514 research outputs found
Compressed sensing imaging techniques for radio interferometry
Radio interferometry probes astrophysical signals through incomplete and
noisy Fourier measurements. The theory of compressed sensing demonstrates that
such measurements may actually suffice for accurate reconstruction of sparse or
compressible signals. We propose new generic imaging techniques based on convex
optimization for global minimization problems defined in this context. The
versatility of the framework notably allows introduction of specific prior
information on the signals, which offers the possibility of significant
improvements of reconstruction relative to the standard local matching pursuit
algorithm CLEAN used in radio astronomy. We illustrate the potential of the
approach by studying reconstruction performances on simulations of two
different kinds of signals observed with very generic interferometric
configurations. The first kind is an intensity field of compact astrophysical
objects. The second kind is the imprint of cosmic strings in the temperature
field of the cosmic microwave background radiation, of particular interest for
cosmology.Comment: 10 pages, 1 figure. Version 2 matches version accepted for
publication in MNRAS. Changes includes: writing corrections, clarifications
of arguments, figure update, and a new subsection 4.1 commenting on the exact
compliance of radio interferometric measurements with compressed sensin
Sparse and stable Markowitz portfolios
We consider the problem of portfolio selection within the classical Markowitz
mean-variance framework, reformulated as a constrained least-squares regression
problem. We propose to add to the objective function a penalty proportional to
the sum of the absolute values of the portfolio weights. This penalty
regularizes (stabilizes) the optimization problem, encourages sparse portfolios
(i.e. portfolios with only few active positions), and allows to account for
transaction costs. Our approach recovers as special cases the
no-short-positions portfolios, but does allow for short positions in limited
number. We implement this methodology on two benchmark data sets constructed by
Fama and French. Using only a modest amount of training data, we construct
portfolios whose out-of-sample performance, as measured by Sharpe ratio, is
consistently and significantly better than that of the naive evenly-weighted
portfolio which constitutes, as shown in recent literature, a very tough
benchmark.Comment: Better emphasis of main result, new abstract, new examples and
figures. New appendix with full details of algorithm. 17 pages, 6 figure
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