Related papers: Sample Complexity of Data-Driven Stochastic LQR wi…

This paper studies the robustness of reinforcement learning algorithms to errors in the learning process. Specifically, we revisit the benchmark problem of discrete-time linear quadratic regulation (LQR) and study the long-standing open…

We consider an unconstrained continuous optimization problem where, in each iteration, gradient estimates may be arbitrarily corrupted with a probability greater than 1/2. Additionally, function value estimates may exhibit heavy-tailed…

This paper focuses on the linear quadratic control (LQC) design of systems corrupted by both stochastic noise and bounded noise simultaneously. When only of these noises are considered, the LQC strategy leads to stochastic or robust…

The Error-in-Variables model of system identification/control involves nontrivial input and measurement corruption of observed data, resulting in generically nonconvex optimization problems. This paper performs full-state-feedback…

This paper presents a robust fixed lag smoother for a class of nonlinear uncertain systems. A unified scheme, which combines a nonlinear robust estimator with a stable fixed lag smoother, is presented to improve the error covariance of the…

We consider the problem of estimating the covariance matrix of a random signal observed through unknown translations (modeled by cyclic shifts) and corrupted by noise. Solving this problem allows to discover low-rank structures masked by…

We study the sample complexity of stochastic convex optimization when problem parameters, e.g., the distance to optimality, are unknown. We pursue two strategies. First, we develop a reliable model selection method that avoids overfitting…

We consider the problem of estimating how well a model class is capable of fitting a distribution of labeled data. We show that it is often possible to accurately estimate this "learnability" even when given an amount of data that is too…

We propose a sequential quadratic programming (SQP) algorithm for inequality constrained optimization that is robust to the presence of bounded noise in function and derivative evaluations. We cover the case where constraint evaluations…

In recent years, there is a growing need for processing methods aimed at extracting useful information from large datasets. In many cases the challenge is to discover a low-dimensional structure in the data, often concealed by the existence…

This paper discusses a methodology for determining a functional representation of a random process from a collection of scattered pointwise samples. The present work specifically focuses onto random quantities lying in a high dimensional…

In this paper, the problem of determining the number of signal sources impinging on an array of sensors and estimating their directions-of-arrival (DOAs) in the presence of spatially white nonuniform noise is considered. It is known that,…

This paper presents a novel model-free and fully data-driven policy iteration scheme for quadratic regulation of linear dynamics with state- and input-multiplicative noise. The implementation is similar to the least-squares temporal…

One of the major challenges in multivariate analysis is the estimation of population covariance matrix from sample covariance matrix (SCM). Most recent covariance matrix estimators use either shrinkage transformations or asymptotic results…

We introduce a new problem setting for continuous control called the LQR with Rich Observations, or RichLQR. In our setting, the environment is summarized by a low-dimensional continuous latent state with linear dynamics and quadratic…

The principal task to control dynamical systems is to ensure their stability. When the system is unknown, robust approaches are promising since they aim to stabilize a large set of plausible systems simultaneously. We study linear…

This paper considers a class of reinforcement learning problems, which involve systems with two types of states: stochastic and pseudo-stochastic. In such systems, stochastic states follow a stochastic transition kernel while the…

In this paper, we consider a statistical problem of learning a linear model from noisy samples. Existing work has focused on approximating the least squares solution by using leverage-based scores as an importance sampling distribution.…

The past decade has seen a revived interest in the unavoidable or intrinsic noise in biochemical and genetic networks arising from the finite copy number of the participating species. That is, rather than modeling regulatory networks in…

In this paper, we consider the problem of testing equality of the covariance matrices of L complex Gaussian multivariate time series of dimension $M$ . We study the special case where each of the L covariance matrices is modeled as a rank K…