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