Related papers: Parameter estimation of high-dimensional linear di…
Ordinary differential equations (ODEs) are widely used to describe the time evolution of natural phenomena across various scientific fields. Estimating the parameters of these systems from data is a challenging task, particularly when…
We study how to identify a class of continuous-time nonlinear systems defined by an ordinary differential equation affine in the unknown parameter. We define a notion of asymptotic consistency as $(n, h) \to (\infty, 0)$, and we achieve it…
Nonparametric estimation for semilinear SPDEs, namely stochastic reaction-diffusion equations in one space dimension, is studied. We consider observations of the solution field on a discrete grid in time and space with infill asymptotics in…
This note studies a method for the efficient estimation of a finite number of unknown parameters from linear equations, which are perturbed by Gaussian noise. In case the unknown parameters have only few nonzero entries, the proposed…
Neural ordinary differential equations (NODE) have been recently proposed as a promising approach for nonlinear system identification tasks. In this work, we systematically compare their predictive performance with current state-of-the-art…
Two-step predictor/corrector methods are provided to solve three classes of problems that present themselves as systems of ordinary differential equations (ODEs). In the first class, velocities are given from which displacements are to be…
Parameter estimation for ordinary differential equations (ODEs) plays a fundamental role in the analysis of dynamical systems. Generally lacking closed-form solutions, ODEs are traditionally approximated using deterministic solvers.…
Learning nonparametric systems of Ordinary Differential Equations (ODEs) dot x = f(t,x) from noisy data is an emerging machine learning topic. We use the well-developed theory of Reproducing Kernel Hilbert Spaces (RKHS) to define candidates…
In many fields of application, dynamic processes that evolve through time are well described by systems of ordinary differential equations (ODEs). The analytical solution of the ODEs is often not available and different methods have been…
An adaptive nonparametric estimation procedure is constructed for the estimation problem of heteroscedastic regression when the noise variance depends on the unknown regression. A non-asymptotic upper bound for a quadratic risk (an oracle…
This study investigates the use of continuous-time dynamical systems for sparse signal recovery. The proposed dynamical system is in the form of a nonlinear ordinary differential equation (ODE) derived from the gradient flow of the Lasso…
Measurement noise is an integral part while collecting data of a physical process. Thus, noise removal is necessary to draw conclusions from these data, and it often becomes essential to construct dynamical models using these data. We…
Ordinary differential equations (ODEs) are widely used to characterize the dynamics of complex systems in real applications. In this article, we propose a novel joint estimation approach for generalized sparse additive ODEs where…
We propose a computationally efficient estimator, formulated as a convex program, for a broad class of non-linear regression problems that involve difference of convex (DC) non-linearities. The proposed method can be viewed as a significant…
We consider stochastic algorithms derived from methods for solving deterministic optimization problems, especially comparison-based algorithms derived from stochastic approximation algorithms with a constant step-size. We develop a…
Nonparametric regression models with locally stationary covariates have received increasing interest in recent years. As a nice relief of "curse of dimensionality" induced by large dimension of covariates, additive regression model is…
We study regression discontinuity designs in which many predetermined covariates, possibly much more than the number of observations, can be used to increase the precision of treatment effect estimates. We consider a two-step estimator…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
Probabilistic solvers for ordinary differential equations (ODEs) provide efficient quantification of numerical uncertainty associated with simulation of dynamical systems. Their convergence rates have been established by a growing body of…
We derive a second-order ordinary differential equation (ODE) which is the limit of Nesterov's accelerated gradient method. This ODE exhibits approximate equivalence to Nesterov's scheme and thus can serve as a tool for analysis. We show…