2,167 research outputs found

    Surface Comparison with Mass Transportation

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    We use mass-transportation as a tool to compare surfaces (2-manifolds). In particular, we determine the "similarity" of two given surfaces by solving a mass-transportation problem between their conformal densities. This mass transportation problem differs from the standard case in that we require the solution to be invariant under global M\"obius transformations. Our approach provides a constructive way of defining a metric in the abstract space of simply-connected smooth surfaces with boundary (i.e. surfaces of disk-type); this metric can also be used to define meaningful intrinsic distances between pairs of "patches" in the two surfaces, which allows automatic alignment of the surfaces. We provide numerical experiments on "real-life" surfaces to demonstrate possible applications in natural sciences

    Sparse and stable Markowitz portfolios

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    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

    Variational image restoration by means of wavelets: Simultaneous decomposition, deblurring, and denoising

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    AbstractInspired by papers of Vese–Osher [Modeling textures with total variation minimization and oscillating patterns in image processing, Technical Report 02-19, 2002] and Osher–Solé–Vese [Image decomposition and restoration using total variation minimization and the H−1 norm, Technical Report 02-57, 2002] we present a wavelet-based treatment of variational problems arising in the field of image processing. In particular, we follow their approach and discuss a special class of variational functionals that induce a decomposition of images into oscillating and cartoon components and possibly an appropriate ‘noise’ component. In the setting of [Modeling textures with total variation minimization and oscillating patterns in image processing, Technical Report 02-19, 2002] and [Image decomposition and restoration using total variation minimization and the H−1 norm, Technical Report 02-57, 2002], the cartoon component of an image is modeled by a BV function; the corresponding incorporation of BV penalty terms in the variational functional leads to PDE schemes that are numerically intensive. By replacing the BV penalty term by a B11(L1) term (which amounts to a slightly stronger constraint on the minimizer), and writing the problem in a wavelet framework, we obtain elegant and numerically efficient schemes with results very similar to those obtained in [Modeling textures with total variation minimization and oscillating patterns in image processing, Technical Report 02-19, 2002] and [Image decomposition and restoration using total variation minimization and the H−1 norm, Technical Report 02-57, 2002]. This approach allows us, moreover, to incorporate general bounded linear blur operators into the problem so that the minimization leads to a simultaneous decomposition, deblurring and denoising

    Generalization of the interaction between the Haar approximation and polynomial operators to higher order methods

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    International audienceIn applications it is useful to compute the local average of a function f(u) of an input u from empirical statistics on u. A very simple relation exists when the local averages are given by a Haar approximation. The question is to know if it holds for higher order approximation methods. To do so, it is necessary to use approximate product operators defined over linear approximation spaces. These products are characterized by a Strang and Fix like condition. An explicit construction of these product operators is exhibited for piecewise polynomial functions, using Hermite interpolation. The averaging relation which holds for the Haar approximation is then recovered when the product is defined by a two point Hermite interpolation

    On R-duals and the duality principle in Gabor analysis

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    The concept of R-duals of a frame was introduced by Casazza, Kutyniok and Lammers in 2004, with the motivation to obtain a general version of the duality principle in Gabor analysis. For tight Gabor frames and Gabor Riesz bases the three authors were actually able to show that the duality principle is a special case of general results for R-duals. In this paper we introduce various alternative R-duals, with focus on what we call R-duals of type II and III. We show how they are related and provide characterizations of the R-duals of type II and III. In particular, we prove that for tight frames these classes coincide with the R-duals by Casazza et el., which is desirable in the sense that the motivating case of tight Gabor frames already is well covered by these R-duals. On the other hand, all the introduced types of R-duals generalize the duality principle for larger classes of Gabor frames than just the tight frames and the Riesz bases; in particular, the R-duals of type III cover the duality principle for all Gabor frames

    Wavelet Methods in the Relativistic Three-Body Problem

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    In this paper we discuss the use of wavelet bases to solve the relativistic three-body problem. Wavelet bases can be used to transform momentum-space scattering integral equations into an approximate system of linear equations with a sparse matrix. This has the potential to reduce the size of realistic three-body calculations with minimal loss of accuracy. The wavelet method leads to a clean, interaction independent treatment of the scattering singularities which does not require any subtractions.Comment: 14 pages, 3 figures, corrected referenc

    An Inverse Problem for Localization Operators

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    A classical result of time-frequency analysis, obtained by I. Daubechies in 1988, states that the eigenfunctions of a time-frequency localization operator with circular localization domain and Gaussian analysis window are the Hermite functions. In this contribution, a converse of Daubechies' theorem is proved. More precisely, it is shown that, for simply connected localization domains, if one of the eigenfunctions of a time-frequency localization operator with Gaussian window is a Hermite function, then its localization domain is a disc. The general problem of obtaining, from some knowledge of its eigenfunctions, information about the symbol of a time-frequency localization operator, is denoted as the inverse problem, and the problem studied by Daubechies as the direct problem of time-frequency analysis. Here, we also solve the corresponding problem for wavelet localization, providing the inverse problem analogue of the direct problem studied by Daubechies and Paul.Comment: 18 pages, 1 figur

    Blind Deconvolution of Ultrasonic Signals Using High-Order Spectral Analysis and Wavelets

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    Defect detection by ultrasonic method is limited by the pulse width. Resolution can be improved through a deconvolution process with a priori information of the pulse or by its estimation. In this paper a regularization of the Wiener filter using wavelet shrinkage is presented for the estimation of the reflectivity function. The final result shows an improved signal to noise ratio with better axial resolution.Comment: 8 pages, CIARP 2005, LNCS 377

    Maximal violation of Bell inequalities by position measurements

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    We show that it is possible to find maximal violations of the CHSH-Bell inequality using only position measurements on a pair of entangled non-relativistic free particles. The device settings required in the CHSH inequality are done by choosing one of two times at which position is measured. For different assignments of the "+" outcome to positions, namely to an interval, to a half line, or to a periodic set, we determine violations of the inequalities, and states where they are attained. These results have consequences for the hidden variable theories of Bohm and Nelson, in which the two-time correlations between distant particle trajectories have a joint distribution, and hence cannot violate any Bell inequality.Comment: 13 pages, 4 figure
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