Piecewise linear regularized solution paths

We consider the generic regularized optimization problem $\hat{\mathsf{\beta}}(\lambda)=\arg \min_{\beta}L({\sf{y}},X{\sf{\beta}})+\lambda J({\sf{\beta}})$. Efron, Hastie, Johnstone and Tibshirani [Ann. Statist. 32 (2004) 407--499] have shown that for the LASSO--that is, if $L$ is squared error loss and $J(\beta)=\|\beta\|_1$ is the $\ell_1$ norm of $\beta$--the optimal coefficient path is piecewise linear, that is, $\partial \hat{\beta}(\lambda)/\partial \lambda$ is piecewise constant. We derive a general characterization of the properties of (loss $L$, penalty $J$) pairs which give piecewise linear coefficient paths. Such pairs allow for efficient generation of the full regularized coefficient paths. We investigate the nature of efficient path following algorithms which arise. We use our results to suggest robust versions of the LASSO for regression and classification, and to develop new, efficient algorithms for existing problems in the literature, including Mammen and van de Geer's locally adaptive regression splines.Comment: Published at http://dx.doi.org/10.1214/009053606000001370 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Smooth quasi-developable surfaces bounded by smooth curves

Computing a quasi-developable strip surface bounded by design curves finds wide industrial applications. Existing methods compute discrete surfaces composed of developable lines connecting sampling points on input curves which are not adequate for generating smooth quasi-developable surfaces. We propose the first method which is capable of exploring the full solution space of continuous input curves to compute a smooth quasi-developable ruled surface with as large developability as possible. The resulting surface is exactly bounded by the input smooth curves and is guaranteed to have no self-intersections. The main contribution is a variational approach to compute a continuous mapping of parameters of input curves by minimizing a function evaluating surface developability. Moreover, we also present an algorithm to represent a resulting surface as a B-spline surface when input curves are B-spline curves.Comment: 18 page

B-spline techniques for volatility modeling

This paper is devoted to the application of B-splines to volatility modeling, specifically the calibration of the leverage function in stochastic local volatility models and the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data. We use an extension of classical B-splines obtained by including basis functions with infinite support. We first come back to the application of shape-constrained B-splines to the estimation of conditional expectations, not merely from a scatter plot but also from the given marginal distributions. An application is the Monte Carlo calibration of stochastic local volatility models by Markov projection. Then we present a new technique for the calibration of an implied volatility surface to sparse option data. We use a B-spline parameterization of the Radon-Nikodym derivative of the underlying's risk-neutral probability density with respect to a roughly calibrated base model. We show that this method provides smooth arbitrage-free implied volatility surfaces. Finally, we sketch a Galerkin method with B-spline finite elements to the solution of the partial differential equation satisfied by the Radon-Nikodym derivative.Comment: 25 page

Exact asymptotics of the optimal Lp-error of asymmetric linear spline approximation

In this paper we study the best asymmetric (sometimes also called penalized or sign-sensitive) approximation in the metrics of the space $L_p$, $1\leqslant p\leqslant\infty$, of functions $f\in C^2\left([0,1]^2\right)$ with nonnegative Hessian by piecewise linear splines $s\in S(\triangle_N)$, generated by given triangulations $\triangle_N$ with $N$ elements. We find the exact asymptotic behavior of optimal (over triangulations $\triangle_N$ and splines $s\in S(\triangle_N)$ error of such approximation as $N\to \infty$

Exact asymptotics of the uniform error of interpolation by multilinear splines

The question of adaptive mesh generation for approximation by splines has been studied for a number of years by various authors. The results have numerous applications in computational and discrete geometry, computer aided geometric design, finite element methods for numerical solutions of partial differential equations, image processing, and mesh generation for computer graphics, among others. In this paper we will investigate the questions regarding adaptive approximation of C2 functions with arbitrary but fixed throughout the domain signature by multilinear splines. In particular, we will study the asymptotic behavior of the optimal error of the weighted uniform approximation by interpolating and quasi-interpolating multilinear splines

Linear system identification using stable spline kernels and PLQ penalties

The classical approach to linear system identification is given by parametric Prediction Error Methods (PEM). In this context, model complexity is often unknown so that a model order selection step is needed to suitably trade-off bias and variance. Recently, a different approach to linear system identification has been introduced, where model order determination is avoided by using a regularized least squares framework. In particular, the penalty term on the impulse response is defined by so called stable spline kernels. They embed information on regularity and BIBO stability, and depend on a small number of parameters which can be estimated from data. In this paper, we provide new nonsmooth formulations of the stable spline estimator. In particular, we consider linear system identification problems in a very broad context, where regularization functionals and data misfits can come from a rich set of piecewise linear quadratic functions. Moreover, our anal- ysis includes polyhedral inequality constraints on the unknown impulse response. For any formulation in this class, we show that interior point methods can be used to solve the system identification problem, with complexity O(n3)+O(mn2) in each iteration, where n and m are the number of impulse response coefficients and measurements, respectively. The usefulness of the framework is illustrated via a numerical experiment where output measurements are contaminated by outliers.Comment: 8 pages, 2 figure