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We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve…
Discrete-value time series are sequences of measurements where each measurement is a discrete (categorical or integer) value. These time series are widely used in various fields, and their classification and clustering are essential for…
Diffusion processes arise in many fields, and so simulating the path of a diffusion is an important problem. It is usually necessary to make some sort of approximation via model-discretization, but a recently introduced class of algorithms,…
With the goal to provide absolute lower bounds for the best possible running times that can be achieved by $(1+\lambda)$-type search heuristics on common benchmark problems, we recently suggested a dynamic programming approach that computes…
Application for semantic segmentation models in areas such as autonomous vehicles and human computer interaction require real-time predictive capabilities. The challenges of addressing real-time application is amplified by the need to…
This article proposes and studies warped-linear models for time series classification. The proposed models are time-warp invariant analogues of linear models. Their construction is in line with time series averaging and extensions of…
In this paper we consider several constrained activity scheduling problems in the time and space domains, like finding activity orderings which optimize the values of several objective functions (time scheduling) or finding optimal…
Most forecasting methods use recent past observations (lags) to model the future values of univariate time series. Selecting an adequate number of lags is important for training accurate forecasting models. Several approaches and heuristics…
We present algorithms for the computation of $\varepsilon$-coresets for $k$-median clustering of point sequences in $\mathbb{R}^d$ under the $p$-dynamic time warping (DTW) distance. Coresets under DTW have not been investigated before, and…
Estimating optimal dynamic policies from offline data is a fundamental problem in dynamic decision making. In the context of causal inference, the problem is known as estimating the optimal dynamic treatment regime. Even though there exists…
Starting from a dataset with input/output time series generated by multiple deterministic linear dynamical systems, this paper tackles the problem of automatically clustering these time series. We propose an extension to the so-called…
The Dynamic-Mode Decomposition (DMD) is a well established data-driven method of finding temporally evolving linear-mode decompositions of nonlinear time series. Traditionally, this method presumes that all relevant dimensions are sampled…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…
Closure modeling - the statistical modeling of missing dynamics in the natural sciences and engineering - is a growing and active area of research. Existing methods for closure modeling are often computationally prohibitive, lack…
Many recently introduced enhanced sampling techniques are based on biasing coarse descriptors (collective variables) of a molecular system on the fly. Sometimes the calculation of such collective variables is expensive and becomes a…
The diffusion model has gained popularity in vision applications due to its remarkable generative performance and versatility. However, high storage and computation demands, resulting from the model size and iterative generation, hinder its…
Approximate Bayesian computation is an established and popular method for likelihood-free inference with applications in many disciplines. The effectiveness of the method depends critically on the availability of well performing summary…
Progress on modern scientific questions regularly depends on using large-scale datasets to understand complex dynamical systems. An especially challenging case that has grown to prominence with advances in single-cell sequencing…
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we require that a dynamic deviation measures satisfies a…
A numerical procedure and its MAPLE implementation capable of rigorously, albeit in a brute-force manner, proving specific strict one-variable inequalities in specific finite intervals is described. The procedure is useful, for instance, to…