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Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…
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…
In this paper, we propose a new framework for designing fast parallel algorithms for fundamental statistical subset selection tasks that include feature selection and experimental design. Such tasks are known to be weakly submodular and are…
Stochastic computing (SC) is a promising candidate for fault tolerant computing in digital circuits. We present a novel stochastic computing estimation architecture allowing to solve a large group of estimation problems including least…
We consider constrained optimization problems with a nonsmooth objective function in the form of mathematical expectation. The Sample Average Approximation (SAA) is used to estimate the objective function and variable sample size strategy…
Motion planning is a fundamental problem in autonomous driving and perhaps the most challenging to comprehensively evaluate because of the associated risks and expenses of real-world deployment. Therefore, simulations play an important role…
Modern technologies are generating ever-increasing amounts of data. Making use of these data requires methods that are both statistically sound and computationally efficient. Typically, the statistical and computational aspects are treated…
The random nature of traffic conditions on freeways can cause excessive congestions and irregularities in the traffic flow. Ramp metering is a proven effective method to maintain freeway efficiency under various traffic conditions. Creating…
Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also known as Sequential Monte Carlo (SMC) methods, provide reliable numerical…
This paper studies the robust optimal control design for uncertain nonlinear systems from a perspective of robust adaptive dynamic programming (robust-ADP). The objective is to fill up a gap in the past literature of ADP where dynamic…
Statistical mechanics is one of the most powerful and elegant tools in the quantitative sciences. One key virtue of statistical mechanics is that it is designed to examine large systems with many interacting degrees of freedom, providing a…
The Expectation Maximization (EM) algorithm is a key reference for inference in latent variable models; unfortunately, its computational cost is prohibitive in the large scale learning setting. In this paper, we propose an extension of the…
Methods for the reduction of the complexity of computational problems are presented, as well as their connections to renormalization, scaling, and irreversible statistical mechanics. Several statistically stationary cases are analyzed; for…
A robust nonlinear stochastic observer for simultaneous localization and mapping (SLAM) is proposed using the available uncertain measurements of angular velocity, translational velocity, and features. The proposed observer is posed on the…
An algorithm for sampling from non-log-concave multivariate distributions is proposed, which improves the adaptive rejection Metropolis sampling (ARMS) algorithm by incorporating the hit and run sampling. It is not rare that the ARMS is…
This paper proposes a fast and accurate method for sparse regression in the presence of missing data. The underlying statistical model encapsulates the low-dimensional structure of the incomplete data matrix and the sparsity of the…
A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic…
Coupled human-environment systems are increasingly being understood as complex adaptive systems (CAS), in which micro-level interactions between components lead to emergent behavior. Agent-based models (ABMs) hold great promise for…
In machine learning and data mining, linear models have been widely used to model the response as parametric linear functions of the predictors. To relax such stringent assumptions made by parametric linear models, additive models consider…
Motivated by recent development in networking and parallel data-processing, we consider a distributed and localized finite-sum (or fixed-sum) allocation technique to solve resource-constrained convex optimization problems over multi-agent…