On the Complexity of Solving Zero-Dimensional Polynomial Systems via Projection

Given a zero-dimensional polynomial system consisting of n integer polynomials in n variables, we propose a certified and complete method to compute all complex solutions of the system as well as a corresponding separating linear form l with coefficients of small bit size. For computing l, we need to project the solutions into one dimension along O(n) distinct directions but no further algebraic manipulations. The solutions are then directly reconstructed from the considered projections. The first step is deterministic, whereas the second step uses randomization, thus being Las-Vegas. The theoretical analysis of our approach shows that the overall cost for the two problems considered above is dominated by the cost of carrying out the projections. We also give bounds on the bit complexity of our algorithms that are exclusively stated in terms of the number of variables, the total degree and the bitsize of the input polynomials

Solving polynomial systems via symbolic-numeric reduction to geometric involutive form

AbstractWe briefly survey several existing methods for solving polynomial systems with inexact coefficients, then introduce our new symbolic-numeric method which is based on the geometric (Jet) theory of partial differential equations. The method is stable and robust. Numerical experiments illustrate the performance of the new method

On the Complexity of Solving Zero-Dimensional Polynomial Systems via Projection

Given a zero-dimensional polynomial system consisting of n integer polynomials in n variables, we propose a certified and complete method to compute all complex solutions of the system as well as a corresponding separating linear form l with coefficients of small bit size. For computing l, we need to project the solutions into one dimension along O(n) distinct directions but no further algebraic manipulations. The solutions are then directly reconstructed from the considered projections. The first step is deterministic, whereas the second step uses randomization, thus being Las-Vegas. The theoretical analysis of our approach shows that the overall cost for the two problems considered above is dominated by the cost of carrying out the projections. We also give bounds on the bit complexity of our algorithms that are exclusively stated in terms of the number of variables, the total degree and the bitsize of the input polynomials

Essays on strategic trading

This dissertation discusses various aspects of strategic trading using both analytical modeling and numerical methods. Strategic trading, in short, encompasses models of trading, most notably models of optimal execution and portfolio selection, in which one seeks to rigorously consider various---both explicit and implicit---costs stemming from the act of trading itself. The strategic trading approach, rooted in the market microstructure literature, contrasts with many classical finance models in which markets are assumed to be frictionless and traders can, for the most part, take prices as given. Introducing trading costs to dynamic models of financial markets tend to complicate matters. First, the objectives of the traders become more nuanced since now overtrading leads to poor outcomes due to increased trading costs. Second, when trades affect prices and there are multiple traders in the market, the traders start to behave in a more calculated fashion, taking into account both their own objectives and the perceived actions of others. Acknowledging this strategic behavior is especially important when the traders are asymmetrically informed. These new features allow the models discussed to better reflect aspects real-world trading, for instance, intraday trading patterns, and enable one to ask and answer new questions, for instance, related to the interactions between different traders. To efficiently analyze the models put forth, numerical methods must be utilized. This is, as is to be expected, the price one must pay from added complexity. However, it also opens an opportunity to have a closer look at the numerical approaches themselves. This opportunity is capitalized on and various new and novel computational procedures influenced by the growing field of numerical real algebraic geometry are introduced and employed. These procedures are utilizable beyond the scope of this dissertation and enable one to sharpen the analysis of dynamic equilibrium models.Tämä väitöskirja käsittelee strategista kaupankäyntiä hyödyntäen sekä analyyttisiä että numeerisia menetelmiä. Strategisen kaupankäynnin mallit, erityisesti optimaalinen kauppojen toteutus ja portfolion valinta, pyrkivät tarkasti huomioimaan kaupankäynnistä itsestään aiheutuvat eksplisiittiset ja implisiittiset kustannukset. Tämä erottaa strategisen kaupankäynnin mallit klassisista kitkattomista malleista. Kustannusten huomioiminen rahoitusmarkkinoiden dynaamisessa tarkastelussa monimutkaistaa malleja. Ensinnäkin kaupankävijöiden tavoitteet muuttuvat hienovaraisemmiksi, koska liian aktiivinen kaupankäynti johtaa korkeisiin kaupankäyntikuluihin ja heikkoon tuottoon. Toiseksi oletus siitä, että kaupankävijöiden valitsemat toimet vaikuttavat hintoihin, johtaa pelikäyttäytymiseen silloin, kun markkinoilla on useampia kaupankävijöitä. Pelikäyttäytymisen huomioiminen on ensiarvoisen tärkeää, mikäli informaatio kaupankävijöiden kesken on asymmetristä. Näiden piirteiden johdosta tässä väitöskirjassa käsitellyt mallit mahdollistavat abstrahoitujen rahoitusmarkkinoiden aiempaa täsmällisemmän tarkastelun esimerkiksi päivänsisäisen kaupankäynnin osalta. Tämän lisäksi mallien avulla voidaan löytää vastauksia uusiin kysymyksiin, kuten esimerkiksi siihen, millaisia ovat kaupankävijöiden keskinäiset vuorovaikutussuhteet dynaamisilla markkinoilla. Monimutkaisten mallien analysointiin hyödynnetään numeerisia menetelmiä. Tämä avaa mahdollisuuden näiden menetelmien yksityiskohtaisempaan tarkasteluun, ja tätä mahdollisuutta hyödynnetään pohtimalla laskennallisia ratkaisuja tuoreesta numeerista reaalista algebrallista geometriaa hyödyntävästä näkökulmasta. Väitöskirjassa esitellyt uudet laskennalliset ratkaisut ovat laajalti hyödynnettävissä, ja niiden avulla on mahdollista terävöittää dynaamisten tasapainomallien analysointia

Model-based Design of Experiments for Large Dataset

The first part of this thesis presents the motivation for adapting ideas and methods from the theory of the model-based optimal design of experiments in the context of Big Data while guarding against different sources of bias. In particular, the key focus is on the issue of guarding against bias from confounders and how to use the theory of the design of experiment and randomization to remove bias depending on the constraints in the design. Starting with A/B experiments, largely used by major Tech Companies in online marketing, the theory of circuits is introduced and an algebraic methods which gives a wide choice of randomization schemes is presented. Furthermore, a robust exchange algorithm to deal with the problem of outliers in a Big Dataset is proposed. The second part is based on a marine insurance use case sponsored by Swiss Re Corporate Solutions, commercial insurance division of the Swiss Re Group. Several temporal disaggregation methods for dealing with time series collected at different time frequencies are reviewed and applied to real data in order to obtain a curated dataset for predicting future losses

An introduction to interval-based constraint processing.

Constraint programming is often associated with solving problems over finite domains. Many applications in engineering, CAD and design, however, require solving problems over continuous (real-valued) domains. While simple constraint solvers can solve linear constraints with the inaccuracy of floating-point arithmetic, methods based on interval arithmetic allow exact (interval) solutions over a much wider range of problems. Applications of interval-based programming extend the range of solvable problems from non-linear polynomials up to those involving ordinary differential equations. In this text, we give an introduction to current approaches, methods and implementations of interval-based constraint programming and solving. Special care is taken to provide a uniform and consistent notation, since the literature in this field employs many seemingly different, but yet conceptually related, notations and terminology

Spectral aerosol radiative forcing and efficiency of the La Palma volcanic plume over the Izaña Observatory

On 19 September 2021, a volcanic eruption began on the island of La Palma (Canary Islands, Spain). The eruption has allowed the assessment of an unprecedented multidisciplinary study on the effects of the volcanic plume. This work presents the estimation of the spectral direct radiative forcing (∆F) and efficiency (∆F E f f) from solar radiation measurements at the Izaña Observatory (IZO) located on the island of Tenerife (∼140 km from the volcano). During the eruption, the IZO was affected by different types of aerosols: volcanic, Saharan mineral dust, and a mixture of volcanic and dust aerosols. Three case studies were identified using ground based (lidar) data, satellite-based (Sentinel5P Tropospheric Monitoring Instrument, TROPOMI) data, reanalysis data (Modern-Era Retrospective Analysis for Research and Applications, version 2, MERRA-2), and backward trajectories (Flexible Trajectories, FLEXTRA), and subsequently characterised in terms of optical and micro-physical properties using ground based sun-photometry measurements. Despite the ∆F of the volcanic aerosols being greater than that of the dust events (associated with the larger aerosol load present), the ∆F E f f was found to be lower. The spectral ∆F E f f values at 440 nm ranged between −1.9 and −2.6 Wm−2nm−1AOD−1 for the mineral dust and mixed volcanic and dust particles, and between −1.6 and −3.3 Wm−2nm−1AOD−1 for the volcanic aerosols, considering solar zenith angles between 30◦ and 70◦, respectively.The authors also acknowledge the support of ACTRIS, Ministerio de Ciencia e Innovación of Spain, through the projects SYNERA: PID2020-118793GA-I00 and RT2018- 097864-B-I00, and Junta de Castilla y León grant N◦. VA227P20