835 research outputs found
Multi-scale 3D Convolution Network for Video Based Person Re-Identification
This paper proposes a two-stream convolution network to extract spatial and
temporal cues for video based person Re-Identification (ReID). A temporal
stream in this network is constructed by inserting several Multi-scale 3D (M3D)
convolution layers into a 2D CNN network. The resulting M3D convolution network
introduces a fraction of parameters into the 2D CNN, but gains the ability of
multi-scale temporal feature learning. With this compact architecture, M3D
convolution network is also more efficient and easier to optimize than existing
3D convolution networks. The temporal stream further involves Residual
Attention Layers (RAL) to refine the temporal features. By jointly learning
spatial-temporal attention masks in a residual manner, RAL identifies the
discriminative spatial regions and temporal cues. The other stream in our
network is implemented with a 2D CNN for spatial feature extraction. The
spatial and temporal features from two streams are finally fused for the video
based person ReID. Evaluations on three widely used benchmarks datasets, i.e.,
MARS, PRID2011, and iLIDS-VID demonstrate the substantial advantages of our
method over existing 3D convolution networks and state-of-art methods.Comment: AAAI, 201
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
In this paper we introduce and study the concept of optimal and surely
optimal dual martingales in the context of dual valuation of Bermudan options,
and outline the development of new algorithms in this context. We provide a
characterization theorem, a theorem which gives conditions for a martingale to
be surely optimal, and a stability theorem concerning martingales which are
near to be surely optimal in a sense. Guided by these results we develop a
framework of backward algorithms for constructing such a martingale. In turn
this martingale may then be utilized for computing an upper bound of the
Bermudan product. The methodology is pure dual in the sense that it doesn't
require certain input approximations to the Snell envelope. In an It\^o-L\'evy
environment we outline a particular regression based backward algorithm which
allows for computing dual upper bounds without nested Monte Carlo simulation.
Moreover, as a by-product this algorithm also provides approximations to the
continuation values of the product, which in turn determine a stopping policy.
Hence, we may obtain lower bounds at the same time. In a first numerical study
we demonstrate the backward dual regression algorithm in a Wiener environment
at well known benchmark examples. It turns out that the method is at least
comparable to the one in Belomestny et. al. (2009) regarding accuracy, but
regarding computational robustness there are even several advantages.Comment: This paper is an extended version of Schoenmakers and Huang, "Optimal
dual martingales and their stability; fast evaluation of Bermudan products
via dual backward regression", WIAS Preprint 157
Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization.
In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical realizability. Then we study utility maximization problems on incomplete financial markets whose dynamics are governed by continuous semimartingales. Adapting standard methods that solve the utility maximization problem using BSDEs, we give solutions for the portfolio optimization problem which involve the delivery of a liability at maturity. We illustrate our study by numerical simulations for selected examples. As a byproduct we prove existence of a solution to a very particular quadratic growth BSDE with unbounded terminal condition. This complements results on this topic obtained in [6, 7, 8].numerical scheme; stochastic optimal control; utility optimization; quadratic growth; distortion transformation; logarithmic transformation; BSPDE; BSDE;
Dual representations for general multiple stopping problems
In this paper, we study the dual representation for generalized multiple
stopping problems, hence the pricing problem of general multiple exercise
options. We derive a dual representation which allows for cashflows which are
subject to volume constraints modeled by integer valued adapted processes and
refraction periods modeled by stopping times. As such, this extends the works
by Schoenmakers (2010), Bender (2011a), Bender (2011b), Aleksandrov and Hambly
(2010), and Meinshausen and Hambly (2004) on multiple exercise options, which
either take into consideration a refraction period or volume constraints, but
not both simultaneously. We also allow more flexible cashflow structures than
the additive structure in the above references. For example some exponential
utility problems are covered by our setting. We supplement the theoretical
results with an explicit Monte Carlo algorithm for constructing confidence
intervals for the price of multiple exercise options and exemplify it by a
numerical study on the pricing of a swing option in an electricity market.Comment: This is an updated version of WIAS preprint 1665, 23 November 201
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