arXiv subjects

Desmond J. Higham

Publications and source records attributed to Desmond J. Higham.

46 records · Page 3Linked to original sources

arXiv2015

An Introduction to Multilevel Monte Carlo for Option Valuation

Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this context, it is common for the quantity of interest to be the expected value of a random variable defined via a stochastic differential equation. In 2008, Giles proposed a remarkable improvement to the approach of discretizing with a numerical method and applying standard Monte Carlo. His multilevel Monte Carlo method offers an order of speed up given by the inverse of epsilon, where epsilon is the required accuracy. So computations can run 100 times more quickly when two digits of accuracy are required. The multilevel philosophy has since been adopted by a range of researchers and a wealth of practically significant results has arisen, most of which have yet to make their way into the expository literature. In this work, we give a brief, accessible, introduction to multilevel Monte Carlo and summarize recent results applicable to the task of option evaluation.

math.NA↗

arXiv2014

Opportunities at the Mathematics/Future Cities Interface

We make the case for mathematicians and statisticians to stake their claim in the fast-moving and high-impact research field that is becoming known as Future Cities. After assessing the Future Cities arena, we provide some illustrative challenges where mathematical scientists can make an impact.

cs.CY↗

arXiv2014

Complexity of Multilevel Monte Carlo Tau-Leaping

Tau-leaping is a popular discretization method for generating approximate paths of continuous time, discrete space, Markov chains, notably for biochemical reaction systems. To compute expected values in this context, an appropriate multilevel Monte Carlo form of tau-leaping has been shown to improve efficiency dramatically. In this work we derive new analytic results concerning the computational complexity of multilevel Monte Carlo tau-leaping that are significantly sharper than previous ones. We avoid taking asymptotic limits, and focus on a practical setting where the system size is large enough for many events to take place along a path, so that exact simulation of paths is expensive, making tau-leaping an attractive option. We use a general scaling of the system components that allows for the reaction rate constants and the abundances of species to vary over several orders of magnitude, and we exploit the random time change representation developed by Kurtz. The key feature of the analysis that allows for the sharper bounds is that when comparing relevant pairs of processes we analyze the variance of their difference directly rather than bounding via the second moment. Use of the second moment is natural in the setting of a diffusion equation, where multilevel was first developed and where strong convergence results for numerical methods are readily available, but is not optimal for the Poisson-driven jump systems that we consider here. We also present computational results that illustrate the new analysis.

math.NA↗

arXiv2014

Anticipating Activity in Social Media Spikes

We propose a novel mathematical model for the activity of microbloggers during an external, event-driven spike. The model leads to a testable prediction of who would become most active if a spike were to take place. This type of information is of great interest to commercial organisations, governments and charities, as it identifies key players who can be targeted with information in real time when the network is most receptive. The model takes account of the fact that dynamic interactions evolve over an underlying, static network that records who listens to whom. The model is based on the assumption that, in the case where the entire community has become aware of an external news event, a key driver of activity is the motivation to participate by responding to incoming messages. We test the model on a large scale Twitter conversation concerning the appointment of a UK Premier League football club manager. We also present further results for a Bundesliga football match, a marketing event and a television programme. In each case we find that exploiting the underlying connectivity structure improves the prediction of who will be active during a spike. We also show how the half-life of a spike in activity can be quantified in terms of the network size and the typical response rate.

cs.SI↗

arXiv2012

Dynamic Network Centrality Summarizes Learning in the Human Brain

We study functional activity in the human brain using functional Magnetic Resonance Imaging and recently developed tools from network science. The data arise from the performance of a simple behavioural motor learning task. Unsupervised clustering of subjects with respect to similarity of network activity measured over three days of practice produces significant evidence of `learning', in the sense that subjects typically move between clusters (of subjects whose dynamics are similar) as time progresses. However, the high dimensionality and time-dependent nature of the data makes it difficult to explain which brain regions are driving this distinction. Using network centrality measures that respect the arrow of time, we express the data in an extremely compact form that characterizes the aggregate activity of each brain region in each experiment using a single coefficient, while reproducing information about learning that was discovered using the full data set. This compact summary allows key brain regions contributing to centrality to be visualized and interpreted. We thereby provide a proof of principle for the use of recently proposed dynamic centrality measures on temporal network data in neuroscience.

q-bio.NC↗

arXiv2012

Convergence, Non-negativity and Stability of a New Milstein Scheme with Applications to Finance

We propose and analyse a new Milstein type scheme for simulating stochastic differential equations (SDEs) with highly nonlinear coefficients. Our work is motivated by the need to justify multi-level Monte Carlo simulations for mean-reverting financial models with polynomial growth in the diffusion term. We introduce a double implicit Milstein scheme and show that it possesses desirable properties. It converges strongly and preserves non-negativity for a rich family of financial models and can reproduce linear and nonlinear stability behaviour of the underlying SDE without severe restriction on the time step. Although the scheme is implicit, we point out examples of financial models where an explicit formula for the solution to the scheme can be found.

math.NA↗

arXiv2011

Multi-level Monte Carlo for continuous time Markov chains, with applications in biochemical kinetics

We show how to extend a recently proposed multi-level Monte Carlo approach to the continuous time Markov chain setting, thereby greatly lowering the computational complexity needed to compute expected values of functions of the state of the system to a specified accuracy. The extension is non-trivial, exploiting a coupling of the requisite processes that is easy to simulate while providing a small variance for the estimator. Further, and in a stark departure from other implementations of multi-level Monte Carlo, we show how to produce an unbiased estimator that is significantly less computationally expensive than the usual unbiased estimator arising from exact algorithms in conjunction with crude Monte Carlo. We thereby dramatically improve, in a quantifiable manner, the basic computational complexity of current approaches that have many names and variants across the scientific literature, including the Bortz-Kalos-Lebowitz algorithm, discrete event simulation, dynamic Monte Carlo, kinetic Monte Carlo, the n-fold way, the next reaction method,the residence-time algorithm, the stochastic simulation algorithm, Gillespie's algorithm, and tau-leaping. The new algorithm applies generically, but we also give an example where the coupling idea alone, even without a multi-level discretization, can be used to improve efficiency by exploiting system structure. Stochastically modeled chemical reaction networks provide a very important application for this work. Hence, we use this context for our notation, terminology, natural scalings, and computational examples.

math.PR↗

arXiv2009

Communicability Betweenness in Complex Networks

Betweenness measures provide quantitative tools to pick out fine details from the massive amount of interaction data that is available from large complex networks. They allow us to study the extent to which a node takes part when information is passed around the network. Nodes with high betweenness may be regarded as key players that have a highly active role. At one extreme, betweenness has been defined by considering information passing only through the shortest paths between pairs of nodes. At the other extreme, an alternative type of betweenness has been defined by considering all possible walks of any length. In this work, we propose a betweenness measure that lies between these two opposing viewpoints. We allow information to pass through all possible routes, but introduce a scaling so that longer walks carry less importance. This new definition shares a similar philosophy to that of communicability for pairs of nodes in a network, which was introduced by Estrada and Hatano (Phys. Rev. E 77 (2008) 036111). Having defined this new communicability betweenness measure, we show that it can be characterized neatly in terms of the exponential of the adjacency matrix. We also show that this measure is closely related to a Frechet derivative of the matrix exponential. This allows us to conclude that it also describes network sensitivity when the edges of a given node are subject to infinitesimally small perturbations. Using illustrative synthetic and real life networks, we show that the new betweenness measure behaves differently to existing versions, and in particular we show that it recovers meaningful biological information from a protein-protein interaction network.

physics.soc-ph↗

arXiv2009

Communicability and multipartite structures in complex networks at negative absolute temperatures

We here present a method of clearly identifying multi-partite subgraphs in a network. The method is based on a recently introduced concept of the communicability, which very clearly identifies communities in a complex network. We here show that, while the communicability at a positive temperature is useful in identifying communities, the communicability at a negative temperature is useful in idenfitying multi-partitite subgraphs; the latter quantity between two nodes is positive when the two nodes belong to the same subgraph and is negative when not. The method is able to discover `almost' multi-partite structures, where inter-community connections vastly outweigh intracommunity connections. We illustrate the relevance of this work to real-life food web and protein-protein interaction networks.

physics.soc-ph↗

arXiv2008

Communicability in complex brain networks

Recent advances in experimental neuroscience allow, for the first time, non-invasive studies of the white matter tracts in the human central nervous system, thus making available cutting-edge brain anatomical data describing these global connectivity patterns. This new, non-invasive, technique uses magnetic resonance imaging to construct a snap-shot of the cortical network within the living human brain. Here, we report on the initial success of a new weighted network communicability measure in distinguishing local and global differences between diseased patients and controls. This approach builds on recent advances in network science, where an underlying connectivity structure is used as a means to measure the ease with which information can flow between nodes. One advantage of our method is that it deals directly with the real-valued connectivity data, thereby avoiding the need to discretise the corresponding adjacency matrix, that is, to round weights up to 1 or down to 0, depending upon some threshold value. Experimental results indicate that the new approach is able to highlight biologically relevant features that are not immediately apparent from the raw connectivity data.

q-bio.QM↗