PICOF, Palaiseau, April 2-4, 2012

Size: px
Start display at page:

Download "PICOF, Palaiseau, April 2-4, 2012"

Transcription

1 The Sobolev gradient regularization strategy for optical tomography coupled with a finite element formulation of the radiative transfer equation Fabien Dubot, Olivier Balima, Yann Favennec, Daniel Rousse Université de Nantes École de Technologie Supérieure Québec) PICOF, Palaiseau, April 2-4, 2012

2 Optical Tomography Main Penetration of light within tissues Dependent on optical properties : absorption and diffusion Needs : precise instrumentation large number of measurements robust and reliable reconstruction algorithms Features No need for extra chemical agent the contrast comes from variations of hemoglobin in cells No harmful compare with X-ray, nuclear imaging, etc.) low light intensity no cumulative effect known so far No expensive technology Lasers sensors computer but still not fully operational!

3 Radiative Transfer Equation Forms of RTE in OT Transient, frequency, steady-state formulations, Full RTE / Diffuse Approximation for high scattering media Boltzmann equation [in frequency domain] Transport of the light intensity I is the radiant power per unit solid angle per unit area at spatial position r in direction Ω for the test k) ) iω c + Ω + κ + σ Ir, Ω, ω, k) = σbi) Directional dependency of I Integro-differential equation BI) := 1 ˆ Ir, Ω, ω, k)φ Ω, Ω) dω 4π 4π Scattering of light through Φ Reflection, refraction on boundaries k = 2 k = 1

4 Input and Cost function definition Physical Model Find Ir, Ω, ω, k) satisfies : iω c + Ω + κ + σ) Ir, Ω, ω, k) = σbi) Ir, Ω, ω, k) = q 0 ω)1 [r D0 k)]1 [ Ω n<0] δ Ω Ω 0 )) k = 1 Prediction ˆ P I) = Ir, Ω, ω, k) Ω n dω D d Ω n>0 k = 2 Cost function jκ, σ) := J I) = 1 K P I) M 2 Y 2 k=1

5 Forward modelling State divided into two components I = I c + I s satisfying : ) iω c + Ω 0 + κ + σ I c r, ω, k) = 0 I c r, ω, k) = q 0 ω) 1 [r D0 k)] 1 [ Ω0 n<0] ) iω c + Ω + κ + σ I sr, Ω, ω, k) = σbi cδ Ω Ω 0 ) + I s) I sr, Ω, ω, k) = 0 1 [ Ω n<0)]

6 Cost function derivative Cost function derivative in the direction α U) : j κ, σ; α ) := lim ε 0 jκ, σ) + εα ) jκ, σ) ε N s j κ, σ; α ) = R P I s) P M), I sr, ) Ω, ω; α ) Y s=1 Linearized system for test k) : ) iω c + Ω 0 + κ + σ I c r, ω, k; α ) + κ + σ )I cr, ω, k) = 0 I c r, ω, k; α ) = 0 1 [r D0 k)] 1 [ Ω0 n<0] ) iω c + Ω + κ + σ I sr, Ω, ω, k; α ) + κ + σ )I sr, Ω, ω, k) = σ B I cδ Ω Ω ) 0 ) + I s + σb I c δ Ω Ω ) 0 ) + I s I sr, Ω, ω, k; α ) = 0 1 [ Ω n<0]

7 Cost derivative and adjoint problem Proposition The directional derivative of the cost function in the neighborhood of κ, σ) in the direction α when the state is solution of the system S) = k Sk)) is given by : j κ, σ; α ) = k κ + σ )I c, Ic X + κ + σ )I s, Is X σ B I cδ Ω Ω ) 0 ) + I s, Is X if Is and Ic are additional adjoint) variables solutions of the system Sk)) gathering the four relationships : iω ) c Ω + κ + σ Is r, Ω, ) ω, k = σb Is ) Is r, Ω, ) ω, k = Ω n P M) 1 [r Dd ] 1 [ Ω n>0] iω ) c Ω 0 + κ + σ Ic r, Ω, ω, k) = σb Is δ Ω Ω ) 0 ) I c r, Ω, ω, k) = 0 1 [ Ω n<0]

8 Cost derivative and ordinary gradient Let γ being either κ or σ, and jκ, σ) = κj, σj) j κ, σ; γ ) = jκ, σ), γ If jκ, σ) defined on the L 2 D) space γ L 2 D) there exists unique L 2 γ jκ, σ) L 2 D) such that j κ, σ; γ ) = for all γ L 2 D) L 2 γ jκ, σ), γ L 2 D)

9 Noise propagation from measurements to the cost gradient Recall the adjoint system iω ) c Ω + κ + σ I s r, Ω, ) ω, k = σb I ) s I s r, Ω, ) ω, k = Ω n P M) 1 [r Dd ] 1 [ Ω n>0] iω c ) Ω 0 + κ + σ I c r, Ω, ω, k) = σb I s δ Ω Ω ) 0) I c r, Ω, ω, k) = 0 1 [ Ω n<0] Noise Propagation Measurements M are noisy noise propagation through I s noise propagation through I c noise propagation through γjκ, σ)

10 Sobolev gradient Introduction of the Sobolev space z 1, z 2 H 1 D) := z 1, z 2 L2 D) + z 1, z 2 L2 D) z 1, z 2 H 1 D) If jκ, σ) defined on the H 1 D) space γ H 1 D) there exists unique H1 γ jκ, σ) H1 D) such that j κ, σ; γ ) = H1 γ jκ, σ), κ H 1 D) for all γ H 1 D) Used in solving PDEs through optimization e.g. Danaila et al. SIAM J. Sci. Comput., 2010, Raza et al. J. Comput. Physics 2009) image segmentation e.g. Renka Nonlinear Analysis 2009)

11 Weighted Sobolev gradient Introduction of the space z 1, z 2 H 1l) D) := z 1, z 2 L2 D) + l2 z 1, z 2 L2 D) z 1, z 2 H 1 D) e.g. Protas, J. Comput. Physics 2004) Cost gradient extraction 1 l 2 ) ) H1l) κ jκ, σ) = I cic + IsI s 1 l 2 ) ) H1l) σ jκ, σ) = I cic + I sis I s 4π 4π [ I sr, Ω, ω) + I cr, ω)δ Ω Ω c) ] Φ Ω, Ω) dω Two steps 1 Extraction of L 2D γ jκ, σ) 2 Solve 1 l 2 ) ) H1l) κ jκ, σ) = L 2D γ jκ, σ)

12 Numerical schemes Handle the integrals over solid angles Discrete Ordinate Method Ωm + iωc ) + κ + σ Is m r, ω) = σ Sm c r, ω) + 4π M m =1 I m s r, ω)φ Ωm, Ω m ) w m Space Approx. for the states and adjoint states : Discontinuous Galerkin Formulation Solver : UMFPACK on a ndof M system Optimizer L-BFGS coupled with inexact line-search Environment Freefem++

13 Parameter setting for inversion Test synthetic data noise added different setting for data building and for the reconstruction Tikhonov regularization Parameters γ approximated with the P 1 FE. re-scaling of the parameters Stop criteria : relative stabilization of the cost function to 10 3 or 100 iterations

14 Numer Results with : l = 0 l 2 = 10 4 l 2 = 10 3 l 2 = κ σ

15 Numer Results with : l = 0 l 2 = 10 4 l 2 = 10 3 l 2 = κ σ

16 Numer Results with : l = 0 l 2 = 10 4 l 2 = 10 3 l 2 = κ σ

17 Numer Results with : l = 0 l 2 = 10 4 l 2 = 10 3 l 2 = κ σ

18 Comparison with reality κ 0 σ e 2 = Dθ r i θo i ) 2 dx Dθ o i ) 2 dx l 2 = 10 4 l 2 = 10 3 l 2 = ) 1/2 e 2,κ e 2,σ e 3 = D θ r i θi o ) ) 2 1/2 e3,κ dx e 3,σ j f /j

Exact shape-reconstruction by one-step linearization in EIT

Exact shape-reconstruction by one-step linearization in EIT Exact shape-reconstruction by one-step linearization in EIT Bastian von Harrach harrach@ma.tum.de Department of Mathematics - M1, Technische Universität München, Germany Joint work with Jin Keun Seo, Yonsei

More information

Exact shape-reconstruction by one-step linearization in EIT

Exact shape-reconstruction by one-step linearization in EIT Exact shape-reconstruction by one-step linearization in EIT Bastian von Harrach harrach@math.uni-mainz.de Zentrum Mathematik, M1, Technische Universität München, Germany Joint work with Jin Keun Seo, Yonsei

More information

What can we do with numerical optimization?

What can we do with numerical optimization? Optimization motivation and background Eddie Wadbro Introduction to PDE Constrained Optimization, 2016 February 15 16, 2016 Eddie Wadbro, Introduction to PDE Constrained Optimization, February 15 16, 2016

More information

Probabilistic Meshless Methods for Bayesian Inverse Problems. Jon Cockayne July 8, 2016

Probabilistic Meshless Methods for Bayesian Inverse Problems. Jon Cockayne July 8, 2016 Probabilistic Meshless Methods for Bayesian Inverse Problems Jon Cockayne July 8, 2016 1 Co-Authors Chris Oates Tim Sullivan Mark Girolami 2 What is PN? Many problems in mathematics have no analytical

More information

Statistical and Computational Inverse Problems with Applications Part 5B: Electrical impedance tomography

Statistical and Computational Inverse Problems with Applications Part 5B: Electrical impedance tomography Statistical and Computational Inverse Problems with Applications Part 5B: Electrical impedance tomography Aku Seppänen Inverse Problems Group Department of Applied Physics University of Eastern Finland

More information

Reduced Basis Methods for MREIT

Reduced Basis Methods for MREIT Reduced Basis Methods for MREIT Dominik Garmatter garmatter@math.uni-frankfurt.de Group for Numerics of Partial Differential Equations, Goethe University Frankfurt, Germany Joint work with Bastian Harrach

More information

A model reduction approach to numerical inversion for parabolic partial differential equations

A model reduction approach to numerical inversion for parabolic partial differential equations A model reduction approach to numerical inversion for parabolic partial differential equations Liliana Borcea Alexander V. Mamonov 2, Vladimir Druskin 3, Mikhail Zaslavsky 3 University of Michigan, Ann

More information

Heinz W. Engl. Industrial Mathematics Institute Johannes Kepler Universität Linz, Austria

Heinz W. Engl. Industrial Mathematics Institute Johannes Kepler Universität Linz, Austria Some Identification Problems in Finance Heinz W. Engl Industrial Mathematics Institute Johannes Kepler Universität Linz, Austria www.indmath.uni-linz.ac.at Johann Radon Institute for Computational and

More information

Part 1: q Theory and Irreversible Investment

Part 1: q Theory and Irreversible Investment Part 1: q Theory and Irreversible Investment Goal: Endogenize firm characteristics and risk. Value/growth Size Leverage New issues,... This lecture: q theory of investment Irreversible investment and real

More information

A model reduction approach to numerical inversion for parabolic partial differential equations

A model reduction approach to numerical inversion for parabolic partial differential equations A model reduction approach to numerical inversion for parabolic partial differential equations Liliana Borcea Alexander V. Mamonov 2, Vladimir Druskin 2, Mikhail Zaslavsky 2 University of Michigan, Ann

More information

Phys. Lett. A, 372/17, (2008),

Phys. Lett. A, 372/17, (2008), Phys. Lett. A, 372/17, (2008), 3064-3070. 1 Wave scattering by many small particles embedded in a medium. A. G. Ramm (Mathematics Department, Kansas State University, Manhattan, KS66506, USA and TU Darmstadt,

More information

Partitioned Analysis of Coupled Systems

Partitioned Analysis of Coupled Systems Partitioned Analysis of Coupled Systems Hermann G. Matthies, Rainer Niekamp, Jan Steindorf Technische Universität Braunschweig Brunswick, Germany wire@tu-bs.de http://www.wire.tu-bs.de Coupled Problems

More information

Earnings Inequality and the Minimum Wage: Evidence from Brazil

Earnings Inequality and the Minimum Wage: Evidence from Brazil Earnings Inequality and the Minimum Wage: Evidence from Brazil Niklas Engbom June 16, 2016 Christian Moser World Bank-Bank of Spain Conference This project Shed light on drivers of earnings inequality

More information

Magnet Resonance Electrical Impedance Tomography (MREIT): convergence of the Harmonic B z Algorithm

Magnet Resonance Electrical Impedance Tomography (MREIT): convergence of the Harmonic B z Algorithm Magnet Resonance Electrical Impedance Tomography (MREIT): convergence of the Harmonic B z Algorithm Dominik Garmatter garmatter@math.uni-frankfurt.de Group for Numerics of PDEs, Goethe University Frankfurt,

More information

BACHELIER FINANCE SOCIETY. 4 th World Congress Tokyo, Investments and forward utilities. Thaleia Zariphopoulou The University of Texas at Austin

BACHELIER FINANCE SOCIETY. 4 th World Congress Tokyo, Investments and forward utilities. Thaleia Zariphopoulou The University of Texas at Austin BACHELIER FINANCE SOCIETY 4 th World Congress Tokyo, 26 Investments and forward utilities Thaleia Zariphopoulou The University of Texas at Austin 1 Topics Utility-based measurement of performance Utilities

More information

Extensions to the Black Scholes Model

Extensions to the Black Scholes Model Lecture 16 Extensions to the Black Scholes Model 16.1 Dividends Dividend is a sum of money paid regularly (typically annually) by a company to its shareholders out of its profits (or reserves). In this

More information

A Stochastic Levenberg-Marquardt Method Using Random Models with Application to Data Assimilation

A Stochastic Levenberg-Marquardt Method Using Random Models with Application to Data Assimilation A Stochastic Levenberg-Marquardt Method Using Random Models with Application to Data Assimilation E Bergou Y Diouane V Kungurtsev C W Royer July 5, 08 Abstract Globally convergent variants of the Gauss-Newton

More information

PDE Project Course 1. Adaptive finite element methods

PDE Project Course 1. Adaptive finite element methods PDE Project Course 1. Adaptive finite element methods Anders Logg logg@math.chalmers.se Department of Computational Mathematics PDE Project Course 03/04 p. 1 Lecture plan Introduction to FEM FEM for Poisson

More information

Part 3: Trust-region methods for unconstrained optimization. Nick Gould (RAL)

Part 3: Trust-region methods for unconstrained optimization. Nick Gould (RAL) Part 3: Trust-region methods for unconstrained optimization Nick Gould (RAL) minimize x IR n f(x) MSc course on nonlinear optimization UNCONSTRAINED MINIMIZATION minimize x IR n f(x) where the objective

More information

Parameters Estimation in Stochastic Process Model

Parameters Estimation in Stochastic Process Model Parameters Estimation in Stochastic Process Model A Quasi-Likelihood Approach Ziliang Li University of Maryland, College Park GEE RIT, Spring 28 Outline 1 Model Review The Big Model in Mind: Signal + Noise

More information

Financial Computing with Python

Financial Computing with Python Introduction to Financial Computing with Python Matthieu Mariapragassam Why coding seems so easy? But is actually not Sprezzatura : «It s an art that doesn t seem to be an art» - The Book of the Courtier

More information

Dynamic Replication of Non-Maturing Assets and Liabilities

Dynamic Replication of Non-Maturing Assets and Liabilities Dynamic Replication of Non-Maturing Assets and Liabilities Michael Schürle Institute for Operations Research and Computational Finance, University of St. Gallen, Bodanstr. 6, CH-9000 St. Gallen, Switzerland

More information

Market Design for Emission Trading Schemes

Market Design for Emission Trading Schemes Market Design for Emission Trading Schemes Juri Hinz 1 1 parts are based on joint work with R. Carmona, M. Fehr, A. Pourchet QF Conference, 23/02/09 Singapore Greenhouse gas effect SIX MAIN GREENHOUSE

More information

Lecture 17: More on Markov Decision Processes. Reinforcement learning

Lecture 17: More on Markov Decision Processes. Reinforcement learning Lecture 17: More on Markov Decision Processes. Reinforcement learning Learning a model: maximum likelihood Learning a value function directly Monte Carlo Temporal-difference (TD) learning COMP-424, Lecture

More information

4. Black-Scholes Models and PDEs. Math6911 S08, HM Zhu

4. Black-Scholes Models and PDEs. Math6911 S08, HM Zhu 4. Black-Scholes Models and PDEs Math6911 S08, HM Zhu References 1. Chapter 13, J. Hull. Section.6, P. Brandimarte Outline Derivation of Black-Scholes equation Black-Scholes models for options Implied

More information

Prize offered for the solution of a dynamic blocking problem

Prize offered for the solution of a dynamic blocking problem Prize offered for the solution of a dynamic blocking problem Posted by A. Bressan on January 19, 2011 Statement of the problem Fire is initially burning on the unit disc in the plane IR 2, and propagateswith

More information

HIGH ORDER DISCONTINUOUS GALERKIN METHODS FOR 1D PARABOLIC EQUATIONS. Ahmet İzmirlioğlu. BS, University of Pittsburgh, 2004

HIGH ORDER DISCONTINUOUS GALERKIN METHODS FOR 1D PARABOLIC EQUATIONS. Ahmet İzmirlioğlu. BS, University of Pittsburgh, 2004 HIGH ORDER DISCONTINUOUS GALERKIN METHODS FOR D PARABOLIC EQUATIONS by Ahmet İzmirlioğlu BS, University of Pittsburgh, 24 Submitted to the Graduate Faculty of Art and Sciences in partial fulfillment of

More information

Lecture 4. Finite difference and finite element methods

Lecture 4. Finite difference and finite element methods Finite difference and finite element methods Lecture 4 Outline Black-Scholes equation From expectation to PDE Goal: compute the value of European option with payoff g which is the conditional expectation

More information

SUPPLEMENTARY INFORMATION

SUPPLEMENTARY INFORMATION Realizing effective magnetic field for photons by controlling the phase of dynamic modulation: Supplementary information Kejie Fang Department of Physics, Stanford University, Stanford, California 94305,

More information

Pricing and Hedging of Commodity Derivatives using the Fast Fourier Transform

Pricing and Hedging of Commodity Derivatives using the Fast Fourier Transform Pricing and Hedging of Commodity Derivatives using the Fast Fourier Transform Vladimir Surkov vladimir.surkov@utoronto.ca Department of Statistical and Actuarial Sciences, University of Western Ontario

More information

Stability in geometric & functional inequalities

Stability in geometric & functional inequalities Stability in geometric & functional inequalities A. Figalli The University of Texas at Austin www.ma.utexas.edu/users/figalli/ Alessio Figalli (UT Austin) Stability in geom. & funct. ineq. Krakow, July

More information

The Black-Scholes Equation using Heat Equation

The Black-Scholes Equation using Heat Equation The Black-Scholes Equation using Heat Equation Peter Cassar May 0, 05 Assumptions of the Black-Scholes Model We have a risk free asset given by the price process, dbt = rbt The asset price follows a geometric

More information

Phys 731: String Theory - Assignment 2

Phys 731: String Theory - Assignment 2 Phys 73: String Theory - Assignment Andrzej Pokraka October 8, 07 Problem Part a) We are given the action S S P + S J, S P 4πα d σδ ab a Xσ) b Xσ) S J d σjσ)xσ). Here, σ a, ) like in a regular QFT. First,

More information

M5MF6. Advanced Methods in Derivatives Pricing

M5MF6. Advanced Methods in Derivatives Pricing Course: Setter: M5MF6 Dr Antoine Jacquier MSc EXAMINATIONS IN MATHEMATICS AND FINANCE DEPARTMENT OF MATHEMATICS April 2016 M5MF6 Advanced Methods in Derivatives Pricing Setter s signature...........................................

More information

As an example, we consider the following PDE with one variable; Finite difference method is one of numerical method for the PDE.

As an example, we consider the following PDE with one variable; Finite difference method is one of numerical method for the PDE. 7. Introduction to the numerical integration of PDE. As an example, we consider the following PDE with one variable; Finite difference method is one of numerical method for the PDE. Accuracy requirements

More information

Regression estimation in continuous time with a view towards pricing Bermudan options

Regression estimation in continuous time with a view towards pricing Bermudan options with a view towards pricing Bermudan options Tagung des SFB 649 Ökonomisches Risiko in Motzen 04.-06.06.2009 Financial engineering in times of financial crisis Derivate... süßes Gift für die Spekulanten

More information

4 Reinforcement Learning Basic Algorithms

4 Reinforcement Learning Basic Algorithms Learning in Complex Systems Spring 2011 Lecture Notes Nahum Shimkin 4 Reinforcement Learning Basic Algorithms 4.1 Introduction RL methods essentially deal with the solution of (optimal) control problems

More information

Extended Libor Models and Their Calibration

Extended Libor Models and Their Calibration Extended Libor Models and Their Calibration Denis Belomestny Weierstraß Institute Berlin Vienna, 16 November 2007 Denis Belomestny (WIAS) Extended Libor Models and Their Calibration Vienna, 16 November

More information

Saddlepoint Approximation Methods for Pricing. Financial Options on Discrete Realized Variance

Saddlepoint Approximation Methods for Pricing. Financial Options on Discrete Realized Variance Saddlepoint Approximation Methods for Pricing Financial Options on Discrete Realized Variance Yue Kuen KWOK Department of Mathematics Hong Kong University of Science and Technology Hong Kong * This is

More information

Short-time asymptotics for ATM option prices under tempered stable processes

Short-time asymptotics for ATM option prices under tempered stable processes Short-time asymptotics for ATM option prices under tempered stable processes José E. Figueroa-López 1 1 Department of Statistics Purdue University Probability Seminar Purdue University Oct. 30, 2012 Joint

More information

Monte Carlo Based Numerical Pricing of Multiple Strike-Reset Options

Monte Carlo Based Numerical Pricing of Multiple Strike-Reset Options Monte Carlo Based Numerical Pricing of Multiple Strike-Reset Options Stavros Christodoulou Linacre College University of Oxford MSc Thesis Trinity 2011 Contents List of figures ii Introduction 2 1 Strike

More information

Lecture 2 - Calibration of interest rate models and optimization

Lecture 2 - Calibration of interest rate models and optimization - Calibration of interest rate models and optimization Elisabeth Larsson Uppsala University, Uppsala, Sweden March 2015 E. Larsson, March 2015 (1 : 23) Introduction to financial instruments Introduction

More information

Analysis of pricing American options on the maximum (minimum) of two risk assets

Analysis of pricing American options on the maximum (minimum) of two risk assets Interfaces Free Boundaries 4, (00) 7 46 Analysis of pricing American options on the maximum (minimum) of two risk assets LISHANG JIANG Institute of Mathematics, Tongji University, People s Republic of

More information

Optimal investments under dynamic performance critria. Lecture IV

Optimal investments under dynamic performance critria. Lecture IV Optimal investments under dynamic performance critria Lecture IV 1 Utility-based measurement of performance 2 Deterministic environment Utility traits u(x, t) : x wealth and t time Monotonicity u x (x,

More information

Accelerated Stochastic Gradient Descent Praneeth Netrapalli MSR India

Accelerated Stochastic Gradient Descent Praneeth Netrapalli MSR India Accelerated Stochastic Gradient Descent Praneeth Netrapalli MSR India Presented at OSL workshop, Les Houches, France. Joint work with Prateek Jain, Sham M. Kakade, Rahul Kidambi and Aaron Sidford Linear

More information

Risk-Neutral Modeling of Emission Allowance Prices

Risk-Neutral Modeling of Emission Allowance Prices Risk-Neutral Modeling of Emission Allowance Prices Juri Hinz 1 1 08/01/2009, Singapore 1 Emission trading 2 Risk-neutral modeling 3 Passage to continuous time Greenhouse GLOBAL gas effect WARMING SIX MAIN

More information

Premia 14 HESTON MODEL CALIBRATION USING VARIANCE SWAPS PRICES

Premia 14 HESTON MODEL CALIBRATION USING VARIANCE SWAPS PRICES Premia 14 HESTON MODEL CALIBRATION USING VARIANCE SWAPS PRICES VADIM ZHERDER Premia Team INRIA E-mail: vzherder@mailru 1 Heston model Let the asset price process S t follows the Heston stochastic volatility

More information

Portfolio Management and Optimal Execution via Convex Optimization

Portfolio Management and Optimal Execution via Convex Optimization Portfolio Management and Optimal Execution via Convex Optimization Enzo Busseti Stanford University April 9th, 2018 Problems portfolio management choose trades with optimization minimize risk, maximize

More information

CPI Inflation Targeting and the UIP Puzzle: An Appraisal of Instrument and Target Rules

CPI Inflation Targeting and the UIP Puzzle: An Appraisal of Instrument and Target Rules CPI Inflation Targeting and the UIP Puzzle: An Appraisal of Instrument and Target Rules By Alfred V Guender Department of Economics University of Canterbury I. Specification of Monetary Policy What Should

More information

Optimal switching problems for daily power system balancing

Optimal switching problems for daily power system balancing Optimal switching problems for daily power system balancing Dávid Zoltán Szabó University of Manchester davidzoltan.szabo@postgrad.manchester.ac.uk June 13, 2016 ávid Zoltán Szabó (University of Manchester)

More information

Posterior Inference. , where should we start? Consider the following computational procedure: 1. draw samples. 2. convert. 3. compute properties

Posterior Inference. , where should we start? Consider the following computational procedure: 1. draw samples. 2. convert. 3. compute properties Posterior Inference Example. Consider a binomial model where we have a posterior distribution for the probability term, θ. Suppose we want to make inferences about the log-odds γ = log ( θ 1 θ), where

More information

Notes on Estimating the Closed Form of the Hybrid New Phillips Curve

Notes on Estimating the Closed Form of the Hybrid New Phillips Curve Notes on Estimating the Closed Form of the Hybrid New Phillips Curve Jordi Galí, Mark Gertler and J. David López-Salido Preliminary draft, June 2001 Abstract Galí and Gertler (1999) developed a hybrid

More information

SPDE and portfolio choice (joint work with M. Musiela) Princeton University. Thaleia Zariphopoulou The University of Texas at Austin

SPDE and portfolio choice (joint work with M. Musiela) Princeton University. Thaleia Zariphopoulou The University of Texas at Austin SPDE and portfolio choice (joint work with M. Musiela) Princeton University November 2007 Thaleia Zariphopoulou The University of Texas at Austin 1 Performance measurement of investment strategies 2 Market

More information

"Pricing Exotic Options using Strong Convergence Properties

Pricing Exotic Options using Strong Convergence Properties Fourth Oxford / Princeton Workshop on Financial Mathematics "Pricing Exotic Options using Strong Convergence Properties Klaus E. Schmitz Abe schmitz@maths.ox.ac.uk www.maths.ox.ac.uk/~schmitz Prof. Mike

More information

On two homogeneous self-dual approaches to. linear programming and its extensions

On two homogeneous self-dual approaches to. linear programming and its extensions Mathematical Programming manuscript No. (will be inserted by the editor) Shinji Mizuno Michael J. Todd On two homogeneous self-dual approaches to linear programming and its extensions Received: date /

More information

Final exam solutions

Final exam solutions EE365 Stochastic Control / MS&E251 Stochastic Decision Models Profs. S. Lall, S. Boyd June 5 6 or June 6 7, 2013 Final exam solutions This is a 24 hour take-home final. Please turn it in to one of the

More information

Path Loss Models and Link Budget

Path Loss Models and Link Budget Path Loss Models and Link Budget A universal path loss model P r dbm = P t dbm + db Gains db Losses Gains: the antenna gains compared to isotropic antennas Transmitter antenna gain Receiver antenna gain

More information

Local vs Non-local Forward Equations for Option Pricing

Local vs Non-local Forward Equations for Option Pricing Local vs Non-local Forward Equations for Option Pricing Rama Cont Yu Gu Abstract When the underlying asset is a continuous martingale, call option prices solve the Dupire equation, a forward parabolic

More information

About Weak Form Modeling

About Weak Form Modeling Weak Form Modeling About Weak Form Modeling Do not be misled by the term weak; the weak form is very powerful and flexible. The term weak form is borrowed from mathematics. The distinguishing characteristics

More information

A distributed Laplace transform algorithm for European options

A distributed Laplace transform algorithm for European options A distributed Laplace transform algorithm for European options 1 1 A. J. Davies, M. E. Honnor, C.-H. Lai, A. K. Parrott & S. Rout 1 Department of Physics, Astronomy and Mathematics, University of Hertfordshire,

More information

Outline. 1 Introduction. 2 Algorithms. 3 Examples. Algorithm 1 General coordinate minimization framework. 1: Choose x 0 R n and set k 0.

Outline. 1 Introduction. 2 Algorithms. 3 Examples. Algorithm 1 General coordinate minimization framework. 1: Choose x 0 R n and set k 0. Outline Coordinate Minimization Daniel P. Robinson Department of Applied Mathematics and Statistics Johns Hopkins University November 27, 208 Introduction 2 Algorithms Cyclic order with exact minimization

More information

Implementing an Agent-Based General Equilibrium Model

Implementing an Agent-Based General Equilibrium Model Implementing an Agent-Based General Equilibrium Model 1 2 3 Pure Exchange General Equilibrium We shall take N dividend processes δ n (t) as exogenous with a distribution which is known to all agents There

More information

What the Cyclical Response of Advertising Reveals about Markups and other Macroeconomic Wedges

What the Cyclical Response of Advertising Reveals about Markups and other Macroeconomic Wedges What the Cyclical Response of Advertising Reveals about Markups and other Macroeconomic Wedges Robert E. Hall Hoover Institution and Department of Economics Stanford University Conference in Honor of James

More information

Sparse Wavelet Methods for Option Pricing under Lévy Stochastic Volatility models

Sparse Wavelet Methods for Option Pricing under Lévy Stochastic Volatility models Sparse Wavelet Methods for Option Pricing under Lévy Stochastic Volatility models Norbert Hilber Seminar of Applied Mathematics ETH Zürich Workshop on Financial Modeling with Jump Processes p. 1/18 Outline

More information

SAQ KONTROLL AB Box 49306, STOCKHOLM, Sweden Tel: ; Fax:

SAQ KONTROLL AB Box 49306, STOCKHOLM, Sweden Tel: ; Fax: ProSINTAP - A Probabilistic Program for Safety Evaluation Peter Dillström SAQ / SINTAP / 09 SAQ KONTROLL AB Box 49306, 100 29 STOCKHOLM, Sweden Tel: +46 8 617 40 00; Fax: +46 8 651 70 43 June 1999 Page

More information

Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models

Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models Scott Robertson Carnegie Mellon University scottrob@andrew.cmu.edu http://www.math.cmu.edu/users/scottrob June

More information

Slides for DN2281, KTH 1

Slides for DN2281, KTH 1 Slides for DN2281, KTH 1 January 28, 2014 1 Based on the lecture notes Stochastic and Partial Differential Equations with Adapted Numerics, by J. Carlsson, K.-S. Moon, A. Szepessy, R. Tempone, G. Zouraris.

More information

Multi-period mean variance asset allocation: Is it bad to win the lottery?

Multi-period mean variance asset allocation: Is it bad to win the lottery? Multi-period mean variance asset allocation: Is it bad to win the lottery? Peter Forsyth 1 D.M. Dang 1 1 Cheriton School of Computer Science University of Waterloo Guangzhou, July 28, 2014 1 / 29 The Basic

More information

The Forward Kolmogorov Equation for Two Dimensional Options

The Forward Kolmogorov Equation for Two Dimensional Options The Forward Kolmogorov Equation for Two Dimensional Options Antoine Conze (Nexgenfs bank), Nicolas Lantos (Nexgenfs bank and UPMC), Olivier Pironneau (LJLL, University of Paris VI) March, 04 Abstract Pricing

More information

Sharing the Burden: Monetary and Fiscal Responses to a World Liquidity Trap David Cook and Michael B. Devereux

Sharing the Burden: Monetary and Fiscal Responses to a World Liquidity Trap David Cook and Michael B. Devereux Sharing the Burden: Monetary and Fiscal Responses to a World Liquidity Trap David Cook and Michael B. Devereux Online Appendix: Non-cooperative Loss Function Section 7 of the text reports the results for

More information

Neuro-Dynamic Programming for Fractionated Radiotherapy Planning

Neuro-Dynamic Programming for Fractionated Radiotherapy Planning Neuro-Dynamic Programming for Fractionated Radiotherapy Planning Geng Deng Michael C. Ferris University of Wisconsin at Madison Conference on Optimization and Health Care, Feb, 2006 Background Optimal

More information

Rohini Kumar. Statistics and Applied Probability, UCSB (Joint work with J. Feng and J.-P. Fouque)

Rohini Kumar. Statistics and Applied Probability, UCSB (Joint work with J. Feng and J.-P. Fouque) Small time asymptotics for fast mean-reverting stochastic volatility models Statistics and Applied Probability, UCSB (Joint work with J. Feng and J.-P. Fouque) March 11, 2011 Frontier Probability Days,

More information

STATE UNIVERSITY OF NEW YORK AT ALBANY Department of Economics. Ph. D. Preliminary Examination: Macroeconomics Fall, 2009

STATE UNIVERSITY OF NEW YORK AT ALBANY Department of Economics. Ph. D. Preliminary Examination: Macroeconomics Fall, 2009 STATE UNIVERSITY OF NEW YORK AT ALBANY Department of Economics Ph. D. Preliminary Examination: Macroeconomics Fall, 2009 Instructions: Read the questions carefully and make sure to show your work. You

More information

(RP13) Efficient numerical methods on high-performance computing platforms for the underlying financial models: Series Solution and Option Pricing

(RP13) Efficient numerical methods on high-performance computing platforms for the underlying financial models: Series Solution and Option Pricing (RP13) Efficient numerical methods on high-performance computing platforms for the underlying financial models: Series Solution and Option Pricing Jun Hu Tampere University of Technology Final conference

More information

Optimal Dividend Policy of A Large Insurance Company with Solvency Constraints. Zongxia Liang

Optimal Dividend Policy of A Large Insurance Company with Solvency Constraints. Zongxia Liang Optimal Dividend Policy of A Large Insurance Company with Solvency Constraints Zongxia Liang Department of Mathematical Sciences Tsinghua University, Beijing 100084, China zliang@math.tsinghua.edu.cn Joint

More information

Model Estimation. Liuren Wu. Fall, Zicklin School of Business, Baruch College. Liuren Wu Model Estimation Option Pricing, Fall, / 16

Model Estimation. Liuren Wu. Fall, Zicklin School of Business, Baruch College. Liuren Wu Model Estimation Option Pricing, Fall, / 16 Model Estimation Liuren Wu Zicklin School of Business, Baruch College Fall, 2007 Liuren Wu Model Estimation Option Pricing, Fall, 2007 1 / 16 Outline 1 Statistical dynamics 2 Risk-neutral dynamics 3 Joint

More information

Optimum Thresholding for Semimartingales with Lévy Jumps under the mean-square error

Optimum Thresholding for Semimartingales with Lévy Jumps under the mean-square error Optimum Thresholding for Semimartingales with Lévy Jumps under the mean-square error José E. Figueroa-López Department of Mathematics Washington University in St. Louis Spring Central Sectional Meeting

More information

Asymmetric Information: Walrasian Equilibria, and Rational Expectations Equilibria

Asymmetric Information: Walrasian Equilibria, and Rational Expectations Equilibria Asymmetric Information: Walrasian Equilibria and Rational Expectations Equilibria 1 Basic Setup Two periods: 0 and 1 One riskless asset with interest rate r One risky asset which pays a normally distributed

More information

Monte Carlo Simulations in the Teaching Process

Monte Carlo Simulations in the Teaching Process Monte Carlo Simulations in the Teaching Process Blanka Šedivá Department of Mathematics, Faculty of Applied Sciences University of West Bohemia, Plzeň, Czech Republic CADGME 2018 Conference on Digital

More information

slides chapter 6 Interest Rate Shocks

slides chapter 6 Interest Rate Shocks slides chapter 6 Interest Rate Shocks Princeton University Press, 217 Motivation Interest-rate shocks are generally believed to be a major source of fluctuations for emerging countries. The next slide

More information

Stochastic Partial Differential Equations and Portfolio Choice. Crete, May Thaleia Zariphopoulou

Stochastic Partial Differential Equations and Portfolio Choice. Crete, May Thaleia Zariphopoulou Stochastic Partial Differential Equations and Portfolio Choice Crete, May 2011 Thaleia Zariphopoulou Oxford-Man Institute and Mathematical Institute University of Oxford and Mathematics and IROM, The University

More information

EE641 Digital Image Processing II: Purdue University VISE - October 29,

EE641 Digital Image Processing II: Purdue University VISE - October 29, EE64 Digital Image Processing II: Purdue University VISE - October 9, 004 The EM Algorithm. Suffient Statistics and Exponential Distributions Let p(y θ) be a family of density functions parameterized by

More information

Supply Contracts with Financial Hedging

Supply Contracts with Financial Hedging Supply Contracts with Financial Hedging René Caldentey Martin Haugh Stern School of Business NYU Integrated Risk Management in Operations and Global Supply Chain Management: Risk, Contracts and Insurance

More information

Numerical Methods in Option Pricing (Part III)

Numerical Methods in Option Pricing (Part III) Numerical Methods in Option Pricing (Part III) E. Explicit Finite Differences. Use of the Forward, Central, and Symmetric Central a. In order to obtain an explicit solution for the price of the derivative,

More information

Empirical Approach to the Heston Model Parameters on the Exchange Rate USD / COP

Empirical Approach to the Heston Model Parameters on the Exchange Rate USD / COP Empirical Approach to the Heston Model Parameters on the Exchange Rate USD / COP ICASQF 2016, Cartagena - Colombia C. Alexander Grajales 1 Santiago Medina 2 1 University of Antioquia, Colombia 2 Nacional

More information

Elastic demand solution methods

Elastic demand solution methods solution methods CE 392C October 6, 2016 REVIEW We ve added another consistency relationship: Route choices No vehicle left behind Link performance functions Shortest path OD matrix Travel times Demand

More information

Volatility. Roberto Renò. 2 March 2010 / Scuola Normale Superiore. Dipartimento di Economia Politica Università di Siena

Volatility. Roberto Renò. 2 March 2010 / Scuola Normale Superiore. Dipartimento di Economia Politica Università di Siena Dipartimento di Economia Politica Università di Siena 2 March 2010 / Scuola Normale Superiore What is? The definition of volatility may vary wildly around the idea of the standard deviation of price movements

More information

Agricultural and Applied Economics 637 Applied Econometrics II

Agricultural and Applied Economics 637 Applied Econometrics II Agricultural and Applied Economics 637 Applied Econometrics II Assignment I Using Search Algorithms to Determine Optimal Parameter Values in Nonlinear Regression Models (Due: February 3, 2015) (Note: Make

More information

Making Complex Decisions

Making Complex Decisions Ch. 17 p.1/29 Making Complex Decisions Chapter 17 Ch. 17 p.2/29 Outline Sequential decision problems Value iteration algorithm Policy iteration algorithm Ch. 17 p.3/29 A simple environment 3 +1 p=0.8 2

More information

induced by the Solvency II project

induced by the Solvency II project Asset Les normes allocation IFRS : new en constraints assurance induced by the Solvency II project 36 th International ASTIN Colloquium Zürich September 005 Frédéric PLANCHET Pierre THÉROND ISFA Université

More information

( ) since this is the benefit of buying the asset at the strike price rather

( ) since this is the benefit of buying the asset at the strike price rather Review of some financial models for MAT 483 Parity and Other Option Relationships The basic parity relationship for European options with the same strike price and the same time to expiration is: C( KT

More information

Reinforcement Learning

Reinforcement Learning Reinforcement Learning MDP March May, 2013 MDP MDP: S, A, P, R, γ, µ State can be partially observable: Partially Observable MDPs () Actions can be temporally extended: Semi MDPs (SMDPs) and Hierarchical

More information

Optimization for Chemical Engineers, 4G3. Written midterm, 23 February 2015

Optimization for Chemical Engineers, 4G3. Written midterm, 23 February 2015 Optimization for Chemical Engineers, 4G3 Written midterm, 23 February 2015 Kevin Dunn, kevin.dunn@mcmaster.ca McMaster University Note: No papers, other than this test and the answer booklet are allowed

More information

Optimally Thresholded Realized Power Variations for Lévy Jump Diffusion Models

Optimally Thresholded Realized Power Variations for Lévy Jump Diffusion Models Optimally Thresholded Realized Power Variations for Lévy Jump Diffusion Models José E. Figueroa-López 1 1 Department of Statistics Purdue University University of Missouri-Kansas City Department of Mathematics

More information

What is Cyclical in Credit Cycles?

What is Cyclical in Credit Cycles? What is Cyclical in Credit Cycles? Rui Cui May 31, 2014 Introduction Credit cycles are growth cycles Cyclicality in the amount of new credit Explanations: collateral constraints, equity constraints, leverage

More information

Platform Pricing for Ride-Sharing

Platform Pricing for Ride-Sharing Platform Platform for Ride-Sharing Jonathan Andy HBS Digital Initiative May 2016 Ride-Sharing Platforms Platform Dramatic growth of Didi Kuadi, Uber, Lyft, Ola. Spot market approach to transportation Platform

More information

Han & Li Hybrid Implied Volatility Pricing DECISION SCIENCES INSTITUTE. Henry Han Fordham University

Han & Li Hybrid Implied Volatility Pricing DECISION SCIENCES INSTITUTE. Henry Han Fordham University DECISION SCIENCES INSTITUTE Henry Han Fordham University Email: xhan9@fordham.edu Maxwell Li Fordham University Email: yli59@fordham.edu HYBRID IMPLIED VOLATILITY PRICING ABSTRACT Implied volatility pricing

More information

Solving the Black-Scholes Equation

Solving the Black-Scholes Equation Solving the Black-Scholes Equation An Undergraduate Introduction to Financial Mathematics J. Robert Buchanan 2014 Initial Value Problem for the European Call The main objective of this lesson is solving

More information

An adaptive cubic regularization algorithm for nonconvex optimization with convex constraints and its function-evaluation complexity

An adaptive cubic regularization algorithm for nonconvex optimization with convex constraints and its function-evaluation complexity An adaptive cubic regularization algorithm for nonconvex optimization with convex constraints and its function-evaluation complexity Coralia Cartis, Nick Gould and Philippe Toint Department of Mathematics,

More information

Chapter 3: Black-Scholes Equation and Its Numerical Evaluation

Chapter 3: Black-Scholes Equation and Its Numerical Evaluation Chapter 3: Black-Scholes Equation and Its Numerical Evaluation 3.1 Itô Integral 3.1.1 Convergence in the Mean and Stieltjes Integral Definition 3.1 (Convergence in the Mean) A sequence {X n } n ln of random

More information