Related papers: A Robust Unscented Transformation for Uncertain Mo…

In order to process a potential moment sequence by the entropy optimization method one has to be assured that the original measure is absolutely continuous with respect to Lebesgue measure. We propose a non-linear exponential transform of…

In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value distributions. This method-of-moment technique can be applied…

We propose and implement an approach to inference in linear instrumental variables models which is simultaneously robust and computationally tractable. Inference is based on self-normalization of sample moment conditions, and allows for…

The growing uncertainty from renewable power and electricity demand brings significant challenges to unit commitment (UC). While various advanced forecasting and optimization methods have been developed to predict better and address this…

In this work, we discuss the problem of approximating a multivariate function by discrete least squares projection onto a polynomial space using a specially designed deterministic point set. The independent variables of the function are…

Finite mixtures of regression models provide a flexible modeling framework for many phenomena. Using moment-based estimation of the regression parameters, we develop unbiased estimators with a minimum of assumptions on the mixture…

We propose two robust methods for testing hypotheses on unknown parameters of predictive regression models under heterogeneous and persistent volatility as well as endogenous, persistent and/or fat-tailed regressors and errors. The proposed…

The paper algorithmizes the problem of regime change point identification for data measured in a system exhibiting impulsive behaviors. This is a fundamental challenge for annotation of measurement data relevant, e.g., for designing…

This paper is concerned with moving mesh finite difference solution of partial differential equations. It is known that mesh movement introduces an extra convection term and its numerical treatment has a significant impact on the stability…

Mixture modeling is a general technique for making any simple model more expressive through weighted combination. This generality and simplicity in part explains the success of the Expectation Maximization (EM) algorithm, in which updates…

Solving the population balance equation (PBE) for the dynamics of a dispersed phase coupled to a continuous fluid is expensive. Still, one can reduce the cost by representing the evolving particle density function in terms of its moments.…

The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversarial distribution of uncertain parameters. In this paper, we…

We propose a learning-based robust predictive control algorithm that compensates for significant uncertainty in the dynamics for a class of discrete-time systems that are nominally linear with an additive nonlinear component. Such systems…

Constructing uncertainty sets as unions of multiple subsets has emerged as an effective approach for creating compact and flexible uncertainty representations in data-driven robust optimization (RO). This paper focuses on two separate…

Gamma uncertainty sets have been introduced for adjusting the degree of conservatism of robust counterparts of (discrete) linear programs. The contribution of this paper is a generalization of this approach to (mixed integer) nonlinear…

We investigate the increase in efficiency of simulated and parallel tempering MCMC algorithms when using non-reversible updates to give them "momentum". By making a connection to a certain simple discrete Markov chain, we show that, under…

In this paper, we study change-point testing for high-dimensional linear models, an important problem that has not been well explored in the literature. Specifically, we propose a quadratic-form cumulative sum (CUSUM) statistic to test the…

A mixture with varying concentrations is a modification of a finite mixture model in which the mixing probabilities (concentrations of mixture components) may be different for different observations. In the paper, we assume that the…

The development of finite/fixed-time stable optimization algorithms typically involves study of specific problem instances. The lack of a unified framework hinders understanding of more sophisticated algorithms, e.g., primal-dual gradient…

Stiff and chaotic differential equations are challenging for time-stepping numerical methods. For explicit methods, the required time step resolution significantly exceeds the resolution associated with the smoothness of the exact solution…