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Joshua Zoen-Git Hiew

Publications and source records attributed to Joshua Zoen-Git Hiew.

3 recordsLinked to original sources

Data denoising with self consistency, variance maximization, and the Kantorovich dominance

We introduce a new framework for data denoising, partially inspired by martingale optimal transport. For a given noisy distribution (the data), our approach involves finding the closest distribution to it among all distributions which 1) have a particular prescribed structure (expressed by requiring they lie in a particular domain), and 2) are self-consistent with the data. We show that this amounts to maximizing the variance among measures in the domain which are dominated in convex order by the data. For particular choices of the domain, this problem and a relaxed version of it, in which the self-consistency condition is removed, are intimately related to various classical approaches to denoising. We prove that our general problem has certain desirable features: solutions exist under mild assumptions, have certain robustness properties, and, for very simple domains, coincide with solutions to the relaxed problem. We also introduce a novel relationship between distributions, termed Kantorovich dominance, which retains certain aspects of the convex order while being a weaker, more robust, and easier-to-verify condition. Building on this, we propose and analyze a new denoising problem by substituting the convex order in the previously described framework with Kantorovich dominance. We demonstrate that this revised problem shares some characteristics with the full convex order problem but offers enhanced stability, greater computational efficiency, and, in specific domains, more meaningful solutions. Finally, we present simple numerical examples illustrating solutions for both the full convex order problem and the Kantorovich dominance problem.

stat.ME↗

Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing

This paper addresses the problem of robust option pricing within the framework of Vectorial Martingale Optimal Transport (VMOT). We investigate the geometry of VMOT solutions for $N$-period market models and demonstrate that, when the number of underlying assets is $d=2$ and the payoff is sub- or supermodular, the extremal model reduces to a single-factor structure in the first period. This structural result allows for a significant dimension reduction, transforming the problem into a more tractable format. We prove that this reduction is specific to the two-asset case and provide counterexamples showing it generally fails for $d \geq 3$. Finally, we exploit this monotonicity to develop a reduced-dimension Sinkhorn algorithm. Numerical experiments demonstrate that this structure-preserving approach reduces computational time by approximately 99\% compared to standard methods while improving accuracy.

q-fin.MF↗

An ordinary differential equation for entropic optimal transport and its linearly constrained variants

We characterize the solution to the entropically regularized optimal transport problem by a well-posed ordinary differential equation (ODE). Our approach works for discrete marginals and general cost functions, and in addition to two marginal problems, applies to multi-marginal problems and those with additional linear constraints. Solving the ODE gives a new numerical method to solve the optimal transport problem, which has the advantage of yielding the solution for all intermediate values of the ODE parameter (which is equivalent to the usual regularization parameter). We illustrate this method with several numerical simulations. The formulation of the ODE also allows one to compute derivatives of the optimal cost when the ODE parameter is $0$, corresponding to the fully regularized limit problem in which only the entropy is minimized.

math.OC↗