Aspects of a Phase Transition in High-Dimensional Random Geometry

  title={Aspects of a Phase Transition in High-Dimensional Random Geometry},
  author={Axel Pr{\"u}ser and Imre Kondor and Andreas Engel},
A phase transition in high-dimensional random geometry is analyzed as it arises in a variety of problems. A prominent example is the feasibility of a minimax problem that represents the extremal case of a class of financial risk measures, among them the current regulatory market risk measure Expected Shortfall. Others include portfolio optimization with a ban on short-selling, the storage capacity of the perceptron, the solvability of a set of linear equations with random coefficients, and… Expand

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