Centre de Recherche en Mathématiques de la Décision

Faster Hamiltonian Monte Carlo by learning leapfrog scale: an offline randomized solution

Abstract We introduce a Hamiltonian Monte Carlo (HMC) methodology based on an offline empirical calibration of randomized leapfrog parameters. The approach, referred to as eHMC, where e stands for empirical, leverages importance sampling to construct an empirical distribution on...

Atenolol or Bisoprolol after Myocardial Infarction without Recorded Heart Failure

BACKGROUND: Beta-blockers are a cornerstone of therapy following myocardial infarction. The effect of different β-blockers on the outcomes of patients without heart failure after myocardial infarction is not well-studied. METHODS: This observational cohort study used administrati...

Swarming by curvature control in arbitrary dimension

We consider an interacting particle system proposed in the literature to model fish behavior. In this model, the agents move at constant speed and control the curvature of their trajectory (i.e. the time-derivative of their velocity) so as to align their velocity with that of the...

Mean-Field Limit for Stochastic Control Problems under State Constraint

Abstract. We study the convergence problem of mean-field control theory in the presence of state constraints and nondegenerate idiosyncratic noise. Our main result is the convergence of the value functions associated to stochastic control problems for many interacting particles s...

A nested factor model for equity markets: reconciling multifractal stock returns and rough index volatilities

The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the (log)-volatilities of factors and residuals are themselves decomposed into factor modes, with a com...

A Rockafellar Theorem for cyclically quasi-monotone maps: the regular non-vanishing case

We study the connection between cyclic quasi-monotonicity and quasi-convexity, focusing on whether every cyclically quasi-monotone (possibly multi-valued) map is included in the normal cone operator of a quasi-convex function, in analogy with Rockafellar's theorem for convex func...