Related papers: Efficient Monte Carlo Methods for Multi-Dimensiona…
Markov Chain Monte Carlo (MCMC) is a popular class of statistical methods for simulating autocorrelated draws from target distributions, including posterior distributions in Bayesian analysis. An important consideration in using simulated…
In this paper, we address technical difficulties that arise when applying Markov chain Monte Carlo (MCMC) to hierarchical models designed to perform clustering in the space of latent parameters of subject-wise generative models.…
We present a new perspective on the popular multi-class algorithmic techniques of one-vs-all and error correcting output codes. Rather than studying the behavior of these techniques for supervised learning, we establish a connection between…
Adaptation of a classifier to new domains is one of the challenging problems in machine learning. This has been addressed using many deep and non-deep learning based methods. Among the methodologies used, that of adversarial learning is…
Many real world stochastic control problems suffer from the "curse of dimensionality". To overcome this difficulty, we develop a deep learning approach that directly solves high-dimensional stochastic control problems based on Monte-Carlo…
Advances in digital sensors, digital data storage and communications have resulted in systems being capable of accumulating large collections of data. In the light of dealing with the challenges that massive data present, this work proposes…
In the era of big data, a large amount of noisy and incomplete data can be collected from multiple sources for prediction tasks. Combining multiple models or data sources helps to counteract the effects of low data quality and the bias of…
Multilevel Monte Carlo (MLMC) has become an important methodology in applied mathematics for reducing the computational cost of weak approximations. For many problems, it is well-known that strong pairwise coupling of numerical solutions in…
We present an efficient algorithm for the inference of stochastic block models in large networks. The algorithm can be used as an optimized Markov chain Monte Carlo (MCMC) method, with a fast mixing time and a much reduced susceptibility to…
We consider the theoretical analysis of Multiscale Sampling Methods, which are a new class of gradient-free Markov chain Monte Carlo (MCMC) methods for high dimensional inverse differential equation problems. A detailed presentation of…
Technological advances facilitate the ability to acquire multimodal data, posing a challenge for recognition systems while also providing an opportunity to use the heterogeneous nature of the information to increase the generalization…
Multilevel Monte Carlo (MLMC) is a flexible and effective variance reduction technique for accelerating reliability assessments of complex power system. Recently, data-driven surrogate models have been proposed as lower-level models in the…
Multi-fidelity Monte Carlo methods leverage low-fidelity and surrogate models for variance reduction to make tractable uncertainty quantification even when numerically simulating the physical systems of interest with high-fidelity models is…
Multifidelity Monte Carlo methods rely on a hierarchy of possibly less accurate but statistically correlated simplified or reduced models, in order to accelerate the estimation of statistics of high-fidelity models without compromising the…
In the era of Big Data, Markov chain Monte Carlo (MCMC) methods, which are currently essential for Bayesian estimation, face significant computational challenges owing to their sequential nature. To achieve a faster and more effective…
This work introduces a novel multilevel Monte Carlo (MLMC) metamodeling approach for variance function estimation. Although devising an efficient experimental design for simulation metamodeling can be elusive, the MLMC-based approach…
Langevin algorithms are popular Markov chain Monte Carlo (MCMC) methods for large-scale sampling problems that often arise in data science. We propose Monte Carlo algorithms based on the discretizations of $P$-th order Langevin dynamics for…
Markov chain Monte Carlo (MCMC) methods are widely used in machine learning. One of the major problems with MCMC is the question of how to design chains that mix fast over the whole state space; in particular, how to select the parameters…
Designing efficient learning algorithms with complexity guarantees for Markov decision processes (MDPs) with large or continuous state and action spaces remains a fundamental challenge. We address this challenge for entropy-regularized MDPs…
Early detection of incipient faults is of vital importance to reducing maintenance costs, saving energy, and enhancing occupant comfort in buildings. Popular supervised learning models such as deep neural networks are considered promising…