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We introduce a fast and easy-to-implement simulation algorithm for a multivariate normal distribution truncated on the intersection of a set of hyperplanes, and further generalize it to efficiently simulate random variables from a…
We develop algorithms that find and track the optimal solution trajectory of time-varying convex optimization problems which consist of local and network-related objectives. The algorithms are derived from the prediction-correction…
Change point detection plays a fundamental role in many real-world applications, where the goal is to analyze and monitor the behaviour of a data stream. In this paper, we study change detection in binary streams. To this end, we use a…
We consider offline detection of a single changepoint in binary and count time-series. We compare exact tests based on the cumulative sum (CUSUM) and the likelihood ratio (LR) statistics, and a new proposal that combines exact two-sample…
We investigate local optimality conditions of first and second order for integer optimal control problems with total variation regularization via a finite-dimensional switching point problem. We show the equivalence of local optimality for…
In recent years, various means of efficiently detecting changepoints in the univariate setting have been proposed, with one popular approach involving minimising a penalised cost function using dynamic programming. In some situations, these…
We present theoretical and numerical results concerning the problem to find the path that minimizes the time to navigate between two given points in a complex fluid under realistic navigation constraints. We contrast deterministic Optimal…
This paper develops an algorithmic framework for tracking fixed points of time-varying contraction mappings. Analytical results for the tracking error are established for the cases where: (i) the underlying contraction self-map changes at…
When applying the finite-differences method to numerically solve the one-dimensional diffusion equation, one must choose discretization steps $\Delta x$, $\Delta t$ in space and time, respectively. By applying large-deviation theory on the…
We describe a simple multivariate technique of likelihood ratios for improved discrimination of signal and background in multi-dimensional quantum target detection. The technique combines two independent variables, time difference and…
The paper studies the problem of detecting and locating change points in multivariate time-evolving data. The problem has a long history in statistics and signal processing and various algorithms have been developed primarily for simple…
A multi-convex optimization problem is one in which the variables can be partitioned into sets over which the problem is convex when the other variables are fixed. Multi-convex problems are generally solved approximately using variations on…
Bird migration is an adaptive behavior ultimately aiming at optimizing survival and reproductive success. We propose an optimal switching model to study bird migration, where birds' migration behaviors can be efficiently modeled as…
We present an augmented Lagrangian trust-region method to efficiently solve constrained optimization problems governed by large-scale nonlinear systems with application to partial differential equation-constrained optimization. At each…
In this paper we study the problem of driving an agent to an unknown source whose location is estimated in real-time by a recursive optimization algorithm. The optimization criterion is subject to a least-square cost function constructed…
One of the most fundamental questions in quantitative finance is the existence of continuous-time diffusion models that fit market prices of a given set of options. Traditionally, one employs a mix of intuition, theoretical and empirical…
Object detection in aerial imagery presents a significant challenge due to large scale variations among objects. This paper proposes an evolutionary reinforcement learning agent, integrated within a coarse-to-fine object detection…
This research addresses the crucial issue of pollution from aircraft operations, focusing on optimizing both gate allocation and runway scheduling simultaneously, a novel approach not previously explored. The study presents an innovative…
Change point detection algorithms have numerous applications in fields of scientific and economic importance. We consider the problem of change point detection on compositional multivariate data (each sample is a probability mass function),…
We show a deterministic constant-time local algorithm for constructing an approximately maximum flow and minimum fractional cut in multisource-multitarget networks with bounded degrees and bounded edge capacities. Locality means that the…