Related papers: On the Simulation of Polynomial NARMAX Models
Zeroth-order optimization methods are developed to overcome the practical hurdle of having knowledge of explicit derivatives. Instead, these schemes work with merely access to noisy functions evaluations. One of the predominant approaches…
In this paper, we analyze the convergence %semi-convergence properties of projected non-stationary block iterative methods (P-BIM) aiming to find a constrained solution to large linear, usually both noisy and ill-conditioned, systems of…
Projection-based model reduction has become a popular approach to reduce the cost associated with integrating large-scale dynamical systems so they can be used in many-query settings such as optimization and uncertainty quantification. For…
We study how to safely control nonlinear control-affine systems that are corrupted with bounded non-stochastic noise, i.e., noise that is unknown a priori and that is not necessarily governed by a stochastic model. We focus on safety…
Filtering and smoothing algorithms for linear discrete-time state-space models with skewed and heavy-tailed measurement noise are presented. The algorithms use a variational Bayes approximation of the posterior distribution of models that…
We develop an optimization-based algorithm for parametric model order reduction (PMOR) of linear time-invariant dynamical systems. Our method aims at minimizing the $\mathcal{H}_\infty \otimes \mathcal{L}_\infty$ approximation error in the…
The application of polynomial chaos expansions (PCEs) to the propagation of uncertainties in stochastic dynamical models is well-known to face challenging issues. The accuracy of PCEs degenerates quickly in time. Thus maintaining a…
In a typical optimization problem, the task is to pick one of a number of options with the lowest cost or the highest value. In practice, these cost/value quantities often come through processes such as measurement or machine learning,…
Nonnegative matrix factorization (NMF) has been shown to be identifiable under the separability assumption, under which all the columns(or rows) of the input data matrix belong to the convex cone generated by only a few of these columns(or…
This technical note considers the identification of nonlinear discrete-time systems with additive process noise but without measurement noise. In particular, we propose a method and its associated algorithm to identify the system nonlinear…
We pose the approximation problem for scalar nonnegative input-output systems via impulse response convolutions of finite order, i.e. finite order moving averages, based on repeated observations of input/output signal pairs. The problem is…
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
Stochastic simulators are ubiquitous in many fields of applied sciences and engineering. In the context of uncertainty quantification and optimization, a large number of simulations is usually necessary, which becomes intractable for…
This paper introduces a simulation preorder among lifted systems, a generalization of finite-dimensional Koopman approximations (also known as approximate immersions) to systems with inputs. It is proved that this simulation relation…
The objective function of a matrix factorization model usually aims to minimize the average of a regression error contributed by each element. However, given the existence of stochastic noises, the implicit deviations of sample data from…
We propose a stochastic representation for a simple class of transport PDEs based on Ito representations. We detail an algorithm using an estimator stemming for the representation that, unlike regularization by noise estimators, is…
This work proposes a machine-learning framework for constructing statistical models of errors incurred by approximate solutions to parameterized systems of nonlinear equations. These approximate solutions may arise from early termination of…
In this paper we analyze a zeroth-order proximal stochastic gradient method suitable for the minimization of weakly convex stochastic optimization problems. We consider nonsmooth and nonlinear stochastic composite problems, for which…
Inverse optimization refers to the inference of unknown parameters of an optimization problem based on knowledge of its optimal solutions. This paper considers inverse optimization in the setting where measurements of the optimal solutions…