160 citations · 279 across the 11 of their papers we have counts for
4 papers · 1 filter
From Quantum Tunneling to Classical Optimization through Instantons
Jiayu Shen, Dylan Herman, Guneykan Ozgul +5
We use an instanton-based analysis to show that Path Integral Stochastic Gradient Descent (PISGD), a classical optimization algorithm instantiated from path integral Monte Carlo (P…
Quantum algorithms for orthogonal polynomial transforms
Anupam Prakash, Shree Hari Sureshbabu, Dylan Herman +1
A quantum orthogonal polynomial transform (QOPT) is an algorithmic primitive that maps a superposition of standard basis states coherently to a basis of norm…
Global Multi-Maturity SPX-VIX Calibration Beyond Markovian Stitching
Atithi Acharya, Yue Sun, Brandon Augustino +3
We develop a global martingale optimal transport framework for joint S&P 500 (SPX)-VIX smile calibration across multiple maturities, without the conditional independence that Marko…
Faster Algorithms for Multimarginal Optimal Transport
Brandon Augustino, Yue Sun, Atithi Acharya +4
We study constructive discrete multimarginal optimal transport (MOT) among distributions on points, where the cost tensor has entries. For additive accuracy $\v…