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We develop and analyze stochastic inexact Gauss-Newton methods for nonlinear least-squares problems and for nonlinear systems ofequations. Random models are formed using suitable sampling strategies for the matrices involved in the…
This paper addresses the issue of estimating the expectation of a real-valued random variable of the form $X = g(\mathbf{U})$ where $g$ is a deterministic function and $\mathbf{U}$ can be a random finite- or infinite-dimensional vector.…
Many machine learning and optimization algorithms can be cast as instances of stochastic approximation (SA). The convergence rate of these algorithms is known to be slow, with the optimal mean squared error (MSE) of order $O(n^{-1})$. In…
In this paper Gaussian models of retarded and accelerated anomalous diffusion are considered. Stochastic differential equations of fractional order driven by single or multiple fractional Gaussian noise terms are introduced to describe…
We propose deterministic timed automata (DTA) as a model-independent language for specifying performance and dependability measures over continuous-time stochastic processes. Technically, these measures are defined as limit frequencies of…
The aim of this article is to design a moment transformation for Student- t distributed random variables, which is able to account for the error in the numerically computed mean. We employ Student-t process quadrature, an instance of…
In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a…
We study a counterfactual mean-variance optimization, where the mean and variance are defined as functionals of counterfactual distributions. The optimization problem defines the optimal resource allocation under various constraints in a…
The central issue in quantum parameter estimation is to find out the optimal measurement setup that leads to the ultimate lower bound of an estimation error. We address here a question of whether a Gaussian measurement scheme can achieve…
A nonparametric Bayes approach is proposed for the problem of estimating a sparse sequence based on Gaussian random variables. We adopt the popular two-group prior with one component being a point mass at zero, and the other component being…
Model predictive control is an advanced control approach for multivariable systems with constraints, which is reliant on an accurate dynamic model. Most real dynamic models are however affected by uncertainties, which can lead to…
We introduce a Gaussian process-based model for handling of non-stationarity. The warping is achieved non-parametrically, through imposing a prior on the relative change of distance between subsequent observation inputs. The model allows…
The use of Gaussian process models is typically limited to datasets with a few tens of thousands of observations due to their complexity and memory footprint. The two most commonly used methods to overcome this limitation are 1) the…
Precise variational solutions are given for problems involving diverse fermionic and bosonic $N=2-7$-body systems. The trial wave functions are chosen to be combinations of correlated Gaussians, which are constructed from products of the…
We study rates of convergence in central limit theorems for partial sum of functionals of general stationary and non-stationary Gaussian sequences, using optimal tools from analysis on Wiener space. We apply our result to study drift…
In this paper, we study the prediction of a circularly symmetric zero-mean stationary Gaussian process from a window of observations consisting of finitely many samples. This is a prevalent problem in a wide range of applications in…
Numerical simulation of continuous variable quantum state preparation is a necessary tool for optimization of existing quantum information processing protocols. A powerful instrument for such simulation is the numerical computation in the…
Highly flexible Jastrow factors have found significant use in stochastic electronic structure methods such as variational Monte Carlo (VMC) and diffusion Monte Carlo, as well as in quantum chemical transcorrelated (TC) approaches, which…
In the context of time-subordinated Brownian motion models, Fourier theory and methodology are proposed to modelling the stochastic distribution of time increments. Gaussian Variance-Mean mixtures and time-subordinated models are reviewed…
There is growing interest in improving our algorithmic understanding of fundamental statistical problems such as mean estimation, driven by the goal of understanding the limits of what we can extract from valuable data. The state of the art…