scholarly journals Nearly Optimal Regret for Stochastic Linear Bandits with Heavy-Tailed Payoffs

2020 ◽  
Author(s):  
Bo Xue ◽  
Guanghui Wang ◽  
Yimu Wang ◽  
Lijun Zhang
Keyword(s):  
Lower Bound ◽  
Financial Markets ◽  
Upper Bound ◽  
Numerical Experiments ◽  
Time Horizon ◽  
Contextual Information ◽  
Finite Action ◽  
Heavy Tailed ◽  
Novel Algorithms ◽  
Regret Bound

In this paper, we study the problem of stochastic linear bandits with finite action sets. Most of existing work assume the payoffs are bounded or sub-Gaussian, which may be violated in some scenarios such as financial markets. To settle this issue, we analyze the linear bandits with heavy-tailed payoffs, where the payoffs admit finite 1+epsilon moments for some epsilon in (0,1]. Through median of means and dynamic truncation, we propose two novel algorithms which enjoy a sublinear regret bound of widetilde{O}(d^(1/2)T^(1/(1+epsilon))), where d is the dimension of contextual information and T is the time horizon. Meanwhile, we provide an Omega(d^(epsilon/(1+epsilon))T^(1/(1+epsilon))) lower bound, which implies our upper bound matches the lower bound up to polylogarithmic factors in the order of d and T when epsilon=1. Finally, we conduct numerical experiments to demonstrate the effectiveness of our algorithms and the empirical results strongly support our theoretical guarantees.

AN IMPROVED REDUCTION METHOD FOR THE ROBUST OPTIMIZATION OF THE ASSIGNMENT PROBLEM

2012 ◽  
Vol 29 (05) ◽  
pp. 1250032 ◽  
Author(s):  
BYUNGJUN YOU ◽  
DAISUKE YOKOYA ◽  
TAKEO YAMADA
Keyword(s):  
Lower Bound ◽  
Exact Solutions ◽  
Upper Bound ◽  
Assignment Problem ◽  
Numerical Experiments ◽  
Reduction Method ◽  
Computation Time ◽  
Approximate Solutions ◽  
Cpu Time ◽  
Surrogate Relaxation

We are concerned with a variation of the assignment problem, where the assignment costs differ under different scenarios. We give a surrogate relaxation approach to derive a lower bound and an upper bound quickly, and show that the pegging test known for zero–one programming problems is also applicable to this problem. Next, we discuss how the computation time for pegging can be shortened by taking the special structure of the assignment problem into account. Finally, through numerical experiments we show that the developed method finds exact solutions for instances with small number of scenarios in relatively small CPU time, and good approximate solutions in case of many scenarios.

MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES

2006 ◽  
Vol 09 (04) ◽  
pp. 455-481 ◽  
Author(s):  
DENIS BELOMESTNY ◽  
GRIGORI N. MILSTEIN
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Lower Bound ◽  
Upper Bound ◽  
Continuous Time ◽  
Numerical Experiments ◽  
American Options ◽  
Upper And Lower Bounds ◽  
New Approach ◽  
Monte Carlo Evaluation

We develop a new approach for pricing both continuous-time and discrete-time American options which is based on the fact that any American option is equivalent to a European one with a consumption process involved. This approach admits the construction of an upper bound (a lower bound) on the true price using some lower bound (an upper bound) by Monte Carlo simulation. A number of effective estimators of upper and lower bounds with the reduced variance are proposed. The method is supported by numerical experiments which look promising.

scholarly journals Multiple closed orbits for N-body-type problems

1998 ◽  
Vol 58 (1) ◽  
pp. 1-13 ◽  
Author(s):  
Shiqing Zhang
Keyword(s):  
Lower Bound ◽  
Periodic Solutions ◽  
Upper Bound ◽  
Critical Value ◽  
Body Type ◽  
Fixed Energy ◽  
Closed Orbits

Using the equivariant Ljusternik-Schnirelmann theory and the estimate of the upper bound of the critical value and lower bound for the collision solutions, we obtain some new results in the large concerning multiple geometrically distinct periodic solutions of fixed energy for a class of planar N-body type problems.

Limit Cycle Bifurcations for Piecewise Smooth Hamiltonian Systems with a Generalized Eye-Figure Loop

2016 ◽  
Vol 26 (12) ◽  
pp. 1650204 ◽  
Author(s):  
Jihua Yang ◽  
Liqin Zhao
Keyword(s):  
Lower Bound ◽  
Limit Cycle ◽  
Hamiltonian Systems ◽  
Limit Cycles ◽  
Upper Bound ◽  
Melnikov Function ◽  
Piecewise Smooth ◽  
First Order ◽  
Period Annulus

This paper deals with the limit cycle bifurcations for piecewise smooth Hamiltonian systems. By using the first order Melnikov function of piecewise near-Hamiltonian systems given in [Liu & Han, 2010], we give a lower bound and an upper bound of the number of limit cycles that bifurcate from the period annulus between the center and the generalized eye-figure loop up to the first order of Melnikov function.

Isolated minima of the product of n linear forms

1953 ◽  
Vol 49 (1) ◽  
pp. 59-62 ◽  
Author(s):  
E. S. Barnes
Keyword(s):  
Lower Bound ◽  
Upper Bound ◽  
Linear Forms ◽  
Image Position

Letbe n linear forms with real coefficients and determinant Δ = ∥ aij∥ ≠ 0; and denote by M(X) the lower bound of | X1X2 … Xn| over all integer sets (u) ≠ (0). It is well known that γn, the upper bound of M(X)/|Δ| over all sets of forms Xi, is finite, and the value of γn has been determined when n = 2 and n = 3.

scholarly journals The Algebraic Degree of Phase-Type Distributions

2010 ◽  
Vol 47 (03) ◽  
pp. 611-629
Author(s):  
Mark Fackrell ◽  
Qi-Ming He ◽  
Peter Taylor ◽  
Hanqin Zhang
Keyword(s):  
Lower Bound ◽  
Upper Bound ◽  
Polynomial Algorithm ◽  
Algebraic Degree ◽  
Nonnegative Matrices ◽  
Stieltjes Transform ◽  
Special Cases ◽  
Phase Type ◽  
Phase Type Distributions ◽  
The Matrix

This paper is concerned with properties of the algebraic degree of the Laplace-Stieltjes transform of phase-type (PH) distributions. The main problem of interest is: given a PH generator, how do we find the maximum and the minimum algebraic degrees of all irreducible PH representations with that PH generator? Based on the matrix exponential (ME) order of ME distributions and the spectral polynomial algorithm, a method for computing the algebraic degree of a PH distribution is developed. The maximum algebraic degree is identified explicitly. Using Perron-Frobenius theory of nonnegative matrices, a lower bound and an upper bound on the minimum algebraic degree are found, subject to some conditions. Explicit results are obtained for special cases.

scholarly journals Encoding Two-Dimensional Range Top-k Queries

Algorithmica ◽  
2021 ◽  
Author(s):  
Seungbum Jo ◽  
Rahul Lingala ◽  
Srinivasa Rao Satti
Keyword(s):  
Lower Bound ◽  
Lower Bounds ◽  
Upper Bound ◽  
Total Order ◽  
Two Dimensional ◽  
Information Theoretic ◽  
Cartesian Tree ◽  
Dimensional Range

AbstractWe consider the problem of encoding two-dimensional arrays, whose elements come from a total order, for answering $${\text{Top-}}{k}$$ Top- k queries. The aim is to obtain encodings that use space close to the information-theoretic lower bound, which can be constructed efficiently. For an $$m \times n$$ m × n array, with $$m \le n$$ m ≤ n , we first propose an encoding for answering 1-sided $${\textsf {Top}}{\text {-}}k{}$$ Top - k queries, whose query range is restricted to $$[1 \dots m][1 \dots a]$$ [ 1 ⋯ m ] [ 1 ⋯ a ] , for $$1 \le a \le n$$ 1 ≤ a ≤ n . Next, we propose an encoding for answering for the general (4-sided) $${\textsf {Top}}{\text {-}}k{}$$ Top - k queries that takes $$(m\lg {{(k+1)n \atopwithdelims ()n}}+2nm(m-1)+o(n))$$ ( m lg ( k + 1 ) n n + 2 n m ( m - 1 ) + o ( n ) ) bits, which generalizes the joint Cartesian tree of Golin et al. [TCS 2016]. Compared with trivial $$O(nm\lg {n})$$ O ( n m lg n ) -bit encoding, our encoding takes less space when $$m = o(\lg {n})$$ m = o ( lg n ) . In addition to the upper bound results for the encodings, we also give lower bounds on encodings for answering 1 and 4-sided $${\textsf {Top}}{\text {-}}k{}$$ Top - k queries, which show that our upper bound results are almost optimal.

Critical Value-Based Power Options Pricing Problems in Uncertain Financial Markets

2021 ◽  
pp. 2150002
Author(s):  
Guimin Yang ◽  
Yuanguo Zhu
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Numerical Experiments ◽  
Critical Value ◽  
The Other ◽  
Options Pricing ◽  
Underlying Asset ◽  
Pricing Problems ◽  
Fractional Differential ◽  
The One

Compared with investing an ordinary options, investing the power options may possibly yield greater returns. On the one hand, the power option is the best choice for those who want to maximize the leverage of the underlying market movements. On the other hand, power options can also prevent the financial market changes caused by the sharp fluctuations of the underlying assets. In this paper, we investigate the power option pricing problem in which the price of the underlying asset follows the Ornstein–Uhlenbeck type of model involving an uncertain fractional differential equation. Based on critical value criterion, the pricing formulas of European power options are derived. Finally, some numerical experiments are performed to illustrate the results.

On the Modal μ-Calculus Over Finite Symmetric Graphs

2015 ◽  
Vol 65 (4) ◽  
Author(s):  
Giovanna D’Agostino ◽  
Giacomo Lenzi
Keyword(s):  
Lower Bound ◽  
Upper Bound ◽  
Satisfiability Problem ◽  
Finite Model ◽  
Model Property ◽  
Finite Model Property ◽  
Symmetric Graphs ◽  
Trivial Consequence

AbstractIn this paper we consider the alternation hierarchy of the modal μ-calculus over finite symmetric graphs and show that in this class the hierarchy is infinite. The μ-calculus over the symmetric class does not enjoy the finite model property, hence this result is not a trivial consequence of the strictness of the hierarchy over symmetric graphs. We also find a lower bound and an upper bound for the satisfiability problem of the μ-calculus over finite symmetric graphs.

scholarly journals A Global Optimization Algorithm for Sum of Linear Ratios Problem

2013 ◽  
Vol 2013 ◽  
pp. 1-7 ◽  
Author(s):  
Yuelin Gao ◽  
Siqiao Jin
Keyword(s):  
Global Optimization ◽  
Lower Bound ◽  
Programming Problem ◽  
Branch And Bound ◽  
Numerical Experiments ◽  
Original Problem ◽  
Bilinear Programming ◽  
Global Optimization Algorithm ◽  
Product Function ◽  
Optimal Value

We equivalently transform the sum of linear ratios programming problem into bilinear programming problem, then by using the linear characteristics of convex envelope and concave envelope of double variables product function, linear relaxation programming of the bilinear programming problem is given, which can determine the lower bound of the optimal value of original problem. Therefore, a branch and bound algorithm for solving sum of linear ratios programming problem is put forward, and the convergence of the algorithm is proved. Numerical experiments are reported to show the effectiveness of the proposed algorithm.

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