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In this paper, we propose a deep learning based numerical scheme for strongly coupled FBSDEs, stemming from stochastic control. It is a modification of the deep BSDE method in which the initial value to the backward equation is not a free parameter, and with a new loss function being the weighted sum of the cost of the control problem, and a variance term which coincides with the mean squared error in the terminal condition. We show by a numerical example that a direct extension of the classical deep BSDE method to FBSDEs, fails for a simple linear-quadratic control problem, and motivate why the new method works. Under regularity and boundedness assumptions on the exact controls of time continuous and time discrete control problems, we provide an error analysis for our method. We show empirically that the method converges for three different problems, one being the one that failed for a direct extension of the deep BSDE method.

Learning in games has emerged as a powerful tool for Machine Learning with numerous applications. Several recent works have studied quantum zero-sum games, an extension of classical games where players have access to quantum resources, from a learning perspective. Going beyond the competitive regime, this work introduces quantum potential games as well as learning algorithms for this class of games. We introduce non-commutative extensions of the continuous-time replicator dynamics and the discrete-time Baum-Eagon/linear multiplicative weights update and study their convergence properties. Finally, we establish connections between quantum potential games and quantum separability, allowing us to reinterpret our learning dynamics as algorithms for the Best Separable State problem. We validate our theoretical findings through extensive experiments.

A methodology is presented for the numerical solution of nonlinear elliptic systems in unbounded domains, consisting of three elements. First, the problem is posed on a finite domain by means of a proper nonlinear change of variables. The compressed domain is then discretised, regardless of its final shape, via the radial basis function partition of unity method. Finally, the system of nonlinear algebraic collocation equations is solved with the trust-region algorithm, taking advantage of analytically derived Jacobians. We validate the methodology on a benchmark of computational fluid mechanics: the steady viscous flow past a circular cylinder. The resulting flow characteristics compare very well with the literature. Then, we stress-test the methodology on less smooth obstacles - rounded and sharp square cylinders. As expected, in the latter scenario the solution is polluted by spurious oscillations, owing to the presence of boundary singularities.

In computer vision, camera pose estimation from correspondences between 3D geometric entities and their projections into the image has been a widely investigated problem. Although most state-of-the-art methods exploit low-level primitives such as points or lines, the emergence of very effective CNN-based object detectors in the recent years has paved the way to the use of higher-level features carrying semantically meaningful information. Pioneering works in that direction have shown that modelling 3D objects by ellipsoids and 2D detections by ellipses offers a convenient manner to link 2D and 3D data. However, the mathematical formalism most often used in the related litterature does not enable to easily distinguish ellipsoids and ellipses from other quadrics and conics, leading to a loss of specificity potentially detrimental in some developments. Moreover, the linearization process of the projection equation creates an over-representation of the camera parameters, also possibly causing an efficiency loss. In this paper, we therefore introduce an ellipsoid-specific theoretical framework and demonstrate its beneficial properties in the context of pose estimation. More precisely, we first show that the proposed formalism enables to reduce the pose estimation problem to a position or orientation-only estimation problem in which the remaining unknowns can be derived in closed-form. Then, we demonstrate that it can be further reduced to a 1 Degree-of-Freedom (1DoF) problem and provide the analytical derivations of the pose as a function of that unique scalar unknown. We illustrate our theoretical considerations by visual examples and include a discussion on the practical aspects. Finally, we release this paper along with the corresponding source code in order to contribute towards more efficient resolutions of ellipsoid-related pose estimation problems.

This paper is concerned with orthonormal systems in real intervals, given with zero Dirichlet boundary conditions. More specifically, our interest is in systems with a skew-symmetric differentiation matrix (this excludes orthonormal polynomials). We consider a simple construction of such systems and pursue its ramifications. In general, given any $\mathrm{C}^1(a,b)$ weight function such that $w(a)=w(b)=0$, we can generate an orthonormal system with a skew-symmetric differentiation matrix. Except for the case $a=-\infty$, $b=+\infty$, only a limited number of powers of that matrix is bounded and we establish a connection between properties of the weight function and boundedness. In particular, we examine in detail two weight functions: the Laguerre weight function $x^\alpha \mathrm{e}^{-x}$ for $x>0$ and $\alpha>0$ and the ultraspherical weight function $(1-x^2)^\alpha$, $x\in(-1,1)$, $\alpha>0$, and establish their properties. Both weights share a most welcome feature of {\em separability,\/} which allows for fast computation. The quality of approximation is highly sensitive to the choice of $\alpha$ and we discuss how to choose optimally this parameter, depending on the number of zero boundary conditions.

Full Waveform Inversion (FWI) is a large-scale nonlinear ill-posed problem for which implementation of the Newton-type methods is computationally expensive. Moreover, these methods can trap in undesirable local minima when the starting model lacks low-wavenumber part and the recorded data lack low-frequency content. In this paper, the Gauss-Newton (GN) method is modified to address these issues. We rewrite the GN system for multisoure multireceiver FWI in an equivalent matrix equation form whose solution is a diagonal matrix, instead of a vector in the standard system. Then we relax the diagonality constraint, lifting the search direction from a vector to a matrix. This relaxation is equivalent to introducing an extra degree of freedom in the subsurface offset axis for the search direction. Furthermore, it makes the Hessian matrix separable and easy to invert. The relaxed system is solved explicitly for computing the desired search direction, requiring only inversion of two small matrices that deblur the data residual matrix along the source and receiver dimensions. Application of the Extended GN (EGN) method to solve the extended-source FWI leads to an algorithm that has the advantages of both model extension and source extension. Numerical examples are presented showing robustness and stability of EGN algorithm for waveform inversion.

Resistance distance has been studied extensively in the past years, with the majority of previous studies devoted to undirected networks, in spite of the fact that various realistic networks are directed. Although several generalizations of resistance distance on directed graphs have been proposed, they either have no physical interpretation or are not a metric. In this paper, we first extend the definition of resistance distance to strongly connected directed graphs based on random walks and show that the two-node resistance distance on directed graphs is a metric. Then, we introduce the Laplacian matrix for directed graphs that subsumes the Laplacian matrix of undirected graphs as a particular case and use its pseudoinverse to express the two-node resistance distance, and many other relevant quantities derived from resistance distances. Moreover, we define the resistance distance between a vertex and a vertex group on directed graphs and further define a problem of optimally selecting a group of fixed number of nodes, such that their resistance distance is minimized. Since this combinatorial optimization problem is NP-hard, we present a greedy algorithm with a proved approximation ratio, and conduct experiments on model and realistic networks to validate the performance of this approximation algorithm.

In the general AntiFactor problem, a graph $G$ is given with a set $X_v\subseteq \mathbb{N}$ of forbidden degrees for every vertex $v$ and the task is to find a set $S$ of edges such that the degree of $v$ in $S$ is not in the set $X_v$. Standard techniques (dynamic programming + fast convolution) can be used to show that if $M$ is the largest forbidden degree, then the problem can be solved in time $(M+2)^k\cdot n^{O(1)}$ if a tree decomposition of width $k$ is given. However, significantly faster algorithms are possible if the sets $X_v$ are sparse: our main algorithmic result shows that if every vertex has at most $x$ forbidden degrees (we call this special case AntiFactor$_x$), then the problem can be solved in time $(x+1)^{O(k)}\cdot n^{O(1)}$. That is, the AntiFactor$_x$ is fixed-parameter tractable parameterized by treewidth $k$ and the maximum number $x$ of excluded degrees. Our algorithm uses the technique of representative sets, which can be generalized to the optimization version, but (as expected) not to the counting version of the problem. In fact, we show that #AntiFactor$_1$ is already #W[1]-hard parameterized by the width of the given decomposition. Moreover, we show that, unlike for the decision version, the standard dynamic programming algorithm is essentially optimal for the counting version. Formally, for a fixed nonempty set $X$, we denote by $X$-AntiFactor the special case where every vertex $v$ has the same set $X_v=X$ of forbidden degrees. We show the following lower bound for every fixed set $X$: if there is an $\epsilon>0$ such that #$X$-AntiFactor can be solved in time $(\max X+2-\epsilon)^k\cdot n^{O(1)}$ on a tree decomposition of width $k$, then the Counting Strong Exponential-Time Hypothesis (#SETH) fails.

We propose a new splitting method for strong numerical solution of the Cox-Ingersoll-Ross model. For this method, applied over both deterministic and adaptive random meshes, we prove a uniform moment bound and strong error results of order $1/4$ in $L_1$ and $L_2$ for the parameter regime $\kappa\theta>\sigma^2$. We then extend the new method to cover all parameter values by introducing a \emph{soft zero} region (where the deterministic flow determines the approximation) giving a hybrid type method to deal with the reflecting boundary. From numerical simulations we observe a rate of order $1$ when $\kappa\theta>\sigma^2$ rather than $1/4$. Asymptotically, for large noise, we observe that the rates of convergence decrease similarly to those of other schemes but that the proposed method making use of adaptive timestepping displays smaller error constants.

This PhD thesis contains several contributions to the field of statistical causal modeling. Statistical causal models are statistical models embedded with causal assumptions that allow for the inference and reasoning about the behavior of stochastic systems affected by external manipulation (interventions). This thesis contributes to the research areas concerning the estimation of causal effects, causal structure learning, and distributionally robust (out-of-distribution generalizing) prediction methods. We present novel and consistent linear and non-linear causal effects estimators in instrumental variable settings that employ data-dependent mean squared prediction error regularization. Our proposed estimators show, in certain settings, mean squared error improvements compared to both canonical and state-of-the-art estimators. We show that recent research on distributionally robust prediction methods has connections to well-studied estimators from econometrics. This connection leads us to prove that general K-class estimators possess distributional robustness properties. We, furthermore, propose a general framework for distributional robustness with respect to intervention-induced distributions. In this framework, we derive sufficient conditions for the identifiability of distributionally robust prediction methods and present impossibility results that show the necessity of several of these conditions. We present a new structure learning method applicable in additive noise models with directed trees as causal graphs. We prove consistency in a vanishing identifiability setup and provide a method for testing substructure hypotheses with asymptotic family-wise error control that remains valid post-selection. Finally, we present heuristic ideas for learning summary graphs of nonlinear time-series models.