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We propose a gradient-free deep reinforcement learning algorithm to solve high-dimensional, finite-horizon stochastic control problems. Although the recently developed deep reinforcement learning framework has achieved great success in…
It has been known for a long time that stratification is one possible strategy to obtain higher convergence rates for the Monte Carlo estimation of integrals over the hyper-cube $[0, 1]^s$ of dimension $s$. However, stratified estimators…
In this paper, Decentralized Periodic Approach for Adaptive Fault Diagnosis (DP-AFD) algorithm is proposed for fault diagnosis in distributed systems with arbitrary topology. Faulty nodes may be either unresponsive, may have either software…
This paper is devoted to a new modification of a recently proposed adaptive stochastic mirror descent algorithm for constrained convex optimization problems in the case of several convex functional constraints. Algorithms, standard and its…
Large sectors of the recent optimization literature focused in the last decade on the development of optimal stochastic first order schemes for constrained convex models under progressively relaxed assumptions. Stochastic proximal point is…
We propose a novel algorithm, TR-SVR, for solving unconstrained stochastic optimization problems. This method builds on the trust-region framework, which effectively balances local and global exploration in optimization tasks. TR-SVR…
We consider stochastic optimization when one only has access to biased stochastic oracles of the objective and the gradient, and obtaining stochastic gradients with low biases comes at high costs. This setting captures various optimization…
We present an adaptive trust-region method for unconstrained optimization that allows inexact solutions to the trust-region subproblems. Our method is a simple variant of the classical trust-region method of \citet{sorensen1982newton}. The…
Stochastic gradient methods for machine learning and optimization problems are usually analyzed assuming data points are sampled \emph{with} replacement. In practice, however, sampling \emph{without} replacement is very common, easier to…
Gradient-based methods are often used for policy optimization in deep reinforcement learning, despite being vulnerable to local optima and saddle points. Although gradient-free methods (e.g., genetic algorithms or evolution strategies) help…
Local feature matching aims at finding correspondences between a pair of images. Although current detector-free methods leverage Transformer architecture to obtain an impressive performance, few works consider maintaining local consistency.…
We present a high-performance budgeted multi-level Monte Carlo method for estimates on the entire spatial domain of multi-PDE problems with random input data. The method is designed to operate optimally within memory and CPU-time…
This work studies constrained stochastic optimization problems where the objective and constraint functions are convex and expressed as compositions of stochastic functions. The problem arises in the context of fair classification, fair…
We propose a new numerical scheme for approximating level-sets of Lipschitz multivariate functions which is robust to stochastic noise. The algorithm's main feature is an adaptive grid-based stochastic approximation strategy which…
In this paper, we apply the Monte Carlo stochastic optimization (MOST) proposed by the authors to a deep learning of XOR gate and verify its effectiveness. Deep machine learning based on neural networks is one of the most important keywords…
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility using functions of a stationary fractional Ornstein--Uhlenbeck…
We present the Trust Region Adversarial Functional Subdifferential (TRAFS) algorithm for constrained optimization of nonsmooth convex Lipschitz functions. Unlike previous methods that assume a subgradient oracle model, we work with the…
We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the controller tries to optimally dispatch a diesel generator while…
We analyse the convergence and stability of a micro-macro acceleration algorithm for Monte Carlo simulations of stiff stochastic differential equations with a time-scale separation between the fast evolution of the individual stochastic…
We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regularised objective function, referred to as generalised speed…