704 research outputs found
Homoclinic Bifurcations for the Henon Map
Chaotic dynamics can be effectively studied by continuation from an
anti-integrable limit. We use this limit to assign global symbols to orbits and
use continuation from the limit to study their bifurcations. We find a bound on
the parameter range for which the Henon map exhibits a complete binary
horseshoe as well as a subshift of finite type. We classify homoclinic
bifurcations, and study those for the area preserving case in detail. Simple
forcing relations between homoclinic orbits are established. We show that a
symmetry of the map gives rise to constraints on certain sequences of
homoclinic bifurcations. Our numerical studies also identify the bifurcations
that bound intervals on which the topological entropy is apparently constant.Comment: To appear in PhysicaD: 43 Pages, 14 figure
Enhancing the Stability of Lanczos-type Algorithms by Embedding Interpolation and Extrapolation for the Solution of Systems of Linear Equations
A new method to treat the inherent instability of Lanczos-type algorithms is introduced. It enables us to capture the properties of the sequence of iterates generated by a Lanczos-type algorithm by interpolating on this sequence of points. The interpolation model found is then used to generate a point that is outside the range. It is expected that this new point will link up the rest of the sequence of points generated by the Lanczos-type algorithm if breakdown does not occur. However, because we assume that the interpolation model captures the properties of the Lanczos sequence, the new point belongs to that sequence since it is generated by the model. This paper introduces the so-called Embedded Interpolation and Extrapolation Model in Lanczos-type Algorithms (EIEMLA). The model was implemented in algorithms A13/B6and A13/B13, which are new variants of the Lanczos algorithm. Individually, these algorithms perform badly on high dimensional systems of linear equations (SLEs). However, with the embedded interpolation and extrapolation models, EIEM A13/B6and EIEM A13/B13, a substantial improvement in the performance on SLEs with up to 105variables can be achieved
New convergence results for the scaled gradient projection method
The aim of this paper is to deepen the convergence analysis of the scaled
gradient projection (SGP) method, proposed by Bonettini et al. in a recent
paper for constrained smooth optimization. The main feature of SGP is the
presence of a variable scaling matrix multiplying the gradient, which may
change at each iteration. In the last few years, an extensive numerical
experimentation showed that SGP equipped with a suitable choice of the scaling
matrix is a very effective tool for solving large scale variational problems
arising in image and signal processing. In spite of the very reliable numerical
results observed, only a weak, though very general, convergence theorem is
provided, establishing that any limit point of the sequence generated by SGP is
stationary. Here, under the only assumption that the objective function is
convex and that a solution exists, we prove that the sequence generated by SGP
converges to a minimum point, if the scaling matrices sequence satisfies a
simple and implementable condition. Moreover, assuming that the gradient of the
objective function is Lipschitz continuous, we are also able to prove the
O(1/k) convergence rate with respect to the objective function values. Finally,
we present the results of a numerical experience on some relevant image
restoration problems, showing that the proposed scaling matrix selection rule
performs well also from the computational point of view
A variable metric forward--backward method with extrapolation
Forward-backward methods are a very useful tool for the minimization of a
functional given by the sum of a differentiable term and a nondifferentiable
one and their investigation has experienced several efforts from many
researchers in the last decade. In this paper we focus on the convex case and,
inspired by recent approaches for accelerating first-order iterative schemes,
we develop a scaled inertial forward-backward algorithm which is based on a
metric changing at each iteration and on a suitable extrapolation step. Unlike
standard forward-backward methods with extrapolation, our scheme is able to
handle functions whose domain is not the entire space. Both {an convergence rate estimate on the objective function values and the
convergence of the sequence of the iterates} are proved. Numerical experiments
on several {test problems arising from image processing, compressed sensing and
statistical inference} show the {effectiveness} of the proposed method in
comparison to well performing {state-of-the-art} algorithms
A Fast Alternating Minimization Algorithm for Total Variation Deblurring Without Boundary Artifacts
Recently, a fast alternating minimization algorithm for total variation image
deblurring (FTVd) has been presented by Wang, Yang, Yin, and Zhang [{\em SIAM
J. Imaging Sci.}, 1 (2008), pp. 248--272]. The method in a nutshell consists of
a discrete Fourier transform-based alternating minimization algorithm with
periodic boundary conditions and in which two fast Fourier transforms (FFTs)
are required per iteration. In this paper, we propose an alternating
minimization algorithm for the continuous version of the total variation image
deblurring problem. We establish convergence of the proposed continuous
alternating minimization algorithm. The continuous setting is very useful to
have a unifying representation of the algorithm, independently of the discrete
approximation of the deconvolution problem, in particular concerning the
strategies for dealing with boundary artifacts. Indeed, an accurate restoration
of blurred and noisy images requires a proper treatment of the boundary. A
discrete version of our continuous alternating minimization algorithm is
obtained following two different strategies: the imposition of appropriate
boundary conditions and the enlargement of the domain. The first one is
computationally useful in the case of a symmetric blur, while the second one
can be efficiently applied for a nonsymmetric blur. Numerical tests show that
our algorithm generates higher quality images in comparable running times with
respect to the Fast Total Variation deconvolution algorithm
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
On the convergence of a linesearch based proximal-gradient method for nonconvex optimization
We consider a variable metric linesearch based proximal gradient method for
the minimization of the sum of a smooth, possibly nonconvex function plus a
convex, possibly nonsmooth term. We prove convergence of this iterative
algorithm to a critical point if the objective function satisfies the
Kurdyka-Lojasiewicz property at each point of its domain, under the assumption
that a limit point exists. The proposed method is applied to a wide collection
of image processing problems and our numerical tests show that our algorithm
results to be flexible, robust and competitive when compared to recently
proposed approaches able to address the optimization problems arising in the
considered applications
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