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This thesis is concerned with the study of symmetry breaking phenomena for several different semilinear partial differential equations. Roughly speaking, this encompasses equations whose symmetries are not necessarily inherited by their solutions, which is particularly interesting for ground state solutions.
Reactive oxygen species are a class of naturally occurring, highly reactive molecules that change the structure and function of macromolecules. This can often lead to irreversible intracellular damage. Conversely, they can also cause reversible changes through post-translational modification of proteins which are utilized in the cell for signaling. Most of these modifications occur on specific cysteines. Which structural and physicochemical features contribute to the sensitivity of cysteines to redox modification is currently unclear. Here, I investigated the in uence of protein structural and sequence features on the modifiability of proteins and specific cysteines therein using statistical and machine learning methods. I found several strong structural predictors for redox modification, such as a higher accessibility to the cytosol and a high number of positively charged amino acids in the close vicinity. I detected a high frequency of other post-translational modifications, such as phosphorylation and ubiquitination, near modified cysteines. Distribution of secondary structure elements appears to play a major role in the modifiability of proteins. Utilizing these features, I created models to predict the presence of redox modifiable cysteines in proteins, including human mitochondrial complex I, NKG2E natural killer cell receptors and proximal tubule cell proteins, and compared some of these predictions to earlier experimental results.
This thesis concerns three specific constraint satisfaction problems: the k-SAT problem, random linear equations and the Potts model. We investigated a phenomenon called replica symmetry, its consequences and its limitation. For the $k$-SAT problem, we were able to show that replica symmetry holds up to a threshold $d^{*}$. However, after another critical threshold $d^{**}$, we discovered that replica symmetry could not hold anymore, which enabled us to establish the existence of a replica symmetry breaking region. For the random linear problem, a peculiar phenomenon occurs. We observed that a more robust version of replica symmetry (strong replica symmetry) holds up to a threshold $d=e$ and ceases to hold after. This phenomenon is linked to the fact that before the threshold $d=e$, the fraction of frozen variables, i.e. variable forced to take the same value in all solutions, is concentrated around a deterministic value but vacillates between two values with equal probability for $d>e$. Lastly, for the Potts model, we show that a phenomenon called metastability occurs. The latter phenomenon can be understood as a consequence of trivial replica symmetry breaking scheme. This metastability phenomenon further produces slow mixing results for two famous Markov chains, the Glauber and the Swendsen-Wang dynamics.
The relevant field of interest in High Energy Physics experiments is shifting to searching and studying extremely rare particles and phenomena. The search for rare probes requires an increase in the number of available statistics by increasing the particle interaction rate. The structure of the events also becomes more complicated, the multiplicity of particles in each event increases, and a pileup appears. Due to technical limitations, such data flow becomes impossible to store fully on available storage devices. The solution to the problem is the correct triggering of events and real-time data processing.
In this work, the issue of accelerating and improving the algorithms for reconstruction of the charged particles' trajectories based on the Cellular Automaton in the STAR experiment is considered to implement them for track reconstruction in real-time within the High-Level Trigger. This is an important step in the preparation of the CBM experiment as part of the FAIR Phase-0 program. The study of online data processing methods in real conditions at similar interaction energies allows us to study this process and determine the possible weaknesses of the approach.
Two versions of the Cellular Automaton based track reconstruction are discussed, which are used, depending on the detecting systems' features. HFT~CA Track Finder, similar to the tracking algorithm of the CBM experiment, has been accelerated by several hundred times, using both algorithm optimization and data-level parallelism. TPC~CA Track Finder has been upgraded to improve the reconstruction quality while maintaining high calculation speed. The algorithm was tuned to work with the new iTPC geometry and provided an additional module for very low momentum track reconstruction.
The improved track reconstruction algorithm for the TPC detector in the STAR experiment was included in the HLT reconstruction chain and successfully tested in the express production for the online real data analysis. This made it possible to obtain important physical results during the experiment runtime without the full offline data processing. The tracker is also being prepared for integration into a standard offline data processing chain, after which it will become the basic track search algorithm in the STAR experiment.
Monte Carlo methods : barrier option pricing with stable Greeks and multilevel Monte Carlo learning
(2021)
For discretely observed barrier options, there exists no closed solution under the Black-Scholes model. Thus, it is often helpful to use Monte Carlo simulations, which are easily adapted to these models. However, as presented above, the discontinuous payoff may lead to instability in option's sensitivities for Monte Carlo algorithms.
This thesis presents a new Monte Carlo algorithm that can calculate the pathwise sensitivities for discretely monitored barrier options. The idea is based on Glasserman and Staum's one-step survival strategy and the results of Alm et al., with which we can stably determine the option's sensitivities such as Delta and Vega by finite-differences. The basic idea of Glasserman and Staum is to use a truncated normal distribution, which excludes the values above the barrier (e.g.\ for knock-up-out options), instead of sampling from the full normal distribution. This approach avoids the discontinuity generated by any Monte Carlo path crossing the barrier and yields a Lipschitz-continuous payoff function.
The new part will be to develop an extended algorithm that estimates the sensitivities directly, without simulation at multiple parameter values as in finite-difference.
Consider the local volatility model, which is a generalisation of the Black-Scholes model. Although standard Monte Carlo algorithms work well for the pricing of continuously monitored barrier options within this model, they often do not behave stably with respect to numerical differentiation.
To bypass this problem, one would generally either resort to regularised differentiation schemes or derive an algorithm for precise differentiation. Unfortunately, while the widespread solution of using a Brownian bridge approach leads to accurate first derivatives, they are not Lipschitz-continuous. This leads to instability with respect to numerical differentiation for second-order Greeks.
To alleviate this problem - i.e. produce Lipschitz-continuous first-order derivatives - and reduce variance, we generalise the idea of one-step survival to general scalar stochastic differential equations. This approach leads to the new one-step survival Brownian bridge approximation, which allows for stable second-order Greeks calculations.
To show the new approach's numerical efficiency, we present a new respective Monte Carlo pathwise sensitivity estimator for the first-order Greeks and study different methods to compute second-order Greeks stably. Finally, we develop a one-step survival Brownian bridge multilevel Monte Carlo algorithm to reduce the computational cost in practice.
This thesis proves unbiasedness and variance reduction of our new, one-step survival version with respect to the classical, Brownian bridge approach. Furthermore, we will present a new convergence result for the Brownian bridge approach using the Milstein scheme under certain conditions. Overall, these properties imply convergence of the new one-step survival Brownian bridge approach.
In recent years, deep learning has become pervasive in various fields. As a family of machine learning methods it is used in a broad set of applications, such as image processing, voice recognition, email filtering, computer vision. Most modern deep learning algorithms are based on artificial neural networks inspired by the biological neural networks constituting animal brains. Also in computational finance deep learning may be of use: Consider there is no closed-solution available for an option price, Monte Carlo simulations are substantially for estimation. Instead of persistently contributing new price computations arising from an updated volatility term, one could replace these by evaluating a neural network.
If an according neural network is available, the evaluation could lead to substantial savings and be highly efficient. I.e., once trained, a neural network could save further expensive estimations. However, in practice, the challenge is the training process of the neural network.
We study and compare two generic neural network training algorithms' computational complexity. Then, we introduce a new multilevel training algorithm that combines a deep learning algorithm with the idea of multilevel Monte Carlo path simulation. The idea is to train several neural networks with training data computed from the so-called level estimators of the multilevel Monte Carlo approach introduced by Giles. We show that the new method can reduce computational complexity by formulating a complexity theorem.
The thesis is composed of four Chapters.
In the first Chapter, the boundary expression of the one-sided shape derivative of nonlocal Sobolev best constants is derived. As a simple consequence, we obtain the fractional version of the so-called Hadamard formula for the torsional rigidity and the first Dirichlet eigenvalue. An application to the optimal obstacle placement problem for the torsional rigidity and the first eigenvalue of the fractional Laplacian is given.
In the second Chapter, we introduce and prove a new maximum principle for doubly antisymmetric functions. The latter can be seen as the first step towards studying the optimal obstacle placement problem for the second fractional eigenvalue. Using the new maximum principle we derive new symmetry results for odd solutions to semilinear Dirichlet boundary value problems with Lipschitz nonlinearity.
In the third Chapter, we derive new integration by parts formula for the fractional Laplace operator with a general globally Lipschitz vector field and in particular, we obtain a new Pohozaev type identity generalizing the one obtained by X. Ros-Oton and J. Serra. As an application we obtain nonexistence results for semilinear Dirichlet boundary problems in bounded domains that are not necessarly starshaped.
In the last Chapter, we study symmetry properties of second eigenfunctions of annuli. Using results from the first Chapter and the maximum principle in Chpater 2, we extend the result on the optimal obstacle placement problem from the first eigenvalue to the second eigenvalue.
We present new results on nonlocal Dirichlet problems established by means of suitable spectral theoretic and variational methods, taking care of the nonlocal feature of the operators. We mainly address: First, we estimate the Morse index of radially symmetric sign changing bounded weak solutions to a semilinear Dirichlet problem involving the fractional Laplacian. In particular, we derive a conjecture due to Bañuelos and Kulczycki on the geometric structure of the second Dirichlet eigenfunctions. Secondly, we study a small order asymptotics with respect to the parameter s of the Dirichlet eigenvalues problem for the fractional Laplacian. Thirdly, we deal with the logarithmic Schrödinger operator. In particular, we provide an alternative to derive the singular integral representation corresponding to the associated Fourier symbol and introduce tools and functional analytic framework for variational studies. Finaly, we study nonlocal operators of order strictly below one. In particular, we investigate interior regularity properties of weak solutions to the associated Poisson problem depending on the regularity of the right-hand side.
Wir betrachten Algorithmen für strategische Kommunikation mit Commitment Power zwischen zwei rationalen Parteien mit eigenen Interessen. Wenn eine Partei Commitment Power hat, so legt sie sich auf eine Handlungsstrategie fest und veröffentlicht diese und kann nicht mehr davon abweichen.
Beide Parteien haben Grundinformation über den Zustand der Welt. Die erste Partei (S) hat die Möglichkeit, diesen direkt zu beobachten. Die zweite Partei (R) trifft jedoch eine Entscheidung durch die Wahl einer von n Aktionen mit für sie unbekanntem Typ. Dieser Typ bestimmt die möglicherweise verschiedenen, nicht-negativen Nutzwerte für S und R. Durch das Senden von Signalen versucht S, die Wahl von R zu beeinflussen. Wir betrachten zwei Grundszenarien: Bayesian Persuasion und Delegated Search.
In Bayesian Persuasion besitzt S Commitment Power. Hier legt sich S sich auf ein Signalschema φ fest und teilt dieses R mit. Es beschreibt, welches Signal S in welcher Situation sendet. Erst danach erfährt S den wahren Zustand der Welt. Nach Erhalt der durch φ bestimmten Signale wählt R eine der Aktionen. Das Wissen um φ erlaubt R die Annahmen über den Zustand der Welt in Abhängigkeit von den empfangenen Signalen zu aktualisieren. Dies muss S für das Design von φ berücksichtigen, denn R wird Empfehlungen nicht folgen, die S auf Kosten von R übervorteilen. Wir betrachten das Problem aus der Sicht von S und beschreiben Signalschemata, die S einen möglichst großen Nutzen garantieren.
Zuerst betrachten wir den Offline-Fall. Hier erfährt S den kompletten Zustand der Welt und schickt daraufhin ein Signal an R. Wir betrachten ein Szenario mit einer beschränkten Anzahl k ≤ n Signale. Mit nur k Signalen kann S höchstens k verschiedene Aktionen empfehlen. Für verschiedene symmetrische Instanzen beschreiben wir einen Polynomialzeitalgorithmus für die Berechnung eines optimalen Signalschemas mit k Signalen.
Weiterhin betrachten wir eine Teilmenge von Instanzen, in denen die Typen aus bekannten, unabhängigen Verteilungen gezogen werden. Wir beschreiben Polynomialzeitalgorithmen, die ein Signalschema mit k Signalen berechnen, das einen konstanten Approximationsfaktor im Verhältnis zum optimalen Signalschema mit k Signalen garantiert.
Im Online-Fall werden die Aktionstypen einzeln in Runden aufgedeckt. Nach Betrachtung der aktuellen Aktion sendet S ein Signal und R muss sofort durch Wahl oder Ablehnung der Aktion darauf reagieren. Der Prozess endet mit der Wahl einer Aktion. Andernfalls wird der nächste Aktionstyp aufgedeckt und vorherige Aktionen können nicht mehr gewählt werden. Als Richtwert für unsere Online-Signalschemata verwenden wir das beste Offline-Signalschema.
Zuerst betrachten wir ein Szenario mit unabhängigen Verteilungen. Wir zeigen, wie ein optimales Signalschema in Polynomialzeit bestimmt werden kann. Jedoch gibt es Beispiele, bei denen S – anders als im Offline-Fall – im Online-Fall keinen positiven Wert erzielen kann. Wir betrachten daraufhin eine Teilmenge der Instanzen, für die ein einfaches Signalschema einen konstanten Approximationsfaktor garantiert und zeigen dessen Optimalität.
Zusätzlich betrachten wir 16 verschiedene Szenarien mit unterschiedlichem Level an Information für S und R und unterschiedlichen Zielfunktionen für S und R unter der Annahme, dass die Aktionstypen a priori unbekannt sind, aber in uniform zufälliger Reihenfolge aufgedeckt werden. Für 14 Fälle beschreiben wir Signalschemata mit konstantem Approximationsfaktor. Solche Schemata existieren für die verbleibenden beiden Fälle nicht. Zusätzlich zeigen wir für die meistern Fälle, dass die beschriebenen Approximationsgarantien optimal sind.
Im zweiten Teil betrachten wir eine Online-Variante von Delegated Search. Hier besitzt nun R Commitment Power. Die Aktionstypen werden aus bekannten, unabhängigen Verteilungen gezogen. Bevor S die realisierten Typen beobachtet, legt R sich auf ein Akzeptanzschema φ fest. Für jeden Typen gibt φ an, mit welcher Wahrscheinlichkeit R diesen akzeptiert. Folglich versucht S, eine Aktion mit einem guten Typen für sich selbst zu finden, der von R akzeptiert wird. Da der Prozess online abläuft, muss S für jede Aktion einzeln entscheiden, diese vorzuschlagen oder zu verwerfen. Nur empfohlene Aktionen können von R ausgewählt werden.
Für den Offline-Fall sind für identisch verteilte Aktionstypen konstante Approximationsfaktoren im Vergleich zu einer Aktion mit optimalem Wert für R bekannt. Wir zeigen, dass R im Online-Fall im Allgemeinen nur eine Θ(1/n)-Approximation erzielen kann. Der Richtwert ist der erwartete Wert für eine eindimensionale Online-Suche von R.
Da für die Schranke eine exponentielle Diskrepanz in den Werten der Typen für S benötigt wird, betrachten wir parametrisierte Instanzen. Die Parameter beschränken die Werte für S bzw. das Verhältnis der Werte für R und S. Wir zeigen (beinahe) optimale logarithmische Approximationsfaktoren im Bezug auf diese Parameter, die von effizient berechenbaren Schemata garantiert werden.
Machine learning (ML) techniques have evolved rapidly in recent years and have shown impressive capabilities in feature extraction, pattern recognition, and causal inference. There has been an increasing attention to applying ML to medical applications, such as medical diagnosis, drug discovery, personalized medicine, and numerous other medical problems. ML-based methods have the advantage of processing vast amounts of data.
With an ever increasing amount of medical data collection and large, inter-subject variability in the medical data, automated data processing pipelines are very much desirable since it is laborious, expensive, and error-prone to rely solely on human processing. ML methods have the potential to uncover interesting patterns, unravel correlations between complex features, learn patient-specific representations, and make accurate predictions. Motivated by these promising aspects, in this thesis, I present studies where I have implemented deep neural networks for the early diagnosis of epilepsy based on electroencephalography (EEG) data and brain tumor detection based on magnetic resonance spectroscopy (MRS) data.
In the project for early diagnosis of epilepsy, we are dealing with one of the most common neurological disorders, epilepsy, which is characterized by recurrent unprovoked seizures. It can be triggered by a variety of initial brain injuries and manifests itself after a time window which is called the latent period. During this period, a cascade of structural and functional brain alterations takes place leading to an increased seizure susceptibility.
The development and extension of brain tissue capable of generating spontaneous seizures is defined as epileptogenesis (EPG).
Detecting the presence of EPG provides a precious opportunity for targeted early medical interventions and, thus, can slow down or even halt the disease progression. In order to study brain signals in this latent window, animal epilepsy models are used to provide valuable data as it is extremely difficult to obtain this data from human patients. The aim of this study is to discover biomarkers of EPG using animal models and then to find the equivalent and counterparts in human patients' data. However, the EEG features for EPG are not well-understood and there is not a sufficiently large amount of annotated data for ML-based algorithms. To approach this problem, firstly, I utilized the timestamp information of the recorded EEG from an animal epilepsy model where epilepsy is induced by an electrical stimulation. The timestamp serves as a form of weak supervision, i.e., before and after the stimulation. Secondly, I implemented a deep residual neural network and trained it with a binary classification task to distinguish the EEG signals from these two phases. After obtaining a high discriminative ability on the binary classification task, I proposed to divide further the time span after the stimulation for a three-class classification, aiming to detect possible stages of the progression of the latent EPG phase. I have shown that the model can distinguish EEG signals at different stages of EPG with high accuracy and generalization ability. I have also demonstrated that some of the learned features from the network are clinically relevant.
In the task of detecting brain tumors based on MRS data, I first proposed to apply a deep neural network on the MRS data collected from over 400 patients for a binary classification task. To combat the challenge of noisy labeling, I developed a distillation step to filter out relatively ``cleanly'' labeled samples. A mixing-based data augmentation method was also implemented to expand the size of the training set. All the experiments were designed to be conducted with a leave-patient-out scheme to ensure the generalization ability of the model. Averaged across all leave-patient-out cross-validation sets, the proposed method performed on par with human neuroradiologists, while outperforming other baseline methods. I have demonstrated the distillation effect on the MNIST data set with manually-introduced label noise as well as providing visualization of the input influences on the final classification through a class activation map method.
Moreover, I have proposed to aggregate information at the subject level, which could provide more information and insights. This is inspired by the concept of multiple instance learning, where instance-level labels are not required and which is more tolerant to noisy labeling. I have proposed to generate data bags consisting of instances from each patient and also proposed two modules to ensure permutation invariance, i.e., an attention module and a pooling module. I have compared the performance of the network in different cases, i.e., with and without permutation-invariant modules, with and without data augmentation, single-instance-based and multiple-instance-based learning and have shown that neural networks equipped with the proposed attention or pooling modules can outperform human experts.