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An inexact Newton type method for numerical minimization of convex piecewise quadratic functions is considered and its convergence is analyzed. Earlier, a similar method was successfully applied to optimizaton problems arising in numerical…
We propose a new algorithm---Stochastic Proximal Langevin Algorithm (SPLA)---for sampling from a log concave distribution. Our method is a generalization of the Langevin algorithm to potentials expressed as the sum of one stochastic smooth…
Inverse problems are ubiquitous because they formalize the integration of data with mathematical models. In many scientific applications the forward model is expensive to evaluate, and adjoint computations are difficult to employ; in this…
Our paper introduces a novel method for calculating the inverse $\mathcal{Z}$-transform of rational functions. Unlike some existing approaches that rely on partial fraction expansion and involve dividing by $z$, our method allows for the…
We discuss the design of state-of-the-art numerical methods for molecular dynamics, focusing on the demands of soft matter simulation, where the purposes include sampling and dynamics calculations both in and out of equilibrium. We discuss…
Inverse optimal control can be used to characterize behavior in sequential decision-making tasks. Most existing work, however, is limited to fully observable or linear systems, or requires the action signals to be known. Here, we introduce…
We study the design and implementation of numerical methods to solve the generalized Langevin equation (GLE) focusing on canonical sampling properties of numerical integrators. For this purpose, we cast the GLE in an extended phase space…
This paper proposes a new sampling scheme based on Langevin dynamics that is applicable within pseudo-marginal and particle Markov chain Monte Carlo algorithms. We investigate this algorithm's theoretical properties under standard…
In many classification problems it is desirable to output well-calibrated probabilities on the different classes. We propose a robust, non-parametric method of calibrating probabilities called SplineCalib that utilizes smoothing splines to…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…
Langevin algorithms are popular Markov chain Monte Carlo methods that are often used to solve high-dimensional large-scale sampling problems in machine learning. The most classical Langevin Monte Carlo algorithm is based on the overdamped…
Calculating the inverse kinematics (IK) is a fundamental challenge in robotics. Compared to numerical or learning-based approaches, analytical IK provides higher efficiency and accuracy. However, existing analytical approaches are difficult…
Recovering the digital input of a time-discrete linear system from its (noisy) output is a significant challenge in the fields of data transmission, deconvolution, channel equalization, and inverse modeling. A variety of algorithms have…
Inverse reinforcement learning aims to infer the reward function that explains expert behavior observed through trajectories of state--action pairs. A long-standing difficulty in classical IRL is the non-uniqueness of the recovered reward:…
Langevin Dynamics has been extensively employed in global non-convex optimization due to the concentration of its stationary distribution around the global minimum of the potential function at low temperatures. In this paper, we propose to…
Probability density functions form a specific class of functional data objects with intrinsic properties of scale invariance and relative scale characterized by the unit integral constraint. The Bayes spaces methodology respects their…
Sampling is a fundamental and arguably very important task with numerous applications in Machine Learning. One approach to sample from a high dimensional distribution $e^{-f}$ for some function $f$ is the Langevin Algorithm (LA). Recently,…
Inverse problems occur in a variety of parameter identification tasks in engineering. Such problems are challenging in practice, as they require repeated evaluation of computationally expensive forward models. We introduce a unifying…
We consider the problem of estimating the inverse covariance matrix by maximizing the likelihood function with a penalty added to encourage the sparsity of the resulting matrix. We propose a new approach based on the split Bregman method to…
The complex Langevin method, a numerical method used to compute the ensemble average with a complex partition function, often suffers from runaway instability. We study the regularization of the complex Langevin method via augmenting the…