Scanning and Sequential Decision Making for Multi-Dimensional Data - Part I: the Noiseless Case

We investigate the problem of scanning and prediction ("scandiction", for short) of multidimensional data arrays. This problem arises in several aspects of image and video processing, such as predictive coding, for example, where an image is compressed by coding the error sequence resulting from scandicting it. Thus, it is natural to ask what is the optimal method to scan and predict a given image, what is the resulting minimum prediction loss, and whether there exist specific scandiction schemes which are universal in some sense. Specifically, we investigate the following problems: First, modeling the data array as a random field, we wish to examine whether there exists a scandiction scheme which is independent of the field's distribution, yet asymptotically achieves the same performance as if this distribution was known. This question is answered in the affirmative for the set of all spatially stationary random fields and under mild conditions on the loss function. We then discuss the scenario where a non-optimal scanning order is used, yet accompanied by an optimal predictor, and derive bounds on the excess loss compared to optimal scanning and prediction. This paper is the first part of a two-part paper on sequential decision making for multi-dimensional data. It deals with clean, noiseless data arrays. The second part deals with noisy data arrays, namely, with the case where the decision maker observes only a noisy version of the data, yet it is judged with respect to the original, clean data.Comment: 46 pages, 2 figures. Revised version: title changed, section 1 revised, section 3.1 added, a few minor/technical corrections mad

Interest Rates and Information Geometry

The space of probability distributions on a given sample space possesses natural geometric properties. For example, in the case of a smooth parametric family of probability distributions on the real line, the parameter space has a Riemannian structure induced by the embedding of the family into the Hilbert space of square-integrable functions, and is characterised by the Fisher-Rao metric. In the nonparametric case the relevant geometry is determined by the spherical distance function of Bhattacharyya. In the context of term structure modelling, we show that minus the derivative of the discount function with respect to the maturity date gives rise to a probability density. This follows as a consequence of the positivity of interest rates. Therefore, by mapping the density functions associated with a given family of term structures to Hilbert space, the resulting metrical geometry can be used to analyse the relationship of yield curves to one another. We show that the general arbitrage-free yield curve dynamics can be represented as a process taking values in the convex space of smooth density functions on the positive real line. It follows that the theory of interest rate dynamics can be represented by a class of processes in Hilbert space. We also derive the dynamics for the central moments associated with the distribution determined by the yield curve.Comment: 20 pages, 3 figure

Sixteen space-filling curves and traversals for d-dimensional cubes and simplices

This article describes sixteen different ways to traverse d-dimensional space recursively in a way that is well-defined for any number of dimensions. Each of these traversals has distinct properties that may be beneficial for certain applications. Some of the traversals are novel, some have been known in principle but had not been described adequately for any number of dimensions, some of the traversals have been known. This article is the first to present them all in a consistent notation system. Furthermore, with this article, tools are provided to enumerate points in a regular grid in the order in which they are visited by each traversal. In particular, we cover: five discontinuous traversals based on subdividing cubes into 2^d subcubes: Z-traversal (Morton indexing), U-traversal, Gray-code traversal, Double-Gray-code traversal, and Inside-out traversal; two discontinuous traversals based on subdividing simplices into 2^d subsimplices: the Hill-Z traversal and the Maehara-reflected traversal; five continuous traversals based on subdividing cubes into 2^d subcubes: the Base-camp Hilbert curve, the Harmonious Hilbert curve, the Alfa Hilbert curve, the Beta Hilbert curve, and the Butz-Hilbert curve; four continuous traversals based on subdividing cubes into 3^d subcubes: the Peano curve, the Coil curve, the Half-coil curve, and the Meurthe curve. All of these traversals are self-similar in the sense that the traversal in each of the subcubes or subsimplices of a cube or simplex, on any level of recursive subdivision, can be obtained by scaling, translating, rotating, reflecting and/or reversing the traversal of the complete unit cube or simplex.Comment: 28 pages, 12 figures. v2: fixed a confusing typo on page 12, line