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In simulation-based inferences for partially observed Markov process models (POMP), the by-product of the Monte Carlo filtering is an approximation of the log likelihood function. Recently, iterated filtering [14, 13] has originally been…
Hamiltonian Monte Carlo (HMC) and its dynamic extensions, such as the No-U-Turn Sampler (NUTS), are powerful Markov chain Monte Carlo methods for sampling from complex, high-dimensional probability distributions. Riemannian manifold…
We study the problem of reinforcement learning in infinite-horizon discounted linear Markov decision processes (MDPs), and propose the first computationally efficient algorithm achieving rate-optimal regret guarantees in this setting. Our…
This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average metric considering both mean and variance of rewards together. Such performance metric is important…
We study kinetic Monte-Carlo (KMC) descriptions of active particles. By relying on large discrete time steps, KMC algorithms accelerate the relaxational dynamics of active systems towards their steady-state. We show, however, that their…
The performance of Hamiltonian Monte Carlo simulations crucially depends on both the integration timestep and the number of integration steps. We present an adaptive general-purpose framework to automatically tune such parameters, based on…
This paper introduces a novel approach to solving multi-block nonconvex composite optimization problems through a proximal linearized Alternating Direction Method of Multipliers (ADMM). This method incorporates an Increasing Penalization…
We propose a forward-backward splitting dynamical system for solving inclusion problems of the form $0\in A(x)+B(x)$ in Hilbert spaces, where $A$ is a maximal operator and $B$ is a single-valued operator. Involved operators are assumed to…
This paper introduces a novel stochastic framework for modelling tax evasion dynamics by extending the deterministic model of Bertotti and Modanese (2018) through the use of Piecewise Deterministic Markov Processes (PDMPs). A key limitation…
Dynamic Movement Primitives (DMP) are an established and efficient method for encoding robotic tasks that require adaptation based on reference motions. Typically, the nominal trajectory is obtained through Programming by Demonstration…
This article introduces the Modified Parameterized Leapfrog Hamiltonian Monte Carlo (MPL-HMC) method, a novel extension of HMC addressing key limitations through tunable integration parameters $\alpha(\delta t)$ and $\beta(\delta t)$,…
This paper discusses reduction by symmetries for autonomous and non-autonomous forced mechanical systems with inelastic collisions. In particular, we introduce the notion of generalized hybrid momentum map and hybrid constants of the motion…
Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…
Computing saddle points with a prescribed Morse index on potential energy surfaces is crucial for characterizing transition states for nosie-induced rare transition events in physics and chemistry. Many numerical algorithms for this type of…
Recent work has suggested using Monte Carlo methods based on piecewise deterministic Markov processes (PDMPs) to sample from target distributions of interest. PDMPs are non-reversible continuous-time processes endowed with momentum, and…
In this paper, a self-triggered adaptive model predictive control (MPC) algorithm is proposed for constrained discrete-time nonlinear systems subject to parametric uncertainties and additive disturbances. To bound the parametric…
For multivariate nonparametric regression, doubly penalized ANOVA modeling (DPAM) has recently been proposed, using hierarchical total variations (HTVs) and empirical norms as penalties on the component functions such as main effects and…
Explicit symplectic integrators have been important tools for accurate and efficient approximations of mechanical systems with separable Hamiltonians. For the first time, the article proposes for arbitrary Hamiltonians similar integrators,…
High-throughput characterization often requires estimating parameters and model dimension from experimental data of limited quantity and quality. Such data may result in an ill-posed inverse problem, where multiple sets of parameters and…
This paper deals with an implicit Newton-like inertial dynamical system governed by a maximally comonotone inclusion problem in a Hilbert space. Under suitable conditions, we establish not only pointwise estimates and integral estimates for…