Search

We examine a mean-reverting Ornstein-Uhlenbeck process that perturbs an unknown Lipschitz-continuous drift and aim to estimate the drift's value at a predetermined time horizon by sampling the path of the process. Due to the time varying nature of the drift we propose an estimation procedure that involves an online, time-varying optimization scheme implemented using a stochastic gradient ascent algorithm to maximize the log-likelihood of our observations. The objective of the paper is to investigate the optimal sample size/rate for achieving the minimum mean square distance between our estimator and the true value of the drift. In this setting we uncover a trade-off between the correlation of the observations, which increases with the sample size, and the dynamic nature of the unknown drift, which is weakened by increasing the frequency of observation. The mean square error is shown to be non monotonic in the sample size, attaining a global minimum whose precise description depends on the parameters that govern the model. In the static case, i.e. when the unknown drift is constant, our method outperforms the arithmetic mean of the observations in highly correlated regimes, despite the latter being a natural candidate estimator. We then compare our online estimator with the global maximum likelihood estimator., Comment: 14 pages, 5 figures

Simple Exponential Smoothing is a classical technique used for smoothing time series data by assigning exponentially decreasing weights to past observations through a recursive equation; it is sometimes presented as a rule of thumb procedure. We introduce a novel theoretical perspective where the recursive equation that defines simple exponential smoothing occurs naturally as a stochastic gradient ascent scheme to optimize a sequence of Gaussian log-likelihood functions. Under this lens of analysis, our main theorem shows that -- in a general setting -- simple exponential smoothing converges to a neighborhood of the trend of a trend-stationary stochastic process. This offers a novel theoretical assurance that the exponential smoothing procedure yields reliable estimators of the underlying trend shedding light on long-standing observations in the literature regarding the robustness of simple exponential smoothing., Comment: 12 pages, 6 figures

In recent demonstrations of the quantum charge-coupled device (QCCD) computer architecture, circuit times are dominated by cooling. Some motional modes of multi-ion crystals take orders-of-magnitude longer to cool than others because of low coolant ion participation. Here we demonstrate a new technique, which we call phonon rapid adiabatic passage (phrap), that avoids this issue by coherently exchanging the thermal populations of selected modes on timescales short compared to direct cooling. Analogous to adiabatic rapid passage, we quasi-statically couple these slow-cooling modes with fast-cooling ones using DC electric fields. When the crystal is then adiabatically ramped through the resultant avoided crossing, nearly-complete phonon population exchange results. We demonstrate this on two-ion crystals, and show the indirect ground-state cooling of all radial modes--achieving an order of magnitude speedup compared to direct cooling. We also show the technique's insensitivity to trap potential and control field fluctuations, and find that it still achieves sub-quanta temperatures starting as high as n~200.

For QFTs in AdS the boundary correlation functions remain conformal even if the bulk theory has a scale. This allows one to constrain RG flows with numerical conformal bootstrap methods. We apply this idea to flows between two-dimensional CFTs, focusing on deformations of the tricritical and ordinary Ising model. We provide non-perturbative constraints for the boundary correlation functions of these flows and compare them with conformal perturbation theory in the vicinity of the fixed points. We also reproduce a completely general constraint on the sign of the $T\bar T$ deformation in two dimensions., Comment: 43+37 pages, 22 figures+1 anteater, 1 ancillary notebook. v2: published version

We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particular, we test both robust linear regressions and general additive models on two different investment universes composed of the Dow Jones Industrial Average and the Standard & Poor's 500 indexes, and we compare the out-of-sample performances of mean-CVaR optimal portfolios over a horizon of six years. The results show a substantial improvement in portfolio performances when the factor model is estimated with general additive models.

We present a novel implementation of conditional Long Short-Term Memory Recurrent Neural Networks that successfully predict the spectral evolution of a pulse in nonlinear periodically-poled waveguides. The developed networks offer large flexibility by allowing the propagation of optical pulses with ranges of energies and temporal widths in waveguides with different poling periods. The results show very high agreement with the traditional numerical models. Moreover, we are able to use a single network to calculate both the real and imaginary parts of the pulse complex envelope, allowing for successfully retrieving the pulse temporal and spectral evolution using the same network.

We construct unitary, stable, and interacting conformal boundary conditions for a free massless scalar in four dimensions by coupling it to edge modes living on a boundary. The boundary theories we consider are bosonic and fermionic QED$_3$ with $N_f$ flavors and a Chern-Simons term at level $k$, in the large-$N_f$ limit with fixed $k/N_f$. We find that interacting boundary conditions only exist when $k\neq 0$. To obtain this result we compute the $\beta$ functions of the classically marginal couplings at the first non-vanishing order in the large-$N_f$ expansion, and to all orders in $k/N_f$ and in the couplings. To check vacuum stability we also compute the large-$N_f$ effective potential. We compare our results with the the known conformal bootstrap bounds., Comment: 33 pages, 14 figures. v2: minor modifications, comments and references added

We combine perturbation theory with analytic and numerical bootstrap techniques to study the critical point of the long-range Ising (LRI) model in two and three dimensions. This model interpolates between short-range Ising (SRI) and mean-field behaviour. We use the Lorentzian inversion formula to compute infinitely many three-loop corrections in the two-dimensional LRI near the mean-field end. We further exploit the exact OPE relations that follow from bulk locality of the LRI to compute infinitely many two-loop corrections near the mean-field end, as well as some one-loop corrections near SRI. By including such exact OPE relations in the crossing equations for LRI we set up a very constrained bootstrap problem, which we solve numerically using SDPB. We find a family of sharp kinks for two- and three-dimensional theories which compare favourably to perturbative predictions, as well as some Monte Carlo simulations for the two-dimensional LRI., Comment: 71 + pages, 11 figures, 1 ancillary notebook. v3: published version

We discuss general properties of perturbative RG flows in AdS with a focus on the treatment of boundary conditions and infrared divergences. In contrast with flat-space boundary QFT, general covariance in AdS implies the absence of independent boundary flows. We illustrate how boundary correlation functions remain conformally covariant even if the bulk QFT has a scale. We apply our general discussion to the RG flow between consecutive unitary diagonal minimal models which is triggered by the $\phi_{(1,3)}$ operator. For these theories we conjecture a flow diagram whose form is significantly simpler than that in flat-space boundary QFT. In several stand-alone appendices we discuss two-dimensional BCFTs in general and the minimal model BCFTs in particular. These include both an extensive review as well as the computation of several new BCFT correlation functions., Comment: v3: published version