An Explicit Formula for the Matrix Logarithm

We present an explicit polynomial formula for evaluating the principal logarithm of all matrices lying on the line segment $\{I(1-t)+At:t\in [0,1]\}$ joining the identity matrix $I$ (at $t=0$) to any real matrix $A$ (at $t=1$) having no eigenvalues on the closed negative real axis. This extends to the matrix logarithm the well known Putzer's method for evaluating the matrix exponential.Comment: 6 page

The devil is in the detail: hints for practical optimisation

Finding the minimum of an objective function, such as a least squares or negative log-likelihood function, with respect to the unknown model parameters is a problem often encountered in econometrics. Consequently, students of econometrics and applied econometricians are usually well-grounded in the broad differences between the numerical procedures employed to solve these problems. Often, however, relatively little time is given to understanding the practical subtleties of implementing these schemes when faced with illbehaved problems. This paper addresses some of the details involved in practical optimisation, such as dealing with constraints on the parameters, specifying starting values, termination criteria and analytical gradients, and illustrates some of the general ideas with several instructive examples

Nearly Optimal Private Convolution

We study computing the convolution of a private input $x$ with a public input $h$, while satisfying the guarantees of $(\epsilon, \delta)$-differential privacy. Convolution is a fundamental operation, intimately related to Fourier Transforms. In our setting, the private input may represent a time series of sensitive events or a histogram of a database of confidential personal information. Convolution then captures important primitives including linear filtering, which is an essential tool in time series analysis, and aggregation queries on projections of the data. We give a nearly optimal algorithm for computing convolutions while satisfying $(\epsilon, \delta)$-differential privacy. Surprisingly, we follow the simple strategy of adding independent Laplacian noise to each Fourier coefficient and bounding the privacy loss using the composition theorem of Dwork, Rothblum, and Vadhan. We derive a closed form expression for the optimal noise to add to each Fourier coefficient using convex programming duality. Our algorithm is very efficient -- it is essentially no more computationally expensive than a Fast Fourier Transform. To prove near optimality, we use the recent discrepancy lowerbounds of Muthukrishnan and Nikolov and derive a spectral lower bound using a characterization of discrepancy in terms of determinants

Estimation with Numerical Integration on Sparse Grids

For the estimation of many econometric models, integrals without analytical solutions have to be evaluated. Examples include limited dependent variables and nonlinear panel data models. In the case of one-dimensional integrals, Gaussian quadrature is known to work efficiently for a large class of problems. In higher dimensions, similar approaches discussed in the literature are either very specific and hard to implement or suffer from exponentially rising computational costs in the number of dimensions - a problem known as the "curse of dimensionality" of numerical integration. We propose a strategy that shares the advantages of Gaussian quadrature methods, is very general and easily implemented, and does not suffer from the curse of dimensionality. Monte Carlo experiments for the random parameters logit model indicate the superior performance of the proposed method over simulation techniques

High-order accurate physical-constraints-preserving finite difference WENO schemes for special relativistic hydrodynamics

The paper develops high-order accurate physical-constraints-preserving finite difference WENO schemes for special relativistic hydrodynamical (RHD) equations, built on the local Lax-Friedrich splitting, the WENO reconstruction, the physical-constraints-preserving flux limiter, and the high-order strong stability preserving time discretization. They are extensions of the positivity-preserving finite difference WENO schemes for the non-relativistic Euler equations. However, developing physical-constraints-preserving methods for the RHD system becomes much more difficult than the non-relativistic case because of the strongly coupling between the RHD equations, no explicit expressions of the primitive variables and the flux vectors, in terms of the conservative vector, and one more physical constraint for the fluid velocity in addition to the positivity of the rest-mass density and the pressure. The key is to prove the convexity and other properties of the admissible state set and discover a concave function with respect to the conservative vector replacing the pressure which is an important ingredient to enforce the positivity-preserving property for the non-relativistic case. Several one- and two-dimensional numerical examples are used to demonstrate accuracy, robustness, and effectiveness of the proposed physical-constraints-preserving schemes in solving RHD problems with large Lorentz factor, or strong discontinuities, or low rest-mass density or pressure etc.Comment: 39 pages, 13 figure

A Geometric Variational Approach to Bayesian Inference

We propose a novel Riemannian geometric framework for variational inference in Bayesian models based on the nonparametric Fisher-Rao metric on the manifold of probability density functions. Under the square-root density representation, the manifold can be identified with the positive orthant of the unit hypersphere in L2, and the Fisher-Rao metric reduces to the standard L2 metric. Exploiting such a Riemannian structure, we formulate the task of approximating the posterior distribution as a variational problem on the hypersphere based on the alpha-divergence. This provides a tighter lower bound on the marginal distribution when compared to, and a corresponding upper bound unavailable with, approaches based on the Kullback-Leibler divergence. We propose a novel gradient-based algorithm for the variational problem based on Frechet derivative operators motivated by the geometry of the Hilbert sphere, and examine its properties. Through simulations and real-data applications, we demonstrate the utility of the proposed geometric framework and algorithm on several Bayesian models

Bayesian Inference of Log Determinants

The log-determinant of a kernel matrix appears in a variety of machine learning problems, ranging from determinantal point processes and generalized Markov random fields, through to the training of Gaussian processes. Exact calculation of this term is often intractable when the size of the kernel matrix exceeds a few thousand. In the spirit of probabilistic numerics, we reinterpret the problem of computing the log-determinant as a Bayesian inference problem. In particular, we combine prior knowledge in the form of bounds from matrix theory and evidence derived from stochastic trace estimation to obtain probabilistic estimates for the log-determinant and its associated uncertainty within a given computational budget. Beyond its novelty and theoretic appeal, the performance of our proposal is competitive with state-of-the-art approaches to approximating the log-determinant, while also quantifying the uncertainty due to budget-constrained evidence.Comment: 12 pages, 3 figure

Simulating Quantum Dynamics On A Quantum Computer

We present efficient quantum algorithms for simulating time-dependent Hamiltonian evolution of general input states using an oracular model of a quantum computer. Our algorithms use either constant or adaptively chosen time steps and are significant because they are the first to have time-complexities that are comparable to the best known methods for simulating time-independent Hamiltonian evolution, given appropriate smoothness criteria on the Hamiltonian are satisfied. We provide a thorough cost analysis of these algorithms that considers discretizion errors in both the time and the representation of the Hamiltonian. In addition, we provide the first upper bounds for the error in Lie-Trotter-Suzuki approximations to unitary evolution operators, that use adaptively chosen time steps.Comment: Paper modified from previous version to enhance clarity. Comments are welcom