Related papers: Stochastic Approximation and Modern Model-Based De…
We study classical stochastic systems with discrete states, coupled to switching external environments. For fast environmental processes we derive reduced dynamics for the system itself, focusing on corrections to the adiabatic limit of…
Master equations are common descriptions of mesoscopic systems. Analytical solutions to these equations can rarely be obtained. We here derive an analytical approximation of the time-dependent probability distribution of the master equation…
Information estimates such as the ``direct method'' of Strong et al. (1998) sidestep the difficult problem of estimating the joint distribution of response and stimulus by instead estimating the difference between the marginal and…
Over the last decade, a series of applied mathematics papers have explored a type of inverse problem--called by a variety of names including "inverse sensitivity", "pushforward based inference", "consistent Bayesian inference", or…
We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…
An important task in early phase drug development is to identify patients, which respond better or worse to an experimental treatment. While a variety of different subgroup identification methods have been developed for the situation of…
Applications of stochastic models often involve the evaluation of steady-state performance, which requires solving a set of balance equations. In most cases of interest, the number of equations is infinite or even uncountable. As a result,…
The need to estimate a particular quantile of a distribution is an important problem which frequently arises in many computer vision and signal processing applications. For example, our work was motivated by the requirements of many…
Distributionally Robust Optimization (DRO), as a popular method to train robust models against distribution shift between training and test sets, has received tremendous attention in recent years. In this paper, we propose and analyze…
Multi-time-scale stochastic approximation is an iterative algorithm for finding the fixed point of a set of $N$ coupled operators given their noisy samples. It has been observed that due to the coupling between the decision variables and…
Diffusion processes have been widely used for approximations in the queueing theory. There are different types of diffusion approximations. Among them, we are interested in those obtained through limits of a sequence of models which…
There is wide interest in studying how the distribution of a continuous response changes with a predictor. We are motivated by environmental applications in which the predictor is the dose of an exposure and the response is a health…
Online task scheduling serves an integral role for task-intensive applications in cloud computing and crowdsourcing. Optimal scheduling can enhance system performance, typically measured by the reward-to-cost ratio, under some task arrival…
Efficient analysis and simulation of multiscale stochastic systems of chemical kinetics is an ongoing area for research, and is the source of many theoretical and computational challenges. In this paper, we present a significant improvement…
In the Monte Carlo (MC) method statistical noise is usually present. Statistical noise may become dominant in the calculation of a distribution, usually by iteration, but is less Important in calculating integrals. The subject of the…
We consider stochastic zero-order optimization problems, which arise in settings from simulation optimization to reinforcement learning. We propose an adaptive sampling quasi-Newton method where we estimate the gradients of a stochastic…
"Quantum trajectories" are solutions of stochastic differential equations of non-usual type. Such equations are called "Belavkin" or "Stochastic Schr\"odinger Equations" and describe random phenomena in continuous measurement theory of Open…
We consider stochastic approximation with block-coordinate stepsizes and propose adaptive stepsize rules that aim to minimize the expected distance from the next iterate to an (unknown) target point. These stepsize rules employ online…
This paper derives the rate of convergence and asymptotic distribution for a class of Kolmogorov-Smirnov style test statistics for conditional moment inequality models for parameters on the boundary of the identified set under general…
We propose a data-driven method to learn the time-dependent probability density of a multivariate stochastic process from sample paths, assuming that the initial probability density is known and can be evaluated. Our method uses a novel…