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Gaussian processes (GPs) furnish accurate nonlinear predictions with well-calibrated uncertainty. However, the typical GP setup has a built-in stationarity assumption, making it ill-suited for modeling data from processes with sudden…
Recently, a Wasserstein-type distance for Gaussian mixture models has been proposed. However, that framework can only be generalized to identifiable mixtures of general elliptically contoured distributions whose components come from the…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
Wasserstein distances are metrics on probability distributions inspired by the problem of optimal mass transportation. Roughly speaking, they measure the minimal effort required to reconfigure the probability mass of one distribution in…
We introduce a distributionally robust minimium mean square error estimation model with a Wasserstein ambiguity set to recover an unknown signal from a noisy observation. The proposed model can be viewed as a zero-sum game between a…
We consider a data-driven robust hypothesis test where the optimal test will minimize the worst-case performance regarding distributions that are close to the empirical distributions with respect to the Wasserstein distance. This leads to a…
We propose a new generalization to quantum states of the Wasserstein distance, which is a fundamental distance between probability distributions given by the minimization of a transport cost. Our proposal is the first where the transport…
Peak estimation bounds extreme values of a function of state along trajectories of a dynamical system. This paper focuses on extending peak estimation to continuous and discrete settings with time-independent and time-dependent uncertainty.…
Distributional ambiguity sets provide quantifiable ways to characterize the uncertainty about the true probability distribution of random variables of interest. This makes them a key element in data-driven robust optimization by exploiting…
We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (It\^o) process with jumps $(X_t)_{t\in [0,T]}$ and a jump-diffusion process $(X^\ast_t)_{t\in [0,T]}$. Our bounds are expressed using the…
This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time optimal control problems where the controller \emph{jointly}…
We tackle the problem of system identification, where we select inputs, observe the corresponding outputs from the true system, and optimize the parameters of our model to best fit the data. We propose a practical and computationally…
For the enhancement of the transient stability of power systems, the key is to define a quantitative optimization formulation with system parameters as decision variables. In this paper, we model the disturbances by Gaussian noise and…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…
This paper explores the problem of generative modeling, aiming to simulate diverse examples from an unknown distribution based on observed examples. While recent studies have focused on quantifying the statistical precision of popular…
Using Kalman techniques, it is possible to perform optimal estimation in linear Gaussian state-space models. We address here the case where the noise probability density functions are of unknown functional form. A flexible Bayesian…
We consider entanglement swapping with general mixed two-mode Gaussian states and calculate the optimal gains for a broad class of such states including those states most relevant in communication scenarios. We show that for this class of…
State-space models (SSMs) are a powerful statistical tool for modelling time-varying systems via a latent state. In these models, the latent state is never directly observed. Instead, a sequence of data points related to the state are…
We study the behavior of the Wasserstein-$2$ distance between discrete measures $\mu$ and $\nu$ in $\mathbb{R}^d$ when both measures are smoothed by small amounts of Gaussian noise. This procedure, known as Gaussian-smoothed optimal…
This paper studies the optimization of the KL functional on the Wasserstein space of probability measures, and develops a sampling framework based on Wasserstein gradient descent (WGD). We identify two important subclasses of the…