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Robust Markov decision processes (RMDPs) extend standard Markov decision processes (MDPs) to account for uncertainty in the transition probabilities. RMDPs have an uncertainty set that defines a set of possible transition functions, each of…
We consider the problem of estimating the asymptotic variance of a function defined on a Markov chain, an important step for statistical inference of the stationary mean. We design a novel recursive estimator that requires $O(1)$…
The problem of structure estimation in graphical models with latent variables is considered. We characterize conditions for tractable graph estimation and develop efficient methods with provable guarantees. We consider models where the…
We study the minimum distance of codes defined on bipartite graphs. Weight spectrum and the minimum distance of a random ensemble of such codes are computed. It is shown that if the vertex codes have minimum distance $\ge 3$, the overall…
We provide novel dissipativity conditions for bounding the incremental L-1 gain of systems. Moreover, we adapt existing results on the L-infinity gain to the incremental setting and relate the incremental L-1 and L-infinity gain bounds…
We propose new continuous-time formulations for first-order stochastic optimization algorithms such as mini-batch gradient descent and variance-reduced methods. We exploit these continuous-time models, together with simple Lyapunov analysis…
Understanding how the optimal value of an optimisation problem changes when its input data is modified is an old question in mathematical optimisation. This paper investigates the computation of the optimal values of a family of (possibly…
Stochastic iterative methods are useful in a variety of large-scale numerical linear algebraic, machine learning, and statistical problems, in part due to their low-memory footprint. They are frequently used in a variety of applications,…
Iterative rounding and relaxation have arguably become the method of choice in dealing with unconstrained and constrained network design problems. In this paper we extend the scope of the iterative relaxation method in two directions: (1)…
Learned index structures aim to accelerate queries by training machine learning models to approximate the rank function associated with a database attribute. While effective in practice, their theoretical limitations are not fully…
We present a geometric multilevel optimization approach that smoothly incorporates box constraints. Given a box constrained optimization problem, we consider a hierarchy of models with varying discretization levels. Finer models are…
Orthogonal statistical learning and double machine learning have emerged as general frameworks for two-stage statistical prediction in the presence of a nuisance component. We establish non-asymptotic bounds on the excess risk of orthogonal…
The theme of this paper is the derivation of analytic formulae for certain large combinatorial structures. The formulae are obtained via fluid limits of pure jump type Markov processes, established under simple conditions on the Laplace…
The pseudo-marginal algorithm is a variant of the Metropolis--Hastings algorithm which samples asymptotically from a probability distribution when it is only possible to estimate unbiasedly an unnormalized version of its density.…
A simple-to-implement weak-sense numerical method to approximate reflected stochastic differential equations (RSDEs) is proposed and analysed. It is proved that the method has the first order of weak convergence. Together with the Monte…
We study asymptotic lower and upper bounds for the sizes of constant dimension codes with respect to the subspace or injection distance, which is used in random linear network coding. In this context we review known upper bounds and show…
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable for studying spatial extremes. Spatial…
This paper presents an $O(\log\log \bar{d})$ round massively parallel algorithm for $1+\epsilon$ approximation of maximum weighted $b$-matchings, using near-linear memory per machine. Here $\bar{d}$ denotes the average degree in the graph…
Multi-antenna relays and intelligent reflecting surfaces (IRSs) have been utilized to construct favorable channels to improve the performance of wireless systems. A common feature between relay systems and IRS-aided systems is the two-hop…
Hypergraphs are structures that can be decomposed or described; in other words they are recursively countable. Here, we get exact and asymptotic enumeration results on hypergraphs by means of exponential generating functions. The number of…