328 research outputs found
Deterministic Sampling and Range Counting in Geometric Data Streams
We present memory-efficient deterministic algorithms for constructing
epsilon-nets and epsilon-approximations of streams of geometric data. Unlike
probabilistic approaches, these deterministic samples provide guaranteed bounds
on their approximation factors. We show how our deterministic samples can be
used to answer approximate online iceberg geometric queries on data streams. We
use these techniques to approximate several robust statistics of geometric data
streams, including Tukey depth, simplicial depth, regression depth, the
Thiel-Sen estimator, and the least median of squares. Our algorithms use only a
polylogarithmic amount of memory, provided the desired approximation factors
are inverse-polylogarithmic. We also include a lower bound for non-iceberg
geometric queries.Comment: 12 pages, 1 figur
Blocking Coloured Point Sets
This paper studies problems related to visibility among points in the plane.
A point \emph{blocks} two points and if is in the interior of
the line segment . A set of points is \emph{-blocked} if each
point in is assigned one of colours, such that distinct points are assigned the same colour if and only if some other point in blocks
and . The focus of this paper is the conjecture that each -blocked
set has bounded size (as a function of ). Results in the literature imply
that every 2-blocked set has at most 3 points, and every 3-blocked set has at
most 6 points. We prove that every 4-blocked set has at most 12 points, and
that this bound is tight. In fact, we characterise all sets
such that some 4-blocked set has exactly points in
the -th colour class. Amongst other results, for infinitely many values of
, we construct -blocked sets with points
Generalizations of Tucker-Fan-Shashkin lemmas
Tucker and Ky Fan's lemma are combinatorial analogs of the Borsuk-Ulam
theorem (BUT). In 1996, Yu. A. Shashkin proved a version of Fan's lemma, which
is a combinatorial analog of the odd mapping theorem (OMT). We consider
generalizations of these lemmas for BUT-manifolds, i.e. for manifolds that
satisfy BUT. Proofs rely on a generalization of the OMT and on a lemma about
the doubling of manifolds with boundaries that are BUT-manifolds.Comment: 10 pages, 2 figure
Multidimensional Quasi-Monte Carlo Malliavin Greeks
We investigate the use of Malliavin calculus in order to calculate the Greeks
of multidimensional complex path-dependent options by simulation. For this
purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the
multidimensional case. The multidimensional setting shows the convenience of
the Malliavin Calculus approach over different techniques that have been
previously proposed. Indeed, these techniques may be computationally expensive
and do not provide flexibility for variance reduction. In contrast, the
Malliavin approach exhibits a higher flexibility by providing a class of
functions that return the same expected value (the Greek) with different
accuracies. This versatility for variance reduction is not possible without the
use of the generalized integral by part formula of Malliavin Calculus. In the
multidimensional context, we find convenient formulas that permit to improve
the localization technique, introduced in Fourni\'e et al and reduce both the
computational cost and the variance. Moreover, we show that the parameters
employed for variance reduction can be obtained \textit{on the flight} in the
simulation. We illustrate the efficiency of the proposed procedures, coupled
with the enhanced version of Quasi-Monte Carlo simulations as discussed in
Sabino, for the numerical estimation of the Deltas of call, digital Asian-style
and Exotic basket options with a fixed and a floating strike price in a
multidimensional Black-Scholes market.Comment: 22 pages, 6 figure
Cutting the same fraction of several measures
We study some measure partition problems: Cut the same positive fraction of
measures in with a hyperplane or find a convex subset of
on which given measures have the same prescribed value. For
both problems positive answers are given under some additional assumptions.Comment: 7 pages 2 figure
On Compact Routing for the Internet
While there exist compact routing schemes designed for grids, trees, and
Internet-like topologies that offer routing tables of sizes that scale
logarithmically with the network size, we demonstrate in this paper that in
view of recent results in compact routing research, such logarithmic scaling on
Internet-like topologies is fundamentally impossible in the presence of
topology dynamics or topology-independent (flat) addressing. We use analytic
arguments to show that the number of routing control messages per topology
change cannot scale better than linearly on Internet-like topologies. We also
employ simulations to confirm that logarithmic routing table size scaling gets
broken by topology-independent addressing, a cornerstone of popular
locator-identifier split proposals aiming at improving routing scaling in the
presence of network topology dynamics or host mobility. These pessimistic
findings lead us to the conclusion that a fundamental re-examination of
assumptions behind routing models and abstractions is needed in order to find a
routing architecture that would be able to scale ``indefinitely.''Comment: This is a significantly revised, journal version of cs/050802
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
In this article we consider the problem of pricing and hedging
high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We
assume a Black-Scholes market with time-dependent volatilities and show how to
compute the deltas by the aid of the Malliavin Calculus, extending the
procedure employed by Montero and Kohatsu-Higa (2003). Efficient
path-generation algorithms, such as Linear Transformation and Principal
Component Analysis, exhibit a high computational cost in a market with
time-dependent volatilities. We present a new and fast Cholesky algorithm for
block matrices that makes the Linear Transformation even more convenient.
Moreover, we propose a new-path generation technique based on a Kronecker
Product Approximation. This construction returns the same accuracy of the
Linear Transformation used for the computation of the deltas and the prices in
the case of correlated asset returns while requiring a lower computational
time. All these techniques can be easily employed for stochastic volatility
models based on the mixture of multi-dimensional dynamics introduced by Brigo
et al. (2004).Comment: 16 page
Statistical mechanics of budget-constrained auctions
Finding the optimal assignment in budget-constrained auctions is a
combinatorial optimization problem with many important applications, a notable
example being the sale of advertisement space by search engines (in this
context the problem is often referred to as the off-line AdWords problem).
Based on the cavity method of statistical mechanics, we introduce a message
passing algorithm that is capable of solving efficiently random instances of
the problem extracted from a natural distribution, and we derive from its
properties the phase diagram of the problem. As the control parameter (average
value of the budgets) is varied, we find two phase transitions delimiting a
region in which long-range correlations arise.Comment: Minor revisio
Unsplittable coverings in the plane
A system of sets forms an {\em -fold covering} of a set if every point
of belongs to at least of its members. A -fold covering is called a
{\em covering}. The problem of splitting multiple coverings into several
coverings was motivated by classical density estimates for {\em sphere
packings} as well as by the {\em planar sensor cover problem}. It has been the
prevailing conjecture for 35 years (settled in many special cases) that for
every plane convex body , there exists a constant such that every
-fold covering of the plane with translates of splits into
coverings. In the present paper, it is proved that this conjecture is false for
the unit disk. The proof can be generalized to construct, for every , an
unsplittable -fold covering of the plane with translates of any open convex
body which has a smooth boundary with everywhere {\em positive curvature}.
Somewhat surprisingly, {\em unbounded} open convex sets do not misbehave,
they satisfy the conjecture: every -fold covering of any region of the plane
by translates of such a set splits into two coverings. To establish this
result, we prove a general coloring theorem for hypergraphs of a special type:
{\em shift-chains}. We also show that there is a constant such that, for
any positive integer , every -fold covering of a region with unit disks
splits into two coverings, provided that every point is covered by {\em at
most} sets
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