L3

Optimal transport (OT) proves to be a powerful tool for non-parametric calibration: it allows us to take a favourite (non-calibrated) model and project it onto the space of all calibrated (martingale) models. The dual side of the problem leads to an HJB equation and a numerical algorithm to solve the projection. However, in general, this process is costly and leads to spiky vol surfaces. We are interested in special cases where the projection can be obtained semi-analytically. This leads us to the martingale equivalent of the seminal fluid-dynamics interpretation of the optimal transport (OT) problem developed by Benamou and Brenier. Specifically, given marginals, we look for the martingale which is the closest to a given archetypical model. If our archetype is the arithmetic Brownian motion, this gives the stretched Brownian motion (or the Bass martingale), studied previously by Backhoff-Veraguas, Beiglbock, Huesmann and Kallblad (and many others). Here we consider the financially more pertinent case of Black-Scholes (geometric BM) reference and show it can also be solved explicitly. In both cases, fast numerical algorithms are available.

Based on joint works with Julio Backhoff, Benjamin Joseph and Gregoire Leoper.  

This talk reports a work in progress. It will be done on a board.

Predicting real-world phenomena often requires an understanding of their causal relations, not just their statistical associations. I will begin this talk with a brief introduction to the field of causal inference in the classical case of structural causal models over directed acyclic graphs, and causal discovery for static variables. Introducing the temporal dimension results in several interesting complications which are not well handled by the classical framework. The main component of a constraint-based causal discovery procedure is a statistical hypothesis test of conditional independence (CI). We develop such a test for stochastic processes, by leveraging recent advances in signature kernels. Then, we develop constraint-based causal discovery algorithms for acyclic stochastic dynamical systems (allowing for loops) that leverage temporal information to recover the entire directed graph. Assuming faithfulness and a CI oracle, our algorithm is sound and complete. We demonstrate strictly superior performance of our proposed CI test compared to existing approaches on path-space when tested on synthetic data generated from SDEs, and discuss preliminary applications to finance. This talk is based on joint work with Georg Manten, Cecilia Casolo, Søren Wengel Mogensen, Cristopher Salvi and Niki Kilbertus: https://arxiv.org/abs/2402.18477 .

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Dispersive nonlinear partial differential equations can be used to describe a range of physical systems, from water waves to spin states in ferromagnetism. The numerical approximation of solutions with limited differentiability (low-regularity) is crucial for simulating fascinating phenomena arising in these systems including emerging structures in random wave fields and dynamics of domain wall states, but it poses a significant challenge to classical algorithms. Recent years have seen the development of tailored low-regularity integrators to address this challenge. Inherited from their description of physicals systems many such dispersive nonlinear equations possess a rich geometric structure, such as a Hamiltonian formulation and conservation laws. To ensure that numerical schemes lead to meaningful results, it is vital to preserve this structure in numerical approximations. This, however, results in an interesting dichotomy: the rich theory of existent structure-preserving algorithms is typically limited to classical integrators that cannot reliably treat low-regularity phenomena, while most prior designs of low-regularity integrators break geometric structure in the equation. In this talk, we will outline recent advances incorporating structure-preserving properties into low-regularity integrators. Starting from simple discussions on the nonlinear Schrödinger and the Korteweg–de Vries equation we will discuss the construction of such schemes for a general class of dispersive equations before demonstrating an application to the simulation of low-regularity vortex filaments. This is joint work with Yvonne Alama Bronsard, Valeria Banica, Yvain Bruned and Katharina Schratz.

The interplay between stochastic processes and optimal control has been extensively explored in the literature. With the recent surge in the use of diffusion models, stochastic processes have increasingly been applied to sample generation. This talk builds on the log transform, known as the Cole-Hopf transform in Brownian motion contexts, and extends it within a more abstract framework that includes a linear operator. Within this framework, we found that the well-known relationship between the Cole-Hopf transform and optimal transport is a particular instance where the linear operator acts as the infinitesimal generator of a stochastic process. We also introduce a novel scenario where the linear operator is the adjoint of the generator, linking to Bayesian inference under specific initial and terminal conditions. Leveraging this theoretical foundation, we develop a new algorithm, named the HJ-sampler, for Bayesian inference for the inverse problem of a stochastic differential equation with given terminal observations. The HJ-sampler involves two stages: solving viscous Hamilton-Jacobi (HJ) partial differential equations (PDEs) and sampling from the associated stochastic optimal control problem. Our proposed algorithm naturally allows for flexibility in selecting the numerical solver for viscous HJ PDEs. We introduce two variants of the solver: the Riccati-HJ-sampler, based on the Riccati method, and the SGM-HJ-sampler, which utilizes diffusion models. Numerical examples demonstrate the effectiveness of our proposed methods. This is an ongoing joint work with Zongren Zou, Jerome Darbon, and George Em Karniadakis.

We present a spectral method that converges exponentially for a variety of fractional integral equations on a closed interval. The method uses an orthogonal fractional polynomial basis that is obtained from an appropriate change of variable in classical Jacobi polynomials. For a problem arising from time-fractional heat and wave equations, we elaborate the complexities of three spectral methods, among which our method is the most performant due to its superior stability. We present algorithms for building the fractional integral operators, which are applied to the orthogonal fractional polynomial basis as matrices. 

The main component of flow machines is the rotor; however, there may also be stationary parts surrounding the rotor, which are the diffuser blades. In order to consider these two parts simultaneously, the most intuitive approach is to perform a transient flow simulation; however, the computational cost is relatively high. Therefore, one possible approach is the Multiple Reference Frame (MRF) approach, which considers two directly coupled zones: one for the rotating reference frame (for the rotor blades) and one for the stationary reference frame (for the diffuser blades). When taking into account topology optimisation, some changes are required in order to take both rotating and stationary parts simultaneously in the design, which also leads to changes in the composition of the multi-objective function. Therefore, the topology optimisation method is formulated for MRF while also proposing this new multi-objective function. An integer variable-based optimisation algorithm is considered, with some adjustments for the MRF case. Some numerical examples are presented.

Our research explores the application of reinforcement learning (RL) strategies to solve complex combinatorial research problems, specifically the Job-shop Scheduling Problem (JSP) and the Stochastic Vehicle Routing Problem with Time Windows (SVRP). For JSP, we utilize Curriculum Learning (CL) to enhance the performance of dispatching policies. This approach addresses the significant optimality gap in existing end-to-end solutions by structuring the training process into a sequence of increasingly complex tasks, thus facilitating the handling of larger, more intricate instances. Our study introduces a size-agnostic model and a novel strategy, the Reinforced Adaptive Staircase Curriculum Learning (RASCL), which dynamically adjusts difficulty levels during training, focusing on the most challenging instances. Experimental results on Taillard and Demirkol datasets show that our approach reduces the average optimality gap to 10.46% and 18.85%, respectively.

For SVRP, we propose an end-to-end framework employing an attention-based neural network trained through RL to minimize routing costs while addressing uncertain travel costs and demands, alongside specific customer delivery time windows. This model outperforms the state-of-the-art Ant-Colony Optimization algorithm by achieving a 1.73% reduction in travel costs and demonstrates robustness across diverse environmental settings, making it a valuable baseline for future research. Both studies mark advancements in the application of machine learning techniques to operational research.