5,190 research outputs found
CLEAR: Covariant LEAst-square Re-fitting with applications to image restoration
In this paper, we propose a new framework to remove parts of the systematic
errors affecting popular restoration algorithms, with a special focus for image
processing tasks. Generalizing ideas that emerged for regularization,
we develop an approach re-fitting the results of standard methods towards the
input data. Total variation regularizations and non-local means are special
cases of interest. We identify important covariant information that should be
preserved by the re-fitting method, and emphasize the importance of preserving
the Jacobian (w.r.t. the observed signal) of the original estimator. Then, we
provide an approach that has a "twicing" flavor and allows re-fitting the
restored signal by adding back a local affine transformation of the residual
term. We illustrate the benefits of our method on numerical simulations for
image restoration tasks
Regression on fixed-rank positive semidefinite matrices: a Riemannian approach
The paper addresses the problem of learning a regression model parameterized
by a fixed-rank positive semidefinite matrix. The focus is on the nonlinear
nature of the search space and on scalability to high-dimensional problems. The
mathematical developments rely on the theory of gradient descent algorithms
adapted to the Riemannian geometry that underlies the set of fixed-rank
positive semidefinite matrices. In contrast with previous contributions in the
literature, no restrictions are imposed on the range space of the learned
matrix. The resulting algorithms maintain a linear complexity in the problem
size and enjoy important invariance properties. We apply the proposed
algorithms to the problem of learning a distance function parameterized by a
positive semidefinite matrix. Good performance is observed on classical
benchmarks
Graph matching: relax or not?
We consider the problem of exact and inexact matching of weighted undirected
graphs, in which a bijective correspondence is sought to minimize a quadratic
weight disagreement. This computationally challenging problem is often relaxed
as a convex quadratic program, in which the space of permutations is replaced
by the space of doubly-stochastic matrices. However, the applicability of such
a relaxation is poorly understood. We define a broad class of friendly graphs
characterized by an easily verifiable spectral property. We prove that for
friendly graphs, the convex relaxation is guaranteed to find the exact
isomorphism or certify its inexistence. This result is further extended to
approximately isomorphic graphs, for which we develop an explicit bound on the
amount of weight disagreement under which the relaxation is guaranteed to find
the globally optimal approximate isomorphism. We also show that in many cases,
the graph matching problem can be further harmlessly relaxed to a convex
quadratic program with only n separable linear equality constraints, which is
substantially more efficient than the standard relaxation involving 2n equality
and n^2 inequality constraints. Finally, we show that our results are still
valid for unfriendly graphs if additional information in the form of seeds or
attributes is allowed, with the latter satisfying an easy to verify spectral
characteristic
Solving ill-posed inverse problems using iterative deep neural networks
We propose a partially learned approach for the solution of ill posed inverse
problems with not necessarily linear forward operators. The method builds on
ideas from classical regularization theory and recent advances in deep learning
to perform learning while making use of prior information about the inverse
problem encoded in the forward operator, noise model and a regularizing
functional. The method results in a gradient-like iterative scheme, where the
"gradient" component is learned using a convolutional network that includes the
gradients of the data discrepancy and regularizer as input in each iteration.
We present results of such a partially learned gradient scheme on a non-linear
tomographic inversion problem with simulated data from both the Sheep-Logan
phantom as well as a head CT. The outcome is compared against FBP and TV
reconstruction and the proposed method provides a 5.4 dB PSNR improvement over
the TV reconstruction while being significantly faster, giving reconstructions
of 512 x 512 volumes in about 0.4 seconds using a single GPU
A Stochastic Majorize-Minimize Subspace Algorithm for Online Penalized Least Squares Estimation
Stochastic approximation techniques play an important role in solving many
problems encountered in machine learning or adaptive signal processing. In
these contexts, the statistics of the data are often unknown a priori or their
direct computation is too intensive, and they have thus to be estimated online
from the observed signals. For batch optimization of an objective function
being the sum of a data fidelity term and a penalization (e.g. a sparsity
promoting function), Majorize-Minimize (MM) methods have recently attracted
much interest since they are fast, highly flexible, and effective in ensuring
convergence. The goal of this paper is to show how these methods can be
successfully extended to the case when the data fidelity term corresponds to a
least squares criterion and the cost function is replaced by a sequence of
stochastic approximations of it. In this context, we propose an online version
of an MM subspace algorithm and we study its convergence by using suitable
probabilistic tools. Simulation results illustrate the good practical
performance of the proposed algorithm associated with a memory gradient
subspace, when applied to both non-adaptive and adaptive filter identification
problems
USLV: Unspanned Stochastic Local Volatility Model
We propose a new framework for modeling stochastic local volatility, with
potential applications to modeling derivatives on interest rates, commodities,
credit, equity, FX etc., as well as hybrid derivatives. Our model extends the
linearity-generating unspanned volatility term structure model by Carr et al.
(2011) by adding a local volatility layer to it. We outline efficient numerical
schemes for pricing derivatives in this framework for a particular four-factor
specification (two "curve" factors plus two "volatility" factors). We show that
the dynamics of such a system can be approximated by a Markov chain on a
two-dimensional space (Z_t,Y_t), where coordinates Z_t and Y_t are given by
direct (Kroneker) products of values of pairs of curve and volatility factors,
respectively. The resulting Markov chain dynamics on such partly "folded" state
space enables fast pricing by the standard backward induction. Using a
nonparametric specification of the Markov chain generator, one can accurately
match arbitrary sets of vanilla option quotes with different strikes and
maturities. Furthermore, we consider an alternative formulation of the model in
terms of an implied time change process. The latter is specified
nonparametrically, again enabling accurate calibration to arbitrary sets of
vanilla option quotes.Comment: Sections 3.2 and 3.3 are re-written, 3 figures adde
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