Related papers: GenDICE: Generalized Offline Estimation of Station…
Reverse Monte Carlo (RMC) is an algorithm that incorporates stochastic modification of the action as part of the process that updates the fields in a Monte Carlo simulation. Such update moves have the potential of lowering or eliminating…
There is a lack of simple and scalable algorithms for uncertainty quantification. Bayesian methods quantify uncertainty through posterior and predictive distributions, but it is difficult to rapidly estimate summaries of these…
Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…
We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regularised objective function, referred to as generalised speed…
Neural Stochastic Differential Equations (NSDEs) model the drift and diffusion functions of a stochastic process as neural networks. While NSDEs are known to make accurate predictions, their uncertainty quantification properties have been…
Offline Reinforcement Learning (RL) is an emerging field of RL in which policies are learned solely from demonstrations. Within offline RL, some environments involve balancing multiple objectives, but existing multi-objective offline RL…
In reinforcement learning an agent interacts with the environment by taking actions and observing the next state and reward. When sampled probabilistically, these state transitions, rewards, and actions can all induce randomness in the…
Model predictive control (MPC) schemes have a proven track record for delivering aggressive and robust performance in many challenging control tasks, coping with nonlinear system dynamics, constraints, and observational noise. Despite their…
Offline reinforcement learning (RL) learns policies from fixed datasets without online interactions, but suffers from distribution shift, causing inaccurate evaluation and overestimation of out-of-distribution (OOD) actions. Existing…
We consider the problem of optimising the expected value of a loss functional over a nonlinear model class of functions, assuming that we have only access to realisations of the gradient of the loss. This is a classical task in statistics,…
We propose a novel analysis of the Decentralized Stochastic Gradient Descent (DSGD) algorithm with constant step size, interpreting the iterates of the algorithm as a Markov chain. We show that DSGD converges to a stationary distribution,…
There has been substantial interest in developing Markov chain Monte Carlo algorithms based on piecewise-deterministic Markov processes. However existing algorithms can only be used if the target distribution of interest is differentiable…
We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Markov processes in discrete time as a generalized statistical…
Modeling and simulating movement of vehicles in established transportation infrastructures, especially in large urban road networks is an important task. It helps with understanding and handling traffic problems, optimizing traffic…
The Robust Regularized Markov Decision Process (RRMDP) is proposed to learn policies robust to dynamics shifts by adding regularization to the transition dynamics in the value function. Existing methods mostly use unstructured…
Many large scale problems in computational fluid dynamics such as uncertainty quantification, Bayesian inversion, data assimilation and PDE constrained optimization are considered very challenging computationally as they require a large…
We consider the problem of distributed mean estimation (DME), in which $n$ machines are each given a local $d$-dimensional vector $x_v \in \mathbb{R}^d$, and must cooperate to estimate the mean of their inputs $\mu = \frac 1n\sum_{v = 1}^n…
Online learning has become crucial to many problems in machine learning. As more data is collected sequentially, quickly adapting to changes in the data distribution can offer several competitive advantages such as avoiding loss of prior…
The basic problem in equilibrium statistical mechanics is to compute phase space average, in which Monte Carlo method plays a very important role. We begin with a review of nonlocal algorithms for Markov chain Monte Carlo simulation in…
Most reinforcement learning practitioners evaluate their policies with online Monte Carlo estimators for either hyperparameter tuning or testing different algorithmic design choices, where the policy is repeatedly executed in the…