Wavelets and Fast Numerical Algorithms

Wavelet based algorithms in numerical analysis are similar to other transform methods in that vectors and operators are expanded into a basis and the computations take place in this new system of coordinates. However, due to the recursive definition of wavelets, their controllable localization in both space and wave number (time and frequency) domains, and the vanishing moments property, wavelet based algorithms exhibit new and important properties. For example, the multiresolution structure of the wavelet expansions brings about an efficient organization of transformations on a given scale and of interactions between different neighbouring scales. Moreover, wide classes of operators which naively would require a full (dense) matrix for their numerical description, have sparse representations in wavelet bases. For these operators sparse representations lead to fast numerical algorithms, and thus address a critical numerical issue. We note that wavelet based algorithms provide a systematic generalization of the Fast Multipole Method (FMM) and its descendents. These topics will be the subject of the lecture. Starting from the notion of multiresolution analysis, we will consider the so-called non-standard form (which achieves decoupling among the scales) and the associated fast numerical algorithms. Examples of non-standard forms of several basic operators (e.g. derivatives) will be computed explicitly.Comment: 32 pages, uuencoded tar-compressed LaTeX file. Uses epsf.sty (see `macros'

Construction of Parseval wavelets from redundant filter systems

We consider wavelets in L^2(R^d) which have generalized multiresolutions. This means that the initial resolution subspace V_0 in L^2(R^d) is not singly generated. As a result, the representation of the integer lattice Z^d restricted to V_0 has a nontrivial multiplicity function. We show how the corresponding analysis and synthesis for these wavelets can be understood in terms of unitary-matrix-valued functions on a torus acting on a certain vector bundle. Specifically, we show how the wavelet functions on R^d can be constructed directly from the generalized wavelet filters.Comment: 34 pages, AMS-LaTeX ("amsproc" document class) v2 changes minor typos in Sections 1 and 4, v3 adds a number of references on GMRA theory and wavelet multiplicity analysis; v4 adds material on pages 2, 3, 5 and 10, and two more reference

Ordinal Probit Functional Regression Models with Application to Computer-Use Behavior in Rhesus Monkeys

Research in functional regression has made great strides in expanding to non-Gaussian functional outcomes, however the exploration of ordinal functional outcomes remains limited. Motivated by a study of computer-use behavior in rhesus macaques (\emph{Macaca mulatta}), we introduce the Ordinal Probit Functional Regression Model or OPFRM to perform ordinal function-on-scalar regression. The OPFRM is flexibly formulated to allow for the choice of different basis functions including penalized B-splines, wavelets, and O'Sullivan splines. We demonstrate the operating characteristics of the model in simulation using a variety of underlying covariance patterns showing the model performs reasonably well in estimation under multiple basis functions. We also present and compare two approaches for conducting posterior inference showing that joint credible intervals tend to out perform point-wise credible. Finally, in application, we determine demographic factors associated with the monkeys' computer use over the course of a year and provide a brief analysis of the findings

Spectrum-Adapted Tight Graph Wavelet and Vertex-Frequency Frames

We consider the problem of designing spectral graph filters for the construction of dictionaries of atoms that can be used to efficiently represent signals residing on weighted graphs. While the filters used in previous spectral graph wavelet constructions are only adapted to the length of the spectrum, the filters proposed in this paper are adapted to the distribution of graph Laplacian eigenvalues, and therefore lead to atoms with better discriminatory power. Our approach is to first characterize a family of systems of uniformly translated kernels in the graph spectral domain that give rise to tight frames of atoms generated via generalized translation on the graph. We then warp the uniform translates with a function that approximates the cumulative spectral density function of the graph Laplacian eigenvalues. We use this approach to construct computationally efficient, spectrum-adapted, tight vertex-frequency and graph wavelet frames. We give numerous examples of the resulting spectrum-adapted graph filters, and also present an illustrative example of vertex-frequency analysis using the proposed construction

Valuation of boundary-linked assets

This article studies the valuation of boundary-linked assets and their derivatives in continuous-time markets. Valuing boundary-linked assets requires the solution of a stochastic differential equation with boundary conditions, which, often, is not Markovian. We propose a wavelet-collocation algorithm for solving a Milstein approximation to the stochastic boundary problem. Its convergence properties are studied. Furthermore, we value boundary-linked derivatives using Malliavin calculus and Monte Carlo methods. We apply these ideas to value European call options of boundary-linked asset