Sparse recovery in bounded Riesz systems with applications to numerical methods for PDEs
نویسندگان
چکیده
We study sparse recovery with structured random measurement matrices having independent, identically distributed, and uniformly bounded rows a nontrivial covariance structure. This class of arises from sampling Riesz systems generalizes partial Fourier matrices. Our main result improves the currently available results for null space restricted isometry properties such The novelty our analysis is new upper bound expectation supremum Bernoulli process associated constant. apply to prove performance guarantees CORSING method, recently introduced numerical approximation technique differential equations (PDEs) based on compressive sensing.
منابع مشابه
Numerical methods for sparse recovery
These lecture notes are an introduction to methods recently developed for performing numerical optimizations with linear model constraints and additional sparsity conditions to solutions, i.e. we expect solutions which can be represented as sparse vectors with respect to a prescribed basis. Such a type of problems has been recently greatly popularized by the development of the field of nonadapt...
متن کاملNumerical Solutions to PDEs with Financial Applications
We present details of the 1D PDE solver used in the OpenGamma Platform, showing how it can price European and American options, with and without barrier features. All the results in this paper we generated using MATLAB, and this code is included here www.opengamma.com/downloads/financial-pde-solving-matlab-examples.zip.
متن کاملNumerical Methods for Nonlinear PDEs in Finance
Many problems in finance can be posed in terms of an optimal stochastic control. Some well-known examples include transaction cost/uncertain volatility models [17, 2, 25], passport options [1, 26], unequal borrowing/lending costs in option pricing [9], risk control in reinsurance [23], optimal withdrawals in variable annuities[13], optimal execution of trades [20, 19], and asset allocation [28,...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied and Computational Harmonic Analysis
سال: 2021
ISSN: ['1096-603X', '1063-5203']
DOI: https://doi.org/10.1016/j.acha.2021.01.004