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Adaptive optimal control of nonlinear dynamic systems with deterministic and known dynamics under a known undiscounted infinite-horizon cost function is investigated. Policy iteration scheme initiated using a stabilizing initial control is…
Mean-reverting assets are one of the holy grails of financial markets: if such assets existed, they would provide trivially profitable investment strategies for any investor able to trade them, thanks to the knowledge that such assets…
We present a convergence proof for higher order implementations of the projective integration method (PI) for a class of deterministic multi-scale systems in which fast variables quickly settle on a slow manifold. The error is shown to…
Given multivariate time series, we study the problem of forming portfolios with maximum mean reversion while constraining the number of assets in these portfolios. We show that it can be formulated as a sparse canonical correlation analysis…
Two-time-scale stochastic approximation, a generalized version of the popular stochastic approximation, has found broad applications in many areas including stochastic control, optimization, and machine learning. Despite its popularity,…
We study It\^o SDE systems driven by oscillating functions of a single It\^o diffusion process. In the limit when oscillations become fast, we show that the solution process converges in law to the process defined by an SDE system driven by…
The topic of this manuscript is the stability analysis of continuous-time switched nonlinear systems with constraints on the admissible switching signals. Our particular focus lies in considering signals characterized by upper and lower…
This work is devoted to examining qualitative properties of dynamic systems, in particular, limit cycles of stochastic differential equations with both rapid switching and small diffusion. The systems are featured by multi-scale…
This work unifies the analysis of various randomized methods for solving linear and nonlinear inverse problems by framing the problem in a stochastic optimization setting. By doing so, we show that many randomized methods are variants of a…
In this paper we examine a control variate estimator for a quantity that can be expressed as the expectation of a functional of a random process, that is itself the solution of a differential equation driven by fast mean-reverting ergodic…
Recently, several strong limit theorems for the oscillation moduli of the empirical process have been given in the iid-case. We show that, with very slight differences, those strong results are also obtained for some representation of the…
The efficiency of Monte Carlo samplers is dictated not only by energetic effects, such as large barriers, but also by entropic effects that are due to the sheer volume that is sampled. The latter effects appear in the form of an entropic…
We derive an upper bound for the mean of the supremum of the empirical process indexed by a class of functions that are known to have variance bounded by a small constant $\delta$. The bound is expressed in the uniform entropy integral of…
A parallel program can be represented as a directed acyclic graph. An important performance bound is the time to execute the critical path through the graph. We show how this performance metric is related to Amdahl speedup and the degree of…
A class of discrete renewal processes with super-exponentially decaying inter-arrival distributions coincides with the infinite volume limit of general homogeneous pinning models in their localized phase. Pinning models are statistical…
We study large deviations for some non-local parabolic type equations. We show that, under some assumptions on the non-local term, problems defined in a bounded domain converge with an exponential rate to the solution of the problem defined…
Minimization of the $L_\infty$ norm, which can be viewed as approximately solving the non-convex least median estimation problem, is a powerful method for outlier removal and hence robust regression. However, current techniques for solving…
The fast reaction limit for a nonlinear bulk-surface reaction-diffusion system is investigated. This system describes a reversible reaction with arbitrary stoichiometric coefficients, where one chemical is present in a bounded vessel…
It\^{o} processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such It\^{o} processes. We are interested in the…
This work develops new results for stochastic approximation algorithms. The emphases are on treating algorithms and limits with discontinuities. The main ingredients include the use of differential inclusions, set-valued analysis, and…