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In stochastic systems, numerically sampling the relevant trajectories for the estimation of the large deviation statistics of time-extensive observables requires overcoming their exponential (in space and time) scarcity. The optimal way to…
We present a new local approximation algorithm for computing Maximum a Posteriori (MAP) and log-partition function for arbitrary exponential family distribution represented by a finite-valued pair-wise Markov random field (MRF), say $G$.…
Recovering intermediate missing GPS points in a sparse trajectory, while adhering to the constraints of the road network, could offer deep insights into users' moving behaviors in intelligent transportation systems. Although recent studies…
This work presents a methodology to incorporate reliability constraints in the optimal power systems expansion planning problem. Besides LOLP and EPNS, traditionally used in power systems, this work proposes the use of the risk measures VaR…
E-fuels are promising long-term energy carriers supporting the net-zero transition. However, the large combinatorial design-operation spaces under renewable uncertainty make the use of mathematical programming impractical for co-optimizing…
We consider the problem of online reinforcement learning for the Stochastic Shortest Path (SSP) problem modeled as an unknown MDP with an absorbing state. We propose PSRL-SSP, a simple posterior sampling-based reinforcement learning…
The performance of Maximum a posteriori (MAP) estimation is studied analytically for binary symmetric multi-channel Hidden Markov processes. We reduce the estimation problem to a 1D Ising spin model and define order parameters that…
This work focuses on off-policy evaluation (OPE) with function approximation in infinite-horizon undiscounted Markov decision processes (MDPs). For MDPs that are ergodic and linear (i.e. where rewards and dynamics are linear in some known…
Estimating location is a central problem in functional data analysis, yet most current estimation procedures either unrealistically assume completely observed trajectories or lack robustness with respect to the many kinds of anomalies one…
Formulations of the turbo equalization approach to iterative equalization and decoding vary greatly when channel knowledge is either partially or completely unknown. Maximum aposteriori probability (MAP) and minimum mean square error (MMSE)…
In the decremental Single-Source Shortest Path problem (SSSP), we are given a weighted directed graph $G=(V,E,w)$ undergoing edge deletions and a source vertex $r \in V$; let $n = |V|, m = |E|$ and $W$ be the aspect ratio of the graph. The…
We consider a class of optimization problems over stochastic variables where the algorithm can learn information about the value of any variable through a series of costly steps; we model this information acquisition process as a Markov…
In this paper, we are interested in least squares estimator for a class of path-dependent McKean-Vlasov stochastic differential equations (SDEs). More precisely, we investigate the consistency and asymptotic distribution of the least…
An $N$-point FFT admits many valid implementations that differ in radix choice, stage ordering, and register-blocking strategy. These alternatives use different SIMD instruction mixes with different latencies, yet produce the same…
We consider the problem of approximating partition functions for Ising models. We make use of recent tools in combinatorial optimization: the Sherali-Adams and Lasserre convex programming hierarchies, in combination with variational methods…
A virtual power plant (VPP) facilitates the integration of distributed energy resources (DERs) for the transmission-level operation. A challenge in operating a VPP is to characterize the cost function over its feasible power transfer region…
Our subject of study is strong approximation of stochastic differential equations (SDEs) with respect to the supremum error criterion, and we seek approximations that are strongly asymptotically optimal in specific classes of…
We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally…
We develop a constructive approach to estimating sparse, high-dimensional linear regression models. The approach is a computational algorithm motivated from the KKT conditions for the $\ell_0$-penalized least squares solutions. It generates…
We consider the problem of estimating the slope parameter in circular functional linear regression, where scalar responses Y1,...,Yn are modeled in dependence of 1-periodic, second order stationary random functions X1,...,Xn. We consider an…