Relative entropy and the multi-variable multi-dimensional moment problem

Entropy-like functionals on operator algebras have been studied since the pioneering work of von Neumann, Umegaki, Lindblad, and Lieb. The most well-known are the von Neumann entropy $trace (\rho\log \rho)$ and a generalization of the Kullback-Leibler distance $trace (\rho \log \rho - \rho \log \sigma)$, refered to as quantum relative entropy and used to quantify distance between states of a quantum system. The purpose of this paper is to explore these as regularizing functionals in seeking solutions to multi-variable and multi-dimensional moment problems. It will be shown that extrema can be effectively constructed via a suitable homotopy. The homotopy approach leads naturally to a further generalization and a description of all the solutions to such moment problems. This is accomplished by a renormalization of a Riemannian metric induced by entropy functionals. As an application we discuss the inverse problem of describing power spectra which are consistent with second-order statistics, which has been the main motivation behind the present work.Comment: 24 pages, 3 figure

The Likelihood of a Continuous-time Vector Autoregressive Model

This paper provides a method that weakens conditions under which the exact likelihood of a continuous-time vector autoregressive model can be derived. In particular, the method does not require the restrictions extant methods impose on discrete data that limit the applicability of continuous-time methods to real economic time series. The method applies generally to higher-order continuous-time systems involving mixed stock and flow data.Continuous-time, Vector autoregression, Exact likelihood, Time series

Analysis of the computational complexity of solving random satisfiability problems using branch and bound search algorithms

The computational complexity of solving random 3-Satisfiability (3-SAT) problems is investigated. 3-SAT is a representative example of hard computational tasks; it consists in knowing whether a set of alpha N randomly drawn logical constraints involving N Boolean variables can be satisfied altogether or not. Widely used solving procedures, as the Davis-Putnam-Loveland-Logeman (DPLL) algorithm, perform a systematic search for a solution, through a sequence of trials and errors represented by a search tree. In the present study, we identify, using theory and numerical experiments, easy (size of the search tree scaling polynomially with N) and hard (exponential scaling) regimes as a function of the ratio alpha of constraints per variable. The typical complexity is explicitly calculated in the different regimes, in very good agreement with numerical simulations. Our theoretical approach is based on the analysis of the growth of the branches in the search tree under the operation of DPLL. On each branch, the initial 3-SAT problem is dynamically turned into a more generic 2+p-SAT problem, where p and 1-p are the fractions of constraints involving three and two variables respectively. The growth of each branch is monitored by the dynamical evolution of alpha and p and is represented by a trajectory in the static phase diagram of the random 2+p-SAT problem. Depending on whether or not the trajectories cross the boundary between phases, single branches or full trees are generated by DPLL, resulting in easy or hard resolutions.Comment: 37 RevTeX pages, 15 figures; submitted to Phys.Rev.

Certified lattice reduction

Quadratic form reduction and lattice reduction are fundamental tools in computational number theory and in computer science, especially in cryptography. The celebrated Lenstra-Lenstra-Lov\'asz reduction algorithm (so-called LLL) has been improved in many ways through the past decades and remains one of the central methods used for reducing integral lattice basis. In particular, its floating-point variants-where the rational arithmetic required by Gram-Schmidt orthogonalization is replaced by floating-point arithmetic-are now the fastest known. However, the systematic study of the reduction theory of real quadratic forms or, more generally, of real lattices is not widely represented in the literature. When the problem arises, the lattice is usually replaced by an integral approximation of (a multiple of) the original lattice, which is then reduced. While practically useful and proven in some special cases, this method doesn't offer any guarantee of success in general. In this work, we present an adaptive-precision version of a generalized LLL algorithm that covers this case in all generality. In particular, we replace floating-point arithmetic by Interval Arithmetic to certify the behavior of the algorithm. We conclude by giving a typical application of the result in algebraic number theory for the reduction of ideal lattices in number fields.Comment: 23 page

Mean anisotropy of homogeneous Gaussian random fields and anisotropic norms of linear translation-invariant operators on multidimensional integer lattices

Sensitivity of output of a linear operator to its input can be quantified in various ways. In Control Theory, the input is usually interpreted as disturbance and the output is to be minimized in some sense. In stochastic worst-case design settings, the disturbance is considered random with imprecisely known probability distribution. The prior set of probability measures can be chosen so as to quantify how far the disturbance deviates from the white-noise hypothesis of Linear Quadratic Gaussian control. Such deviation can be measured by the minimal Kullback-Leibler informational divergence from the Gaussian distributions with zero mean and scalar covariance matrices. The resulting anisotropy functional is defined for finite power random vectors. Originally, anisotropy was introduced for directionally generic random vectors as the relative entropy of the normalized vector with respect to the uniform distribution on the unit sphere. The associated a-anisotropic norm of a matrix is then its maximum root mean square or average energy gain with respect to finite power or directionally generic inputs whose anisotropy is bounded above by a >= 0. We give a systematic comparison of the anisotropy functionals and the associated norms. These are considered for unboundedly growing fragments of homogeneous Gaussian random fields on multidimensional integer lattice to yield mean anisotropy. Correspondingly, the anisotropic norms of finite matrices are extended to bounded linear translation invariant operators over such fields