Related papers: General multilevel adaptations for stochastic appr…
We generalize the multilevel Monte Carlo (MLMC) method of Giles to the simulation of systems of particles that interact via a mean field. When the number of particles is large, these systems are described by a McKean-Vlasov process - a…
In this paper, we design, analyze, and implement a variant of the two-loop L-shaped algorithms for solving two-stage stochastic programming problems that arise from important application areas including revenue management and power systems.…
This paper presents a detailed theoretical analysis of the three stochastic approximation proximal gradient algorithms proposed in our companion paper [49] to set regularization parameters by marginal maximum likelihood estimation. We prove…
Bilevel optimization is a central tool in machine learning for high-dimensional hyperparameter tuning. Its applications are vast; for instance, in imaging it can be used for learning data-adaptive regularizers and optimizing forward…
The stochastic Frank-Wolfe method has recently attracted much general interest in the context of optimization for statistical and machine learning due to its ability to work with a more general feasible region. However, there has been a…
We consider minimizing an objective function subject to constraints defined by the intersection of lower-level sets of convex functions. We study two cases: (i) strongly convex and Lipschitz-smooth objective function and (ii) convex but…
We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…
In financial engineering, prices of financial products are computed approximately many times each trading day with (slightly) different parameters in each calculation. In many financial models such prices can be approximated by means of…
We present a multilevel stochastic gradient descent method for the optimal control of systems governed by partial differential equations under uncertain input data. The gradient descent method used to find the optimal control leverages a…
This work introduces a novel multilevel Monte Carlo (MLMC) metamodeling approach for variance function estimation. Although devising an efficient experimental design for simulation metamodeling can be elusive, the MLMC-based approach…
Multivariate shortfall risk measures provide a principled framework for quantifying systemic risk and determining capital allocations prior to aggregation in interconnected financial systems. Despite their well established theoretical…
Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance sampling techniques presented by Vazquez-Abad…
Markov chain Monte Carlo is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with computing statistical expectation, especially in Bayesian…
This work develops novel error expansions with computable leading order terms for the global weak error in the tau-leap discretization of pure jump processes arising in kinetic Monte Carlo models. Accurate computable a posteriori error…
Stochastic gradient methods are scalable for solving large-scale optimization problems that involve empirical expectations of loss functions. Existing results mainly apply to optimization problems where the objectives are one- or two-level…
An algorithm is proposed to solve robust control problems constrained by partial differential equations with uncertain coefficients, based on the so-called MG/OPT framework. The levels in this MG/OPT hierarchy correspond to discretization…
This work presents the convergence rate analysis of stochastic variants of the broad class of direct-search methods of directional type. It introduces an algorithm designed to optimize differentiable objective functions $f$ whose values can…
This paper considers the classical problem of sampling with Monte Carlo methods a target rare event distribution defined by a score function that is very expensive to compute. We assume we can build using evaluations of the true score, an…
We here adapt an extended version of the adaptive cubic regularisation method with dynamic inexact Hessian information for nonconvex optimisation in [3] to the stochastic optimisation setting. While exact function evaluations are still…
The Robbins-Monro stochastic approximation algorithm is a foundation of many algorithmic frameworks for reinforcement learning (RL), and often an efficient approach to solving (or approximating the solution to) complex optimal control…