Robustness to dependency in portfolio optimization using overlapping marginals

In this paper, we develop a distributionally robust portfolio optimization model where the robustness is across different dependency structures among the random losses. For a Fr´echet class of discrete distributions with overlapping marginals, we show that the distributionally robust portfolio optimization problem is efficiently solvable with linear programming. To guarantee the existence of a joint multivariate distribution consistent with the overlapping marginal information, we make use of a graph theoretic property known as the running intersection property. Building on this property, we develop a tight linear programming formulation to find the optimal portfolio that minimizes the worst-case Conditional Value-at-Risk measure. Lastly, we use a data-driven approach with financial return data to identify the Fr´echet class of distributions satisfying the running intersection property and then optimize the portfolio over this class of distributions. Numerical results in two different datasets show that the distributionally robust portfolio optimization model improves on the sample-based approac

KP integrability through the x−yx-y swap relation

We discuss a universal relation that we call the $x-y$ swap relation, which plays a prominent role in the theory of topological recursion, Hurwitz theory, and free probability theory. We describe in a very precise and detailed way the interaction of the $x-y$ swap relation and KP integrability. As an application, we prove a recent conjecture that relates some particular instances of topological recursion to the Mironov-Morozov-Semenoff matrix integrals.Comment: 27 pages; minor correction

Quantum speedup for graph sparsification, cut approximation, and Laplacian solving

Graph sparsification underlies a large number of algorithms, ranging from approximation algorithms for cut problems to solvers for linear systems in the graph Laplacian. In its strongest form, “spectral sparsification” reduces the number of edges to near-linear in the number of nodes, while approximately preserving the cut and spectral structure of the graph. In this work we demonstrate a polynomial quantum speedup for spectral sparsification and many of its applications. In particular, we give a quantum algorithm that, given a weighted graph with n nodes and m edges, outputs a classical description of an ϵ -spectral sparsifier in sublinear time O˜(mn−−−√/ϵ) . This contrasts with the optimal classical complexity O˜(m) . We also prove that our quantum algorithm is optimal up to polylog-factors. The algorithm builds on a string of existing results on sparsification, graph spanners, quantum algorithms for shortest paths, and efficient constructions for k -wise independent random strings. Our algorithm implies a quantum speedup for solving Laplacian systems and for approximating a range of cut problems such as min cut and sparsest cut

Unifying a Geometric Framework of Evolutionary Algorithms and Elementary Landscapes Theory

Evolutionary algorithms (EAs) are randomised general-purpose strategies, inspired by natural evolution, often used for finding (near) optimal solutions to problems in combinatorial optimisation. Over the last 50 years, many theoretical approaches in evolutionary computation have been developed to analyse the performance of EAs, design EAs or measure problem difficulty via fitness landscape analysis. An open challenge is to formally explain why a general class of EAs perform better, or worse, than others on a class of combinatorial problems across representations. However, the lack of a general unified theory of EAs and fitness landscapes, across problems and representations, makes it harder to characterise pairs of general classes of EAs and combinatorial problems where good performance can be guaranteed provably. This thesis explores a unification between a geometric framework of EAs and elementary landscapes theory, not tied to a specific representation nor problem, with complementary strengths in the analysis of population-based EAs and combinatorial landscapes. This unification organises around three essential aspects: search space structure induced by crossovers, search behaviour of population-based EAs and structure of fitness landscapes. First, this thesis builds a crossover classification to systematically compare crossovers in the geometric framework and elementary landscapes theory, revealing a shared general subclass of crossovers: geometric recombination P-structures, which covers well-known crossovers. The crossover classification is then extended to a general framework for axiomatically analysing the population behaviour induced by crossover classes on associated EAs. This shows the shared general class of all EAs using geometric recombination P-structures, but no mutation, always do the same abstract form of convex evolutionary search. Finally, this thesis characterises a class of globally convex combinatorial landscapes shared by the geometric framework and elementary landscapes theory: abstract convex elementary landscapes. It is formally explained why geometric recombination P-structure EAs expectedly can outperform random search on abstract convex elementary landscapes related to low-order graph Laplacian eigenvalues. Altogether, this thesis paves a way towards a general unified theory of EAs and combinatorial fitness landscapes

Logic and Automata

Mathematical logic and automata theory are two scientific disciplines with a fundamentally close relationship. The authors of Logic and Automata take the occasion of the sixtieth birthday of Wolfgang Thomas to present a tour d'horizon of automata theory and logic. The twenty papers in this volume cover many different facets of logic and automata theory, emphasizing the connections to other disciplines such as games, algorithms, and semigroup theory, as well as discussing current challenges in the field