arXiv subjects

Ariel Neufeld

Publications and source records attributed to Ariel Neufeld.

At least 19 recordsLinked to original sources

arXiv2026

Robust $Q$-learning for mean-field control under Wasserstein uncertainty in common noise

In this article, we present a robust $Q$-learning algorithm for discrete-time mean-field control problems under Wasserstein uncertainty in the common noise law. The algorithm combines a quantization-and-projection scheme with a Wasserstein dual reformulation on the common-noise space. We establish its convergence together with finite-time iteration bounds for both synchronous and asynchronous learning schemes. Numerical experiments on systemic risk and epidemic models compare the asynchronous implementation with an idealized Bellman iteration, illustrate the robustness-performance tradeoff under common-noise misspecification, and report the observed convergence behavior of the asynchronous $Q$-learning algorithm.

math.OC↗

arXiv2025

Scaling limits of multi-period distributionally robust optimization problems

We examine the scaling limit of multi-period distributionally robust optimization (DRO) problems via a semigroup approach. Each period involves a worst-case maximization over distributions in a Wasserstein ball around the transition probability of a reference process with radius proportional to the length of the period, and the multi-period DRO problem arises through its sequential composition. We show that the scaling limit of the multi-period DRO, as the length of each period tends to zero, is a strongly continuous monotone semigroup on $\mathrm{C_b}$. Furthermore, we show that its infinitesimal generator is equal to the generator associated with the non-robust scaling limit plus an additional perturbation term induced by the Wasserstein uncertainty. As an application, we show that when the reference process follows an It\^o process, the viscosity solution of the associated nonlinear PDE coincides with the value of continuous-time robust optimization problems under parametric uncertainty.

math.OC↗

arXiv2025

Approximation rates of quantum neural networks for periodic functions via Jackson's inequality

Quantum neural networks (QNNs) are an analog of classical neural networks in the world of quantum computing, which are represented by a unitary matrix with trainable parameters. Inspired by the universal approximation property of classical neural networks, ensuring that every continuous function can be arbitrarily well approximated uniformly on a compact set of a Euclidean space, some recent works have established analogous results for QNNs, ranging from single-qubit to multi-qubit QNNs, and even hybrid classical-quantum models. In this paper, we study the approximation capabilities of QNNs for periodic functions with respect to the supremum norm. We use the Jackson inequality to approximate a given function by implementing its approximating trigonometric polynomial via a suitable QNN. In particular, we see that by restricting to the class of periodic functions, one can achieve a quadratic reduction of the number of parameters, producing better approximation results than in the literature. Moreover, the smoother the function, the fewer parameters are needed to construct a QNN to approximate the function.

quant-ph↗

arXiv2025

Robust mean-field control under common noise uncertainty

We propose and analyze a framework for discrete-time robust mean-field control problems under common noise uncertainty. In this framework, the mean-field interaction describes the collective behavior of infinitely many cooperative agents' state and action, while the common noise -- a random disturbance affecting all agents' state dynamics -- is uncertain. A social planner optimizes over open-loop controls on an infinite horizon to maximize the representative agent's worst-case expected reward, where worst-case corresponds to the most adverse probability measure among all candidates inducing the unknown true law of the common noise process. We refer to this optimization as a robust mean-field control problem under common noise uncertainty. We first show that this problem arises as the asymptotic limit of a cooperative $N$-agent robust optimization problem, commonly known as propagation of chaos. We then prove the existence of an optimal open-loop control by linking the robust mean field control problem to a lifted robust Markov decision problem on the space of probability measures and by establishing the dynamic programming principle and Bellman--Isaac fixed point theorem for the lifted robust Markov decision problem. Finally, we complement our theoretical results with numerical experiments motivated by distribution planning and systemic risk in finance, highlighting the advantages of accounting for common noise uncertainty.

math.OC↗

arXiv2025

Generative Neural Operators of Log-Complexity Can Simultaneously Solve Infinitely Many Convex Programs

Neural operators (NOs) are a class of deep learning models designed to simultaneously solve infinitely many related problems by casting them into an infinite-dimensional space, whereon these NOs operate. A significant gap remains between theory and practice: worst-case parameter bounds from universal approximation theorems suggest that NOs may require an unrealistically large number of parameters to solve most operator learning problems, which stands in direct opposition to a slew of experimental evidence. This paper closes that gap for a specific class of {NOs}, generative {equilibrium operators} (GEOs), using (realistic) finite-dimensional deep equilibrium layers, when solving families of convex optimization problems over a separable Hilbert space $X$. Here, the inputs are smooth, convex loss functions on $X$, and outputs are the associated (approximate) solutions to the optimization problem defined by each input loss. We show that when the input losses lie in suitable infinite-dimensional compact sets, our GEO can uniformly approximate the corresponding solutions to arbitrary precision, with rank, depth, and width growing only logarithmically in the reciprocal of the approximation error. We then validate both our theoretical results and the trainability of GEOs on three applications: (1) nonlinear PDEs, (2) stochastic optimal control problems, and (3) hedging problems in mathematical finance under liquidity constraints.

cs.LG↗

arXiv2025

Provably convergent stochastic fixed-point algorithm for free-support Wasserstein barycenter of continuous non-parametric measures

We develop an estimator-based stochastic fixed-point framework for approximately computing the 2-Wasserstein barycenter of continuous, non-parametric probability measures. Notably, we provide the first rigorous convergence analysis for implementable estimator-based stochastic extensions of the fixed-point iterative scheme proposed by \'Alvarez-Esteban, del Barrio, Cuesta-Albertos, and Matr\'an (2016). In particular, we establish almost sure convergence, and identify sufficient conditions for geometric rates of convergence under controlled errors in optimal transport (OT) map estimation. We subsequently propose a concrete, provably convergent, and computationally tractable stochastic algorithm that accommodates input measures satisfying Caffarelli-type regularity conditions, which form a dense subset of the Wasserstein space. This algorithm leverages a modified entropic OT map estimator to enable efficient and scalable implementation. To facilitate quantitative evaluation, we further propose a novel and efficient procedure for synthetically generating benchmark instances, in which the input measures exhibit non-trivial features and the corresponding barycenters are approximately known. Numerical experiments on both synthetic and real-world datasets demonstrate the strong computational efficiency, estimation accuracy, and sampling flexibility of our approach.

math.OC↗

arXiv2025

Multilevel Picard approximations for McKean-Vlasov stochastic differential equations with nonconstant diffusion

We introduce multilevel Picard (MLP) approximations for McKean--Vlasov stochastic differential equations (SDEs) with nonconstant diffusion coefficient. Under standard Lipschitz assumptions on the coefficients, we show that the MLP algorithm approximates the solution of the SDE in the $L^2$-sense without the curse of dimensionality. The latter means that its computational cost grows at most polynomially in both the dimension and the reciprocal of the prescribed error tolerance. In two numerical experiments, we demonstrate its applicability by approximating McKean--Vlasov SDEs in dimensions up to 1000.

math.NA↗

arXiv2024

QuLTSF: Long-Term Time Series Forecasting with Quantum Machine Learning

Long-term time series forecasting (LTSF) involves predicting a large number of future values of a time series based on the past values. This is an essential task in a wide range of domains including weather forecasting, stock market analysis and disease outbreak prediction. Over the decades LTSF algorithms have transitioned from statistical models to deep learning models like transformer models. Despite the complex architecture of transformer based LTSF models `Are Transformers Effective for Time Series Forecasting? (Zeng et al., 2023)' showed that simple linear models can outperform the state-of-the-art transformer based LTSF models. Recently, quantum machine learning (QML) is evolving as a domain to enhance the capabilities of classical machine learning models. In this paper we initiate the application of QML to LTSF problems by proposing QuLTSF, a simple hybrid QML model for multivariate LTSF. Through extensive experiments on a widely used weather dataset we show the advantages of QuLTSF over the state-of-the-art classical linear models, in terms of reduced mean squared error and mean absolute error.

quant-ph↗

arXiv2024

Solving stochastic partial differential equations using neural networks in the Wiener chaos expansion

In this paper, we solve stochastic partial differential equations (SPDEs) numerically by using (possibly random) neural networks in the truncated Wiener chaos expansion of their corresponding solution. Moreover, we provide some approximation rates for learning the solution of SPDEs with additive and/or multiplicative noise. Finally, we apply our results in numerical examples to approximate the solution of three SPDEs: the stochastic heat equation, the Heath-Jarrow-Morton equation, and the Zakai equation.

stat.ML↗

arXiv2024

Universal approximation results for neural networks with non-polynomial activation function over non-compact domains

This paper extends the universal approximation property of single-hidden-layer feedforward neural networks beyond compact domains, which is of particular interest for the approximation within weighted $C^k$-spaces and weighted Sobolev spaces over unbounded domains. More precisely, by assuming that the activation function is non-polynomial, we establish universal approximation results within function spaces defined over non-compact subsets of a Euclidean space, including $L^p$-spaces, weighted $C^k$-spaces, and weighted Sobolev spaces, where the latter two include the approximation of the (weak) derivatives. Moreover, we provide some dimension-independent rates for approximating a function with sufficiently regular and integrable Fourier transform by neural networks with non-polynomial activation function.

stat.ML↗

arXiv2024

Markov-Nash equilibria in mean-field games under model uncertainty

We propose and analyze a framework for mean-field Markov games under model uncertainty. In this framework, a state-measure flow describing the collective behavior of a population affects the given reward function as well as the unknown transition kernel of the representative agent. The agent's objective is to choose an optimal Markov policy in order to maximize her worst-case expected reward, where worst-case refers to the most adverse scenario among all transition kernels considered to be feasible to describe the unknown true law of the environment. We prove the existence of a mean-field equilibrium under model uncertainty, where the agent chooses the optimal policy that maximizes the worst-case expected reward, and the state-measure flow aligns with the agent's state distribution under the optimal policy and the worst-case transition kernel. Moreover, we prove that for suitable multi-agent Markov games under model uncertainty the optimal policy from the mean-field equilibrium forms an approximate Markov-Nash equilibrium whenever the number of agents is large enough.

math.OC↗

arXiv2024

Multilevel Picard approximations and deep neural networks with ReLU, leaky ReLU, and softplus activation overcome the curse of dimensionality when approximating semilinear parabolic partial differential equations in $L^p$-sense

We prove that multilevel Picard approximations and deep neural networks with ReLU, leaky ReLU, and softplus activation are capable of approximating solutions of semilinear Kolmogorov PDEs in $L^\mathfrak{p}$-sense, $\mathfrak{p}\in [2,\infty)$, in the case of gradient-independent, Lipschitz-continuous nonlinearities, while the computational effort of the multilevel Picard approximations and the required number of parameters in the neural networks grow at most polynomially in both dimension $d\in \mathbb{N}$ and reciprocal of the prescribed accuracy $\epsilon$.

math.NA↗

arXiv2024

Non-asymptotic convergence analysis of the stochastic gradient Hamiltonian Monte Carlo algorithm with discontinuous stochastic gradient with applications to training of ReLU neural networks

In this paper, we provide a non-asymptotic analysis of the convergence of the stochastic gradient Hamiltonian Monte Carlo (SGHMC) algorithm to a target measure in Wasserstein-1 and Wasserstein-2 distance. Crucially, compared to the existing literature on SGHMC, we allow its stochastic gradient to be discontinuous. This allows us to provide explicit upper bounds, which can be controlled to be arbitrarily small, for the expected excess risk of non-convex stochastic optimization problems with discontinuous stochastic gradients, including, among others, the training of neural networks with ReLU activation function. To illustrate the applicability of our main results, we consider numerical experiments on quantile estimation and on several optimization problems involving ReLU neural networks relevant in finance and artificial intelligence.

math.OC↗

arXiv2024

Non-asymptotic estimates for accelerated high order Langevin Monte Carlo algorithms

In this paper, we propose two new algorithms, namely, aHOLA and aHOLLA, to sample from high-dimensional target distributions with possibly super-linearly growing potentials. We establish non-asymptotic convergence bounds for aHOLA in Wasserstein-1 and Wasserstein-2 distances with rates of convergence equal to $1+q/2$ and $1/2+q/4$, respectively, under a local H\"{o}lder condition with exponent $q\in(0,1]$ and a convexity at infinity condition on the potential of the target distribution. Similar results are obtained for aHOLLA under certain global continuity conditions and a dissipativity condition. Crucially, we achieve state-of-the-art rates of convergence of the proposed algorithms in the non-convex setting which are higher than those of the existing algorithms. Examples from high-dimensional sampling and logistic regression are presented, and numerical results support our main findings.

math.ST↗

arXiv2024

Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs

In this paper, we present a randomized extension of the deep splitting algorithm introduced in [Beck, Becker, Cheridito, Jentzen, and Neufeld (2021)] using random neural networks suitable to approximately solve both high-dimensional nonlinear parabolic PDEs and PIDEs with jumps having (possibly) infinite activity. We provide a full error analysis of our so-called random deep splitting method. In particular, we prove that our random deep splitting method converges to the (unique viscosity) solution of the nonlinear PDE or PIDE under consideration. Moreover, we empirically analyze our random deep splitting method by considering several numerical examples including both nonlinear PDEs and nonlinear PIDEs relevant in the context of pricing of financial derivatives under default risk. In particular, we empirically demonstrate in all examples that our random deep splitting method can approximately solve nonlinear PDEs and PIDEs in 10'000 dimensions within seconds.

math.NA↗

arXiv2024

Non-concave stochastic optimal control in finite discrete time under model uncertainty

In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent ambiguity sets of probability measures comprising, as a natural example, the ambiguity set defined via Wasserstein-balls around path-dependent reference measures with path-dependent radii, as well as parametric classes of probability distributions. We establish a dynamic programming principle which allows to derive both optimal control and worst-case measure by solving recursively a sequence of one-step optimization problems. Moreover, we derive upper bounds for the difference of the values of the robust and non-robust stochastic control problem in the Wasserstein uncertainty and parameter uncertainty case. As a concrete application, we study the robust hedging problem of financial derivatives under an asymmetric (and non-convex) loss function accounting for different preferences of sell- and buy side when it comes to the hedging of financial derivatives. As our entirely data-driven ambiguity set of probability measures, we consider Wasserstein-balls around the empirical measure derived from real financial data. We demonstrate that during adverse scenarios such as a financial crisis, our robust approach outperforms typical model-based hedging strategies such as the classical Delta-hedging strategy as well as the hedging strategy obtained in the non-robust setting with respect to the empirical measure and therefore overcomes the problem of model misspecification in such critical periods.

math.OC↗

arXiv2024

Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis

We examine nonlinear Kolmogorov partial differential equations (PDEs). Here the nonlinear part of the PDE comes from its Hamiltonian where one maximizes over all possible drift and diffusion coefficients which fall within a $\varepsilon$-neighborhood of pre-specified baseline coefficients. Our goal is to quantify and compute how sensitive those PDEs are to such a small nonlinearity, and then use the results to develop an efficient numerical method for their approximation. We show that as $\varepsilon\downarrow 0$, the nonlinear Kolmogorov PDE equals the linear Kolmogorov PDE defined with respect to the corresponding baseline coefficients plus $\varepsilon$ times a correction term which can be also characterized by the solution of another linear Kolmogorov PDE involving the baseline coefficients. As these linear Kolmogorov PDEs can be efficiently solved in high-dimensions by exploiting their Feynman-Kac representation, our derived sensitivity analysis then provides a Monte Carlo based numerical method which can efficiently solve these nonlinear Kolmogorov equations. We establish an error and complexity analysis for our numerical method. Moreover, we provide numerical examples in up to 100 dimensions to empirically demonstrate the applicability of our numerical method.

math.NA↗

arXiv2024

Rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of gradient-dependent semilinear heat equations

Numerical experiments indicate that deep learning algorithms overcome the curse of dimensionality when approximating solutions of semilinear PDEs. For certain linear PDEs and semilinear PDEs with gradient-independent nonlinearities this has also been proved mathematically, i.e., it has been shown that the number of parameters of the approximating DNN increases at most polynomially in both the PDE dimension $d\in \mathbb{N}$ and the reciprocal of the prescribed accuracy $\epsilon\in (0,1)$. The main contribution of this paper is to rigorously prove for the first time that deep neural networks can also overcome the curse dimensionality in the approximation of a certain class of nonlinear PDEs with gradient-dependent nonlinearities.

math.NA↗