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We present a framework that allows for the non-asymptotic study of the $2$-Wasserstein distance between the invariant distribution of an ergodic stochastic differential equation and the distribution of its numerical approximation in the…
Many iterative procedures in stochastic optimization exhibit a transient phase followed by a stationary phase. During the transient phase the procedure converges towards a region of interest, and during the stationary phase the procedure…
In the optimization under uncertainty, decision-makers first select a wait-and-see policy before any realization of uncertainty and then place a here-and-now decision after the uncertainty has been observed. Two-stage stochastic programming…
This paper develops a new stochastic volatility model for the temperature that is a natural extension of the Ornstein-Uhlenbeck model proposed by Benth and Benth (2007). This model allows to be more conservative regarding extreme events…
Uncertainty quantification for deep learning is a challenging open problem. Bayesian statistics offer a mathematically grounded framework to reason about uncertainties; however, approximate posteriors for modern neural networks still…
Graph neural networks are often used to model interacting dynamical systems since they gracefully scale to systems with a varying and high number of agents. While there has been much progress made for deterministic interacting systems,…
We develop an estimator-based stochastic fixed-point framework for approximately computing the 2-Wasserstein barycenter of continuous, non-parametric probability measures. Notably, we provide the first rigorous convergence analysis for…
We introduce a family of pairwise stochastic gradient estimators for gradients of expectations, which are related to the log-derivative trick, but involve pairwise interactions between samples. The simplest example of our new estimator,…
Gradient information on the sampling distribution can be used to reduce the variance of Monte Carlo estimators via Stein's method. An important application is that of estimating an expectation of a test function along the sample path of a…
Convergence detection of iterative stochastic optimization methods is of great practical interest. This paper considers stochastic gradient descent (SGD) with a constant learning rate and momentum. We show that there exists a transient…
This paper studies a risk minimization problem with decision dependent data distribution. The problem pertains to the performative prediction setting in which a trained model can affect the outcome estimated by the model. Such dependency…
Using backpropagation to compute gradients of objective functions for optimization has remained a mainstay of machine learning. Backpropagation, or reverse-mode differentiation, is a special case within the general family of automatic…
We introduce a path sampling method for obtaining statistical properties of an arbitrary stochastic dynamics. The method works by decomposing a trajectory in time, estimating the probability of satisfying a progress constraint, modifying…
We provide statistical theory for conditional and unconditional Wasserstein generative adversarial networks (WGANs) in the framework of dependent observations. We prove upper bounds for the excess Bayes risk of the WGAN estimators with…
We present difference schemes for stochastic transport equations with low-regularity velocity fields. We establish $L^2$ stability and convergence of the difference approximations under conditions that are less strict than those required…
Fractional gradient descent has been studied extensively, with a focus on its ability to extend traditional gradient descent methods by incorporating fractional-order derivatives. This approach allows for more flexibility in navigating…
Reinforcement learning methods for robotics are increasingly successful due to the constant development of better policy gradient techniques. A precise (low variance) and accurate (low bias) gradient estimator is crucial to face…
System identification in scenarios where the observed number of variables is less than the degrees of freedom in the dynamics is an important challenge. In this work we tackle this problem by using a recognition network to increase the…
In this work, we introduce a novel framework for privately optimizing objectives that rely on Wasserstein distances between data-dependent empirical measures. Our main theoretical contribution is, based on an explicit formulation of the…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…