novel strategy and prove it attains sub-linear cumulative regret. Moreover, in case of highly smooth relation between an action and the corresponding reward, the method is nearly optimal. The theoretical result are supported by experimental study.

  • V. Avanesov, Nonparametric change point detection in regression, Preprint no. arXiv:1903.02603, Cornell University Library, arXiv.org, 2019.
    Abstract
    This paper considers the prominent problem of change-point detection in regression. The study suggests a novel testing procedure featuring a fully data-driven calibration scheme. The method is essentially a black box, requiring no tuning from the practitioner. The approach is investigated from both theoretical and practical points of view. The theoretical study demonstrates proper control of first-type error rate under H0 and power approaching 1 under H1. The experiments conducted on synthetic data fully support the theoretical claims. In conclusion, the method is applied to financial data, where it detects sensible change-points. Techniques for change-point localization are also suggested and investigated.

  • O. Butkovsky, K. Dareiotis, M. Gerencsér, Approximation of SDEs -- a stochastic sewing approach, Preprint no. arXiv:1909.07961, Cornell University Library, arXiv.org, 2019.

  • O. Butkovsky, M. Scheutzow, Couplings via comparison principle and exponential ergodicity of SPDEs in the hypoelliptic setting, Preprint no. arXiv:1907.03725, Cornell University Library, arXiv.org, 2019.

  • M. Redmann, An $L^2_T$-error bound for time-limited balanced truncation, Preprint no. arXiv:1907.05478, Cornell University Library, arXiv.org, 2019.

  • Y.-W. Sun, K. Papagiannouli, V. Spokoiny, Online graph-based change-point detection for high dimensional data, Preprint no. arXiv:1906.03001, Cornell University Library, arXiv.org, 2019.
    Abstract
    Online change-point detection (OCPD) is important for application in various areas such as finance, biology, and the Internet of Things (IoT). However, OCPD faces major challenges due to high-dimensionality, and it is still rarely studied in literature. In this paper, we propose a novel, online, graph-based, change-point detection algorithm to detect change of distribution in low- to high-dimensional data. We introduce a similarity measure, which is derived from the graph-spanning ratio, to test statistically if a change occurs. Through numerical study using artificial online datasets, our data-driven approach demonstrates high detection power for high-dimensional data, while the false alarm rate (type I error) is controlled at a nominal significant level. In particular, our graph-spanning approach has desirable power with small and multiple scanning window, which allows timely detection of change-point in the online setting.

  • M. Alkousa, D. Dvinskikh, F. Stonyakin, A. Gasnikov, Accelerated methods for composite non-bilinear saddle point problem, Preprint no. arXiv:1906.03620, Cornell University Library, arXiv.org, 2019.

  • J. Diehl, K. Ebrahimi-Fard, N. Tapia, Time warping invariants of multidimensional time series, Preprint no. arXiv:1906.05823, Cornell University Library, arXiv.org, 2019.
    Abstract
    In data science, one is often confronted with a time series representing measurements of some quantity of interest. Usually, in a first step, features of the time series need to be extracted. These are numerical quantities that aim to succinctly describe the data and to dampen the influence of noise. In some applications, these features are also required to satisfy some invariance properties. In this paper, we concentrate on time-warping invariants. We show that these correspond to a certain family of iterated sums of the increments of the time series, known as quasisymmetric functions in the mathematics literature. We present these invariant features in an algebraic framework, and we develop some of their basic properties.

  • E. Gorbunov, D. Dvinskikh, A. Gasnikov, Optimal decentralized distributed algorithms for stochastic convex optimization, Preprint no. arXiv:1911.07363, Cornell University Library, arXiv.org, 2019.

  • A. Kroshnin, D. Dvinskikh, P. Dvurechensky, N. Tupitsa, C. Uribe, On the complexity of approximating Wasserstein barycenter, Preprint no. arXiv:1901.08686, Cornell University Library, arXiv.org, 2019.

  • A. Kroshnin, V. Spokoiny, A. Suvorikova, Statistical inference for Bures-Wasserstein barycenters, Preprint no. arXiv:1901.00226, Cornell University Library, arXiv.org, 2019.

  • A. Olgatsov, D. Dvinskikh, P. Dvurechensky, A. Gasnikov, V. Spokoiny, Adaptive gradient descent for convex and non-convex stochastic optimization, Preprint no. arXiv:1911.08380, Cornell University Library, arXiv.org, 2019.

  • N. Puchkin, V. Spokoiny, Structure-adaptive manifold estimation, Preprint no. arXiv:1906.05014, Cornell University Library, arXiv.org, 2019.
    Abstract
    We consider a problem of manifold estimation from noisy observations. Many manifold learning procedures locally approximate a manifold by a weighted average over a small neighborhood. However, in the presence of large noise, the assigned weights become so corrupted that the averaged estimate shows very poor performance. We suggest a novel computationally efficient structure-adaptive procedure, which simultaneously reconstructs a smooth manifold and estimates projections of the point cloud onto this manifold. The proposed approach iteratively refines the weights on each step, using the structural information obtained at previous steps. After several iterations, we obtain nearly öracle" weights, so that the final estimates are nearly efficient even in the presence of relatively large noise. In our theoretical study we establish tight lower and upper bounds proving asymptotic optimality of the method for manifold estimation under the Hausdorff loss. Our finite sample study confirms a very reasonable performance of the procedure in comparison with the other methods of manifold estimation.

  • A. Rastogi, G. Blanchard, P. Mathé, Convergence analysis of Tikhonov regularization for non-linear statistical inverse learning problems, Preprint no. arXiv:1902.05404, Cornell University Library, arXiv.org, 2019.
    Abstract
    We study a non-linear statistical inverse learning problem, where we observe the noisy image of a quantity through a non-linear operator at some random design points. We consider the widely used Tikhonov regularization (or method of regularization, MOR) approach to reconstruct the estimator of the quantity for the non-linear ill-posed inverse problem. The estimator is defined as the minimizer of a Tikhonov functional, which is the sum of a data misfit term and a quadratic penalty term. We develop a theoretical analysis for the minimizer of the Tikhonov regularization scheme using the ansatz of reproducing kernel Hilbert spaces. We discuss optimal rates of convergence for the proposed scheme, uniformly over classes of admissible solutions, defined through appropriate source conditions.

  • F. Stonyakin, A. Gasnikov, A. Tyurin, D. Pasechnyuk, A. Agafonov, P. Dvurechensky, D. Dvinskikh, A. Kroshnin, V. Piskunova, Inexact Model: A framework for optimization and variational inequalities, Preprint no. arXiv:1902.00990, Cornell University Library, arXiv.org, 2019.

  • F. Stonyakin, D. Dvinskikh, P. Dvurechensky, A. Kroshnin, O. Kuznetsova, A. Agafonov, A. Gasnikov, A. Tyurin, C.A. Uribe, D. Pasechnyuk, S. Artamonov, Gradient methods for problems with inexact model of the objective, Preprint no. arXiv:1902.09001, Cornell University Library, arXiv.org, 2019.

  • D. Dvinskikh, A. Gasnikov, Decentralized and parallelized primal and dual accelerated methods for stochastic convex programming problems, Preprint no. arXiv:1904.09015, Cornell University Library, arXiv.org, 2019.
    Abstract
    We introduce primal and dual stochastic gradient oracle methods for decentralized convex optimization problems. The proposed methods are optimal in terms of communication steps for primal and dual oracles. However, optimality in terms of oracle calls per node takes place in all the cases up to a logarithmic factor and the notion of smoothness (the worst case vs the average one). All the methods for stochastic oracle can be additionally parallelized on each node due to the batching technique.

  • D. Dvinskikh, E. Gorbunov, A. Gasnikov, P. Dvurechensky, C.A. Uribe, On dual approach for distributed stochastic convex optimization over networks, Preprint no. arXiv:1903.09844, Cornell University Library, arXiv.org, 2019.
    Abstract
    We introduce dual stochastic gradient oracle methods for distributed stochastic convex optimization problems over networks. We estimate the complexity of the proposed method in terms of probability of large deviations. This analysis is based on a new technique that allows to bound the distance between the iteration sequence and the solution point. By the proper choice of batch size, we can guarantee that this distance equals (up to a constant) to the distance between the starting point and the solution.

  • V. Spokoiny, M. Panov, Accuracy of Gaussian approximation in nonparametric Bernstein -- von Mises theorem, Preprint no. arXiv:1910.06028, Cornell University Library, arXiv.org, 2019.

  • V. Avanesov, Structural break analysis in high-dimensional covariance structure, Preprint no. arXiv:1803.00508, Cornell University Library, arXiv.org, 2018.
    Abstract
    This paper considers the prominent problem of change-point detection in regression. The study suggests a novel testing procedure featuring a fully data-driven calibration scheme. The method is essentially a black box, requiring no tuning from the practitioner. The approach is investigated from both theoretical and practical points of view. The theoretical study demonstrates proper control of first-type error rate under H0 and power approaching 1 under H1. The experiments conducted on synthetic data fully support the theoretical claims. In conclusion, the method is applied to financial data, where it detects sensible change-points. Techniques for change-point localization are also suggested and investigated.

  • J.Y. Park, J. Polzehl, S. Chatterjee, A. Brechmann, ET AL., Semiparametric modeling of time-varying activation and connectivity in task-based fMRI data, Discussion paper, http://works.bepress.com/mfiecas/20, 2018.

  • A. Ivanova, P. Dvurechensky, A. Gasnikov, Composite optimization for the resource allocation problem, Preprint no. arXiv:1810.00595, Cornell University Library, arXiv.org, 2018.
    Abstract
    In this paper we consider resource allocation problem stated as a convex minimization problem with linear constraints. To solve this problem, we use gradient and accelerated gradient descent applied to the dual problem and prove the convergence rate both for the primal iterates and the dual iterates. We obtain faster convergence rates than the ones known in the literature. We also provide economic interpretation for these two methods. This means that iterations of the algorithms naturally correspond to the process of price and production adjustment in order to obtain the desired production volume in the economy. Overall, we show how these actions of the economic agents lead the whole system to the equilibrium.

  • F. Bachoc, A. Suvorikova , J.-M. Loubes, V. Spokoiny, Gaussian process forecast with multidimensional distributional entries, Preprint no. arXiv:1805.00753v1, Cornell University Library, arXiv.org, 2018.

  • D. Belomestny, J.G.M. Schoenmakers, V. Spokoiny, Y. Tavyrikov, Optimal stopping via reinforced regression, Preprint no. arXiv:1808.02341v2, Cornell University Library, arXiv.org, 2018.

  • M. Boeckel, V. Spokoiny, A. Suvorikova, Multivariate Brenier cumulative distribution functions and their application to non-parametric testing, Preprint no. arXiv:1809.04090v1, Cornell University Library, arXiv.org, 2018.

  • I. Chevyrev, P. Friz, A. Korepanov, I. Melbourne, H. Zhang, Multiscale systems, homogenization, and rough paths, Preprint no. arXiv:1712.01343, Cornell University Library, arXiv.org, 2018.

  • F. Götze , A. Naumov, V. Spokoiny, V. Ulyanov, Large ball probability, Gaussian comparison and anti-concentration, Preprint no. arXiv:1708.08663v2, Cornell University Library, arXiv.org, 2018.

  • B. Hofmann, S. Kindermann, P. Mathé, Penalty-based smoothness conditions in convex variational regularization, Preprint no. arXiv:1805.01320, Cornell University Library, arXiv.org, 2018.
    Abstract
    The authors study Tikhonov regularization of linear ill-posed problems with a general convex penalty defined on a Banach space. It is well known that the error analysis requires smoothness assumptions. Here such assumptions are given in form of inequalities involving only the family of noise-free minimizers along the regularization parameter and the (unknown) penalty-minimizing solution. These inequalities control, respectively, the defect of the penalty, or likewise, the defect of the whole Tikhonov functional. The main results provide error bounds for a Bregman distance, which split into two summands: the first smoothness-dependent term does not depend on the noise level, whereas the second term includes the noise level. This resembles the situation of standard quadratic Tikhonov regularization Hilbert spaces. It is shown that variational inequalities, as these were studied recently, imply the validity of the assumptions made here. Several examples highlight the results in specific applications.

  • Y. Nesterov, A. Gasnikov, S. Guminov, P. Dvurechensky, Primal-dual accelerated gradient descent with line search for convex and nonconvex optimization problems, Preprint no. arXiv:1809.05895, Cornell University Library, arXiv.org, 2018.
    Abstract
    In this paper a new variant of accelerated gradient descent is proposed. The proposed method does not require any information about the objective function, uses exact line search for the practical accelerations of convergence, converges according to the well-known lower bounds for both convex and non-convex objective functions, possesses primal-dual properties and can be applied in the non-euclidian set-up. As far as we know this is the first such method possessing all of the above properties at the same time. We demonstrate how in practice one can efficiently use the combination of line-search and primal-duality by considering a convex optimization problem with a simple structure (for example, affinely constrained).

  • N. Puchkin, V. Spokoiny, Adaptive multiclass nearest neighbor classifier, Preprint no. arXiv:1804.02756, Cornell University Library, arXiv.org, 2018.

  • C.A. Uribe, D. Dvinskikh, P. Dvurechensky, A. Gasnikov, A. Nedić, Distributed computation of Wasserstein barycenters over networks, Preprint no. arXiv:1803.02933, Cornell University Library, arXiv.org, 2018.

  • CH. Bayer, R. Tempone, S. Wolfers, Pricing American options by exercise rate optimization, Preprint no. arXiv:1809.07300, Cornell University Library, arXiv.org, 2018.
    Abstract
    We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called optimal emphexercise regions, which consist of points in time and space at which the option is exercised. In contrast, our method determines emphexercise rates of randomized exercise strategies. We show that the supremum of the corresponding stochastic optimization problem provides the correct option price. By integrating analytically over the random exercise decision, we obtain an objective function that is differentiable with respect to perturbations of the exercise rate even for finitely many sample paths. Starting in a neutral strategy with constant exercise rate then allows us to globally optimize this function in a gradual manner. Numerical experiments on vanilla put options in the multivariate Black--Scholes model and preliminary theoretical analysis underline the efficiency of our method both with respect to the number of time-discretization steps and the required number of degrees of freedom in the parametrization of exercise rates. Finally, the flexibility of our method is demonstrated by numerical experiments on max call options in the Black--Scholes model and vanilla put options in Heston model and the non-Markovian rough Bergomi model.

  • P. Dvurechensky, A. Gasnikov, E. Gorbunov, An accelerated directional derivative method for smooth stochastic convex optimization, Preprint no. arXiv:1804.02394, Cornell University Library, arXiv.org, 2018.
    Abstract
    We consider smooth stochastic convex optimization problems in the context of algorithms which are based on directional derivatives of the objective function. This context can be considered as an intermediate one between derivative-free optimization and gradient-based optimization. We assume that at any given point and for any given direction, a stochastic approximation for the directional derivative of the objective function at this point and in this direction is available with some additive noise. The noise is assumed to be of an unknown nature, but bounded in the absolute value. We underline that we consider directional derivatives in any direction, as opposed to coordinate descent methods which use only derivatives in coordinate directions. For this setting, we propose a non-accelerated and an accelerated directional derivative method and provide their complexity bounds. Despite that our algorithms do not use gradient information, our non-accelerated algorithm has a complexity bound which is, up to a factor logarithmic in problem dimension, similar to the complexity bound of gradient-based algorithms. Our accelerated algorithm has a complexity bound which coincides with the complexity bound of the accelerated gradient-based algorithm up to a factor of square root of the problem dimension, whereas for existing directional derivative methods this factor is of the order of problem dimension. We also extend these results to strongly convex problems. Finally, we consider derivative-free optimization as a particular case of directional derivative optimization with noise in the directional derivative and obtain complexity bounds for non-accelerated and accelerated derivative-free methods. Complexity bounds for these algorithms inherit the gain in the dimension dependent factors from our directional derivative methods.

  • P. Dvurechensky, A. Gasnikov, E. Gorbunov, An accelerated method for derivative-free smooth stochastic convex optimization, Preprint no. arXiv:1802.09022, Cornell University Library, arXiv.org, 2018.
    Abstract
    We consider an unconstrained problem of minimization of a smooth convex function which is only available through noisy observations of its values, the noise consisting of two parts. Similar to stochastic optimization problems, the first part is of a stochastic nature. On the opposite, the second part is an additive noise of an unknown nature, but bounded in the absolute value. In the two-point feedback setting, i.e. when pairs of function values are available, we propose an accelerated derivative-free algorithm together with its complexity analysis. The complexity bound of our derivative-free algorithm is only by a factor of n??? larger than the bound for accelerated gradient-based algorithms, where n is the dimension of the decision variable. We also propose a non-accelerated derivative-free algorithm with a complexity bound similar to the stochastic-gradient-based algorithm, that is, our bound does not have any dimension-dependent factor. Interestingly, if the solution of the problem is sparse, for both our algorithms, we obtain better complexity bound if the algorithm uses a 1-norm proximal setup, rather than the Euclidean proximal setup, which is a standard choice for unconstrained problems.

  • P. Dvurechensky, A. Gasnikov, A. Kroshnin, Computational optimal transport: Complexity by accelerated gradient descent is better than by Sinkhorn's algorithm, Preprint no. arXiv:1802.04367, Cornell University Library, arXiv.org, 2018.

  • P. Dvurechensky, A. Gasnikov, F. Stonyakin, A. Titov, Generalized mirror prox: Solving variational inequalities with monotone operator, inexact Oracle, and unknown Hölder parameters, Preprint no. arXiv:1806.05140, Cornell University Library, arXiv.org, 2018.

  • P. Dvurechensky, D. Dvinskikh, A. Gasnikov, C.A. Uribe, A. Nedić, Decentralize and randomize: Faster algorithm for Wasserstein barycenters, Preprint no. arXiv:1806.03915, Cornell University Library, arXiv.org, 2018.
    Abstract
    We study the problem of decentralized distributed computation of a discrete approximation for regularized Wasserstein barycenter of a finite set of continuous probability measures distributedly stored over a network. Particularly, we assume that there is a network of agents/machines/computers where each agent holds a private continuous probability measure, and seeks to compute the barycenter of all the measures in the network by getting samples from its local measure and exchanging information with its neighbors. Motivated by this problem, we develop and theoretically analyze a novel accelerated primal-dual stochastic gradient method for general stochastic convex optimization problems with linear equality constraints. Then, we apply this method to the decentralized distributed optimization setting to propose a new algorithm for the distributed semi-discrete regularized Wasserstein barycenter problem. The proposed algorithm can be executed over arbitrary networks that are undirected, connected and static, using the local information only. Moreover, we show explicit non-asymptotic complexity in terms of the problem parameters. Finally, we show the effectiveness of our method on the distributed computation of the regularized Wasserstein barycenter of univariate Gaussian and von Mises distributions, as well as on some applications to image aggregation.

  • P. Friz, P. Gassiat, P. Pigato, Precise asymptotics: Robust stochastic volatility models, Preprint no. arXiv:1811.00267, Cornell University Library, arXiv.org, 2018.

  • A. Koziuk, V. Spokoiny, Instrumental variables regression, Preprint no. arXiv:1806.06111v1, Cornell University Library, arXiv.org, 2018.

  • A. Koziuk, V. Spokoiny, Toolbox: Gaussian comparison on Euclidean balls, Preprint no. arXiv:1804.00601v1, Cornell University Library, arXiv.org, 2018.

  • P. Mathé, Bayesian inverse problems with non-commuting operators, Preprint no. arXiv:1801.09540, Cornell University Library, arXiv.org, 2018.
    Abstract
    The Bayesian approach to ill-posed operator equations in Hilbert space recently gained attraction. In this context, and when the prior distribution is Gaussian, then two operators play a significant role, the one which governs the operator equation, and the one which describes the prior covariance. Typically it is assumed that these operators commute. Here we extend this analysis to non-commuting operators, replacing the commutativity assumption by a link condition. We discuss its relation to the commuting case, and we indicate that this allows to use interpolation type results to obtain tight bounds for the contraction of the posterior Gaussian distribution towards the data generating element.