Related papers: Taylor approximation and variance reduction for PD…
We apply the sample average approximation (SAA) method to risk-neutral optimization problems governed by nonlinear partial differential equations (PDEs) with random inputs. We analyze the consistency of the SAA optimal values and SAA…
In recent years, total variation (TV) and Euler's elastica (EE) have been successfully applied to image processing tasks such as denoising and inpainting. This paper investigates how to extend TV and EE to the supervised learning settings…
Model-free reinforcement learning attempts to find an optimal control action for an unknown dynamical system by directly searching over the parameter space of controllers. The convergence behavior and statistical properties of these…
Partial Differential Equations (PDEs) are fundamental tools for modeling physical phenomena, yet most PDEs of practical interest cannot be solved analytically and require numerical approximations. The feasibility of such numerical methods,…
We present a method for the approximate propagation of mean and covariance of a probability distribution through ordinary differential equations (ODE) with discontinous right-hand side. For piecewise affine systems, a normalization of the…
Ordinary Differential Equations are widespread tools to model chemical, physical, biological process but they usually rely on parameters which are of critical importance in terms of dynamic and need to be estimated directly from the data.…
The Reduced-Basis Control-Variate Monte-Carlo method was introduced recently in [S. Boyaval and T. Leli\`evre, CMS, 8 2010] as an improved Monte-Carlo method, for the fast estimation of many parametrized expected values at many parameter…
It is widely known that the tube method, or equivalently the Euler characteristic heuristic, provides a very accurate approximation for the tail probability that the supremum of a smooth Gaussian random field exceeds a threshold value $c$.…
This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…
We study the algorithmic problem of estimating the mean of heavy-tailed random vector in $\mathbb{R}^d$, given $n$ i.i.d. samples. The goal is to design an efficient estimator that attains the optimal sub-gaussian error bound, only assuming…
We present the first iterative spectral algorithm to find near-optimal solutions for a random quadratic objective over the discrete hypercube, resolving a conjecture of Subag [Subag, Communications on Pure and Applied Mathematics, 74(5),…
We propose a fast and theoretically grounded method for Bayesian variable selection and model averaging in latent variable regression models. Our framework addresses three interrelated challenges: (i) intractable marginal likelihoods, (ii)…
High-dimensional covariance estimation is notoriously sensitive to outliers. While statistically optimal estimators exist for general heavy-tailed distributions, they often rely on computationally expensive techniques like semidefinite…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
High-dimensional limit theorems have been shown useful to derive tuning rules for finding the optimal scaling in random-walk Metropolis algorithms. The assumptions under which weak convergence results are proved are however restrictive: the…
We present a scalable underapproximation of the terminal hitting time stochastic reach-avoid probability at a given initial condition, for verification of high-dimensional stochastic LTI systems. While several approximation techniques have…
We consider Taylor dispersion for tracer particles in micro-fluidic planar channels with strong confinement. In this context, the channel walls modify the local diffusivity tensor and also interactions between the tracer particles and the…
In the statistical problem of denoising, Bayes and empirical Bayes methods can "overshrink" their output relative to the latent variables of interest. This work is focused on constrained denoising problems which mitigate such phenomena. At…
We discretize a risk-neutral optimal control problem governed by a linear elliptic partial differential equation with random inputs using a Monte Carlo sample-based approximation and a finite element discretization, yielding finite…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…