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We consider ordinary differential equations (ODEs) which involve expectations of a random variable. These ODEs are special cases of McKean-Vlasov stochastic differential equations (SDEs). A plain vanilla Monte Carlo approximation method for…
We study the convergence of the Left-Right splitting method (equivalent in key respects to the Method of Multiple Ordered Interactions and Forward-Backward method) for wave scattering by rough surfaces. This is an operator series method…
A power system unit commitment (UC) problem considering uncertainties of renewable energy sources is investigated in this paper, through a distributionally robust optimization approach. We assume that the first and second order moments of…
Convergence analysis is a fundamental research topic in evolutionary computation (EC). The commonly used analysis method models the EC algorithm as a homogeneous Markov chain for analysis, which is not always suitable for different EC…
Delayed target response in synthetic aperture radar (SAR) imaging can be obscured by the range-delay ambiguity and speckle. To analyze the range-delay ambiguity, one extends the standard SAR formulation and allows both the target…
We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs sequential martingale control variates along a sequence of…
A general and easy-to-code numerical method based on radial basis functions (RBFs) collocation is proposed for the solution of delay differential equations (DDEs). It relies on the interpolation properties of infinitely smooth RBFs, which…
In this work, we consider the low rank decomposition (SDPR) of general convex semidefinite programming problems (SDP) that contain both a positive semidefinite matrix and a nonnegative vector as variables. We develop a rank-support-adaptive…
We analyze the recent Multi-index Stochastic Collocation (MISC) method for computing statistics of the solution of a partial differential equation (PDEs) with random data, where the random coefficient is parametrized by means of a countable…
We propose a new method based on sparse optimal discriminant clustering (SODC), incorporating a penalty term into the scoring matrix based on convex clustering. With the addition of this penalty term, it is expected to improve the accuracy…
A new, improved split-step backward Euler (SSBE) method is introduced and analyzed for stochastic differential delay equations(SDDEs) with generic variable delay. The method is proved to be convergent in mean-square sense under conditions…
In this paper, we introduce two new methods of mitigating decoder error propagation for low-latency sliding window decoding (SWD) of spatially coupled low density parity check (SC-LDPC) codes. Building on the recently introduced idea of…
Distributed stochastic gradient descent (SGD) has attracted considerable recent attention due to its potential for scaling computational resources, reducing training time, and helping protect user privacy in machine learning. However, the…
Stochastic Gradient Descent (SGD) has become popular for solving large scale supervised machine learning optimization problems such as SVM, due to their strong theoretical guarantees. While the closely related Dual Coordinate Ascent (DCA)…
Sample average approximation--based stochastic dynamic programming (SDP) and model predictive control (MPC) are two different methods for approaching multistage stochastic optimization. In this paper we investigate the conditions under…
We analyze (stochastic) gradient descent (SGD) with delayed updates on smooth quasi-convex and non-convex functions and derive concise, non-asymptotic, convergence rates. We show that the rate of convergence in all cases consists of two…
The difference-of-convex algorithm (DCA) and its variants are the most popular methods to solve the difference-of-convex optimization problem. Each iteration of them is reduced to a convex optimization problem, which generally needs to be…
Benders decomposition is widely used to solve large mixed-integer problems. This paper takes advantage of machine learning and proposes enhanced variants of Benders decomposition for solving two-stage stochastic security-constrained unit…
We study stochastic gradient descent (SGD) for composite optimization problems with $N$ sequential operators subject to perturbations in both the forward and backward passes. Unlike classical analyses that treat gradient noise as additive…
Symmetric multilevel diversity coding (SMDC) is a source coding problem where the independent sources are ordered according to their importance. It was shown that separately encoding independent sources (referred to as…