Related papers: Superposition-Assisted Stochastic Optimization for…
We propose a novel framework for modeling multiple multivariate point processes, each with heterogeneous event types that share an underlying space and obey the same generative mechanism. Focusing on Hawkes processes and their variants that…
Online learning of Hawkes processes has received increasing attention in the last couple of years especially for modeling a network of actors. However, these works typically either model the rich interaction between the events or the latent…
Stochastic process discovery is concerned with deriving a model capable of reproducing the stochastic character of observed executions of a given process, stored in a log. This leads to an optimisation problem in which the model's parameter…
We investigate spatio-temporal event analysis using point processes. Inferring the dynamics of event sequences spatiotemporally has many practical applications including crime prediction, social media analysis, and traffic forecasting. In…
We present SEBOOST, a technique for boosting the performance of existing stochastic optimization methods. SEBOOST applies a secondary optimization process in the subspace spanned by the last steps and descent directions. The method was…
We develop and analyze a method for stochastic simulation optimization based on Gaussian process models within a trust-region framework. We focus on settings where the variance of the objective function is large, making accurate estimation…
This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is suitable for analyzing large datasets in which events exhibit…
This paper considers a cross-layer optimization problem driven by multi-timescale stochastic exogenous processes in wireless communication networks. Due to the hierarchical information structure in a wireless network, a mixed timescale…
Many machine learning algorithms minimize a regularized risk, and stochastic optimization is widely used for this task. When working with massive data, it is desirable to perform stochastic optimization in parallel. Unfortunately, many…
This paper proposes a new meta-learning method -- named HARMLESS (HAwkes Relational Meta LEarning method for Short Sequences) for learning heterogeneous point process models from short event sequence data along with a relational network.…
Stochastic processes with long memories, known as long memory processes, are ubiquitous in various science and engineering problems. Superposing Markovian stochastic processes generates a non-Markovian long memory process serving as…
Optimization of expensive computer models with the help of Gaussian process emulators in now commonplace. However, when several (competing) objectives are considered, choosing an appropriate sampling strategy remains an open question. We…
Identifying statistical regularities in solutions to some tasks in multi-task reinforcement learning can accelerate the learning of new tasks. Skill learning offers one way of identifying these regularities by decomposing pre-collected…
In this paper, we present an innovative risk-bounded motion planning methodology for stochastic multi-agent systems. For this methodology, the disturbance, noise, and model uncertainty are considered; and a velocity obstacle method is…
A key challenge in satisficing planning is to use multiple heuristics within one heuristic search. An aggregation of multiple heuristic estimates, for example by taking the maximum, has the disadvantage that bad estimates of a single…
We develop a neural-network framework for multi-period risk--reward stochastic control problems with constrained two-step feedback policies that may be discontinuous in the state. We allow a broad class of objectives built on a…
Bayesian Optimization aims at optimizing an unknown non-convex/concave function that is costly to evaluate. We are interested in application scenarios where concurrent function evaluations are possible. Under such a setting, BO could choose…
Modelling and forecasting the occurrence of extreme events is especially difficult when the event process is nonstationary, with changes in both the rate at which extremes occur and the magnitude of the extremes when they occur. We approach…
Machine learning algorithms in high-dimensional settings are highly susceptible to the influence of even a small fraction of structured outliers, making robust optimization techniques essential. In particular, within the…
We apply the PAC-Bayes theory to the setting of learning-to-optimize. To the best of our knowledge, we present the first framework to learn optimization algorithms with provable generalization guarantees (PAC-bounds) and explicit trade-off…