Conformal mirror descent with logarithmic divergences.

The logarithmic divergence is an extension of the Bregman divergence motivated by optimal transport and a generalized convex duality, and satisfies many remarkable properties. Using the geometry induced by the logarithmic divergence, we introduce a generalization of continuous time mirror descent that we term the conformal mirror descent. We derive its dynamics under a generalized mirror map, and show that it is a time change of a corresponding Hessian gradient flow. We also prove convergence results in continuous time. We apply the conformal mirror descent to online estimation of a generalized exponential family, and construct a family of gradient flows on the unit simplex via the Dirichlet optimal transport problem.

Pseudo-Riemannian geometry encodes information geometry in optimal transport.

Optimal transport and information geometry both study geometric structures on spaces of probability distributions. Optimal transport characterizes the cost-minimizing movement from one distribution to another, while information geometry originates from coordinate invariant properties of statistical inference. Their relations and applications in statistics and machine learning have started to gain more attention. In this paper we give a new differential-geometric relation between the two fields. Namely, the pseudo-Riemannian framework of Kim and McCann, which provides a geometric perspective on the fundamental Ma-Trudinger-Wang (MTW) condition in the regularity theory of optimal transport maps, encodes the dualistic structure of statistical manifold. This general relation is described using the framework of c-divergence under which divergences are defined by optimal transport maps. As a by-product, we obtain a new information-geometric interpretation of the MTW tensor on the graph of the transport map. This relation sheds light on old and new aspects of information geometry. The dually flat geometry of Bregman divergence corresponds to the quadratic cost and the pseudo-Euclidean space, and the logarithmic L ( α ) -divergence introduced by Pal and the first author has constant sectional curvature in a sense to be made precise. In these cases we give a geometric interpretation of the information-geometric curvature in terms of the divergence between a primal-dual pair of geodesics.

λ-Deformation: A Canonical Framework for Statistical Manifolds of Constant Curvature.

This paper systematically presents the λ-deformation as the canonical framework of deformation to the dually flat (Hessian) geometry, which has been well established in information geometry. We show that, based on deforming the Legendre duality, all objects in the Hessian case have their correspondence in the λ-deformed case: λ-convexity, λ-conjugation, λ-biorthogonality, λ-logarithmic divergence, λ-exponential and λ-mixture families, etc. In particular, λ-deformation unifies Tsallis and Rényi deformations by relating them to two manifestations of an identical λ-exponential family, under subtractive or divisive probability normalization, respectively. Unlike the different Hessian geometries of the exponential and mixture families, the λ-exponential family, in turn, coincides with the λ-mixture family after a change of random variables. The resulting statistical manifolds, while still carrying a dualistic structure, replace the Hessian metric and a pair of dually flat conjugate affine connections with a conformal Hessian metric and a pair of projectively flat connections carrying constant (nonzero) curvature. Thus, λ-deformation is a canonical framework in generalizing the well-known dually flat Hessian structure of information geometry.

Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio.

Cover's celebrated theorem states that the long-run yield of a properly chosen "universal" portfolio is almost as good as that of the best retrospectively chosen constant rebalanced portfolio. The "universality" refers to the fact that this result is model-free, that is, not dependent on an underlying stochastic process. We extend Cover's theorem to the setting of stochastic portfolio theory: the market portfolio is taken as the numéraire, and the rebalancing rule need not be constant anymore but may depend on the current state of the stock market. By fixing a stochastic model of the stock market this model-free result is complemented by a comparison with the numéraire portfolio. Roughly speaking, under appropriate assumptions the asymptotic growth rate coincides for the three approaches mentioned in the title of this paper. We present results in both discrete and continuous time.