Volatility smile extrapolation with an artificial neural network

I use a multi-layer feedforward perceptron, with backpropagation learning implemented via stochastic gradient descent, to extrapolate the volatility smile of Euribor derivatives over low-strikes by training the network on parametric prices.

Learning spatial filters for multispectral image segmentation

We present a novel filtering method for multispectral satellite image classification. The proposed method learns a set of spatial filters that maximize class separability of binary support vector machine (SVM) through a gradient descent approach. Regularization issues are discussed in detail and a Frobenius-norm regularization is proposed to efficiently exclude uninformative filters coefficients. Experiments carried out on multiclass one-against-all classification and target detection show the capabilities of the learned spatial filters.

Large-scale clustering through functional embedding

We present a new framework for large-scale data clustering. The main idea is to modify functional dimensionality reduction techniques to directly optimize over discrete labels using stochastic gradient descent. Compared to methods like spectral clustering our approach solves a single optimization problem, rather than an ad-hoc two-stage optimization approach, does not require a matrix inversion, can easily encode prior knowledge in the set of implementable functions, and does not have an ?out-of-sample? problem. Experimental results on both artificial and real-world datasets show the usefulness of our approach.

Quasi-Nonparametric Blind Inversion of Wiener Systems

An e cient procedure for the blind inversion of a nonlinear Wiener system is proposed. We proved that the problem can be expressed as a problem of blind source separation in nonlinear mixtures, for which a solution has been recently proposed. Based on a quasi-nonparametric relative gradient descent, the proposed algorithm can perform e ciently even in the presence of hard distortions.

A maximum likelihood framework for protein design

Affiliation: Claudia Kleinman, Nicolas Rodrigue & Hervé Philippe : Département de biochimie, Faculté de médecine, Université de Montréal

Model-Based Matching by Linear Combinations of Prototypes

We describe a method for modeling object classes (such as faces) using 2D example images and an algorithm for matching a model to a novel image. The object class models are "learned'' from example images that we call prototypes. In addition to the images, the pixelwise correspondences between a reference prototype and each of the other prototypes must also be provided. Thus a model consists of a linear combination of prototypical shapes and textures. A stochastic gradient descent algorithm is used to match a model to a novel image by minimizing the error between the model and the novel image. Example models are shown as well as example matches to novel images. The robustness of the matching algorithm is also evaluated. The technique can be used for a number of applications including the computation of correspondence between novel images of a certain known class, object recognition, image synthesis and image compression.

Sparse model identification using orthogonal forward regression with basis pursuit and D-optimality

An efficient model identification algorithm for a large class of linear-in-the-parameters models is introduced that simultaneously optimises the model approximation ability, sparsity and robustness. The derived model parameters in each forward regression step are initially estimated via the orthogonal least squares (OLS), followed by being tuned with a new gradient-descent learning algorithm based on the basis pursuit that minimises the l(1) norm of the parameter estimate vector. The model subset selection cost function includes a D-optimality design criterion that maximises the determinant of the design matrix of the subset to ensure model robustness and to enable the model selection procedure to automatically terminate at a sparse model. The proposed approach is based on the forward OLS algorithm using the modified Gram-Schmidt procedure. Both the parameter tuning procedure, based on basis pursuit, and the model selection criterion, based on the D-optimality that is effective in ensuring model robustness, are integrated with the forward regression. As a consequence the inherent computational efficiency associated with the conventional forward OLS approach is maintained in the proposed algorithm. Examples demonstrate the effectiveness of the new approach.

Design of delay-tolerant space–time codes with limited feedback

In cooperative communication networks, owing to the nodes' arbitrary geographical locations and individual oscillators, the system is fundamentally asynchronous. Such a timing mismatch may cause rank deficiency of the conventional space-time codes and, thus, performance degradation. One efficient way to overcome such an issue is the delay-tolerant space-time codes (DT-STCs). The existing DT-STCs are designed assuming that the transmitter has no knowledge about the channels. In this paper, we show how the performance of DT-STCs can be improved by utilizing some feedback information. A general framework for designing DT-STC with limited feedback is first proposed, allowing for flexible system parameters such as the number of transmit/receive antennas, modulated symbols, and the length of codewords. Then, a new design method is proposed by combining Lloyd's algorithm and the stochastic gradient-descent algorithm to obtain optimal codebook of STCs, particularly for systems with linear minimum-mean-square-error receiver. Finally, simulation results confirm the performance of the newly designed DT-STCs with limited feedback.

An Ensemble Smoother with Error Estimates

A smoother introduced earlier by van Leeuwen and Evensen is applied to a problem in which real obser vations are used in an area with strongly nonlinear dynamics. The derivation is new , but it resembles an earlier derivation by van Leeuwen and Evensen. Again a Bayesian view is taken in which the prior probability density of the model and the probability density of the obser vations are combined to for m a posterior density . The mean and the covariance of this density give the variance-minimizing model evolution and its errors. The assumption is made that the prior probability density is a Gaussian, leading to a linear update equation. Critical evaluation shows when the assumption is justified. This also sheds light on why Kalman filters, in which the same ap- proximation is made, work for nonlinear models. By reference to the derivation, the impact of model and obser vational biases on the equations is discussed, and it is shown that Bayes’ s for mulation can still be used. A practical advantage of the ensemble smoother is that no adjoint equations have to be integrated and that error estimates are easily obtained. The present application shows that for process studies a smoother will give superior results compared to a filter , not only owing to the smooth transitions at obser vation points, but also because the origin of features can be followed back in time. Also its preference over a strong-constraint method is highlighted. Further more, it is argued that the proposed smoother is more efficient than gradient descent methods or than the representer method when error estimates are taken into account

Sparse density estimator with tunable kernels

A new sparse kernel density estimator with tunable kernels is introduced within a forward constrained regression framework whereby the nonnegative and summing-to-unity constraints of the mixing weights can easily be satisfied. Based on the minimum integrated square error criterion, a recursive algorithm is developed to select significant kernels one at time, and the kernel width of the selected kernel is then tuned using the gradient descent algorithm. Numerical examples are employed to demonstrate that the proposed approach is effective in constructing very sparse kernel density estimators with competitive accuracy to existing kernel density estimators.

Another prefiltering algorithm for adaptive IIR filtering

An algorithm for adaptive IIR filtering that uses prefiltering structure in direct form is presented. This structure has an estimation error that is a linear function of the coefficients. This property greatly simplifies the derivation of gradient-based algorithms. Computer simulations show that the proposed structure improves convergence speed.

Temporal constraints in large optical flow estimation

[EN] The aim of this work is to propose a model for computing the optical flow in a sequence of images. We introduce a new temporal regularizer that is suitable for large displacements. We propose to decouple the spatial and temporal regularizations to avoid an incongruous formulation. For the spatial regularization we use the Nagel-Enkelmann operator and a newly designed temporal regularization. Our model is based on an energy functional that yields a partial differential equation (PDE). This PDE is embedded into a multipyramidal strategy to recover large displacements. A gradient descent technique is applied at each scale to reach the minimum.

Reliable estimation of dense optical flow fields with large displacements

[EN] In this paper we show that a classic optical flow technique by Nagel and Enkelmann can be regarded as an early anisotropic diffusion method with a diffusion tensor. We introduce three improvements into the model formulation that avoid inconsistencies caused by centering the brightness term and the smoothness term in different images use a linear scale-space focusing strategy from coarse to fine scales for avoiding convergence to physically irrelevant local minima, and create an energy functional that is invariant under linear brightness changes.  Applying a gradient descent method to the resulting energy functional leads to a system of diffusion-reaction equations. We prove that this system has a unique solution under realistic assumptions on the initial data, and we present an efficient linear implicit numerical scheme in detail. Our method creates flow fields with 100% density over the entire image domain, it is robust under a large range of parameter variations, and it can recover displacement fields that are far beyond the typical one-pixel limits which are characteristic for many differential methods for determining optical flow. We show that it performs better than the classic optical flow methods with 100%  density that are evaluated by Barron et al. (1994). Our software is available from the Internet.

Dense disparity map estimation respecting image discontinuities

[EN] We present an energy based approach to estimate a dense disparity map from a set of two weakly calibrated stereoscopic images while preserving its discontinuities resulting from image boundaries. We first derive a simplified expression for the disparity that allows us to estimate it from a stereo pair of images using an energy minimization approach. We assume that the epipolar geometry is known, and we include this information in the energy model. Discontinuities are preserved by means of a regularization term based on the Nagel-Enkelmann operator. We investigate the associated Euler-Lagrange equation of the energy functional, and we approach the solution of the underlying partial differential equation (PDE) using a gradient descent method The resulting parabolic problem has a unique solution. In order to reduce the risk to be trapped within some irrelevant local minima during the iterations, we use a focusing strategy based on a linear scalespace. Experimental results on both synthetic and real images arere presented to illustrate the capabilities of this PDE and scale-space based method.

A variational approach to 3D geometry reconstruction from two or multiple views

[EN] In the last years we have developed some methods for 3D reconstruction. First we began with the problem of reconstructing a 3D scene from a stereoscopic pair of images. We developed some methods based on energy functionals which produce dense disparity maps by preserving discontinuities from image boundaries. Then we passed to the problem of reconstructing a 3D scene from multiple views (more than 2). The method for multiple view reconstruction relies on the method for stereoscopic reconstruction. For every pair of consecutive images we estimate a disparity map and then we apply a robust method that searches for good correspondences through the sequence of images. Recently we have proposed several methods for 3D surface regularization. This is a postprocessing step necessary for smoothing the final surface, which could be afected by noise or mismatch correspondences. These regularization methods are interesting because they use the information from the reconstructing process and not only from the 3D surface. We have tackled all these problems from an energy minimization approach. We investigate the associated Euler-Lagrange equation of the energy functional, and we approach the solution of the underlying partial differential equation (PDE) using a gradient descent method.