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Massively parallel hardware (GPUs) and long sequence data have made parallel algorithms essential for machine learning at scale. Yet dynamical systems, like recurrent neural networks and Markov chain Monte Carlo, were thought to suffer from…
Model predictive control (MPC) is a powerful control method that handles dynamical systems with constraints. However, solving MPC iteratively in real time, i.e., implicit MPC, remains a computational challenge. To address this, common…
The problem of achieving a good trade-off in Stochastic Model Predictive Control between the competing goals of improving the average performance and reducing conservativeness, while still guaranteeing recursive feasibility and low…
Discovering causal relationships from observational data is a crucial problem and it has applications in many research areas. The PC algorithm is the state-of-the-art constraint based method for causal discovery. However, runtime of the PC…
Model predictive control (MPC) is increasingly being considered for control of fast systems and embedded applications. However, the MPC has some significant challenges for such systems. Its high computational complexity results in high…
The alternating direction method of multipliers (ADMM) has gained increasing popularity in embedded model predictive control (MPC) due to its code simplicity and pain-free parameter selection. However, existing ADMM solvers either target…
Monte Carlo Tree Search (MCTS) is a widely used approach for policy improvement through search with increasing popularity for real world applications. Due to the sequential and deterministic nature of its search, runtime-scaling of MCTS…
The Multilevel Monte Carlo (MLMC) method has proven to be an effective variance-reduction statistical method for Uncertainty Quantification (UQ) in Partial Differential Equation (PDE) models, combining model computations at different levels…
We propose an efficient algorithm for the optimal control problems (OCPs) of nonlinear switched systems that optimizes the control input and switching instants simultaneously for a given switching sequence. We consider the switching…
Parallel Markov Chain Monte Carlo (pMCMC) algorithms generate clouds of proposals at each step to efficiently resolve a target probability distribution. We build a rigorous foundational framework for pMCMC algorithms that situates these…
Computational efficient evaluation of penalized estimators of multivariate exponential family distributions is sought. These distributions encompass among others Markov random fields with variates of mixed type (e.g. binary and continuous)…
This paper proposes a Model Predictive Control (MPC) algorithm for target tracking amongst static and dynamic obstacles. Our main contribution lies in improving the computational tractability and reliability of the underlying non-convex…
We present a novel parallelisation scheme that simplifies the adaptation of learning algorithms to growing amounts of data as well as growing needs for accurate and confident predictions in critical applications. In contrast to other…
To effectively control large-scale distributed systems online, model predictive control (MPC) has to swiftly solve the underlying high-dimensional optimization. There are multiple techniques applied to accelerate the solving process in the…
We present an Alternating Direction Method of Multipliers (ADMM) algorithm for solving optimization problems with an l_1 regularized least-squares cost function subject to recursive equality constraints. The considered optimization problem…
In hybrid Model Predictive Control (MPC), a Mixed-Integer Quadratic Program (MIQP) is solved at each sampling time to compute the optimal control action. Although these optimizations are generally very demanding, in MPC we expect…
We present a novel class of methods to compute functions of matrices or their action on vectors that are suitable for parallel programming. Solving appropriate simple linear systems of equations in parallel (or computing the inverse of…
Model predictive control (MPC) is a method to formulate the optimal scheduling problem for grid flexibilities in a mathematical manner. The resulting time-constrained optimization problem can be re-solved in each optimization time step…
This paper proposes a form of MPC in which the control variables are moved asynchronously. This contrasts with most MIMO control schemes, which assume that all variables are updated simultaneously. MPC outperforms other control strategies…
Decision trees are highly famous in machine learning and usually acquire state-of-the-art performance. Despite that, well-known variants like CART, ID3, random forest, and boosted trees miss a probabilistic version that encodes prior…