Related papers: Non-asymptotic Error Bounds for Sequential MCMC Me…
In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
By transferring knowledge learned from seen/previous tasks, meta learning aims to generalize well to unseen/future tasks. Existing meta-learning approaches have shown promising empirical performance on various multiclass classification…
Markov chain Monte Carlo (MCMC) algorithms are used to estimate features of interest of a distribution. The Monte Carlo error in estimation has an asymptotic normal distribution whose multivariate nature has so far been ignored in the MCMC…
The use of non parametric hidden Markov models with finite state space is flourishing in practice while few theoretical guarantees are known in this framework. Here, we study asymptotic guarantees for these models in the Bayesian framework.…
In this paper, we address the stochastic MPC (SMPC) problem for linear systems, subject to chance state constraints and hard input constraints, under unknown noise distribution. First, we reformulate the chance state constraints as…
We provide an asymptotic expansion of the maximal mean squared error (MSE) of the sample median to be attained on shrinking gross error neighborhoods about an ideal central distribution. More specifically, this expansion comes in powers of…
The stability of stochastic Model Predictive Control (MPC) subject to additive disturbances is often demonstrated in the literature by constructing Lyapunov-like inequalities that ensure closed-loop performance bounds and boundedness of the…
In this paper, we present a novel stochastic output-feedback MPC scheme for distributed systems with additive process and measurement noise. The chance constraints are treated with the concept of probabilistic reachable sets, which, under…
I show how any reversible Markov chain on a finite state space that is irreducible, and hence suitable for estimating expectations with respect to its invariant distribution, can be used to construct a non-reversible Markov chain on a…
We assume a drift condition towards a small set and bound the mean square error of estimators obtained by taking averages along a single trajectory of a Markov chain Monte Carlo algorithm. We use these bounds to construct fixed-width…
The generalized Poor-Verdu error lower bound for multihypothesis testing is revisited. Its asymptotic expression is established in closed-form as its tilting parameter grows to infinity. It is also shown that the asymptotic generalized…
We obtain non-symmetric upper and lower bounds on the rate of convergence of general monotone approximation/numerical schemes for parabolic Hamilton Jacobi Bellman Equations by introducing a new notion of consistency. We apply our general…
We provide a framework which admits a number of ``marginal'' sequential Monte Carlo (SMC) algorithms as particular cases -- including the marginal particle filter [Klaas et al., 2005, in: Proceedings of Uncertainty in Artificial…
We consider nonlinear model predictive control (MPC) schemes without stabilizing terminal conditions, where the model used in the optimization step is generated based on input-output data only. We establish exponential stability for…
The aim of this paper is to establish non-asymptotic minimax rates of testing for goodness-of-fit hypotheses in a heteroscedastic setting. More precisely, we deal with sequences $(Y_j)_{j\in J}$ of independent Gaussian random variables,…
This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum models. Therefore, the Monte Carlo estimation error and the…
A standard approach to computing expectations with respect to a given target measure is to introduce an overdamped Langevin equation which is reversible with respect to the target distribution, and to approximate the expectation by a…
This paper studies consensus of discrete-time multi-agent systems under time-varying directed communication, state and input constraints using a distributed multi-step model predictive control (MPC) framework. Consensus is recast as…
This paper provides sufficient conditions over the sequence of samples and parameters of an adaptive Markov Chain Monte Carlo (MCMC) algorithm to ensure ergodicity with respect to a target distribution that can have unbounded support. These…