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We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly…
While distributed training is often viewed as a solution to optimizing linear models on increasingly large datasets, inter-machine communication costs of popular distributed approaches can dominate as data dimensionality increases. Recent…
Variational wave function ansatze are an invaluable tool to study the properties of strongly correlated systems. We propose such a wave function, based on the theory of auxiliary fields and combining aspects of auxiliary-field quantum Monte…
We consider $L^2$-approximation on weighted reproducing kernel Hilbert spaces of functions depending on infinitely many variables. We focus on unrestricted linear information, admitting evaluations of arbitrary continuous linear…
Dimension reduction is often an important step in the analysis of high-dimensional data. PCA is a popular technique to find the best low-dimensional approximation of high-dimensional data. However, classical PCA is very sensitive to…
Distributed optimization problems have received much attention due to their privacy preservation, parallel computation, less communication, and strong robustness. This paper presents and studies the time-varying distributed optimization…
Least squares Monte Carlo methods are a popular numerical approximation method for solving stochastic control problems. Based on dynamic programming, their key feature is the approximation of the conditional expectation of future rewards by…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
Optimization problems with the objective function in the form of weighted sum and linear equality constraints are considered. Given that the number of local cost functions can be large as well as the number of constraints, a stochastic…
We present novel algorithms for simulation optimization using random directions stochastic approximation (RDSA). These include first-order (gradient) as well as second-order (Newton) schemes. We incorporate both continuous-valued as well as…
Rational approximation appears in many contexts throughout science and engineering, playing a central role in linear systems theory, special function approximation, and many others. There are many existing methods for solving the rational…
Regression evaluation has been performed for decades. Some metrics have been identified to be robust against shifting and scaling of the data but considering the different distributions of data is much more difficult to address (imbalance…
This paper investigates the use of stratified sampling as a variance reduction technique for approximating integrals over large dimensional spaces. The accuracy of this method critically depends on the choice of the space partition, the…
Isotonic regression is a shape-constrained nonparametric regression in which the regression is an increasing step function. For $n$ data points, the number of steps in the isotonic regression may be as large as $n$. As a result, standard…
From an operational and planning perspective, it is important to quantify the impact of increasing penetration of photovoltaics on the distribution system. Most existing impact assessment studies are scenario-based where derived results are…
We introduce a class of algorithms, termed proximal interacting particle Langevin algorithms (PIPLA), for inference and learning in latent variable models whose joint probability density is non-differentiable. Leveraging proximal Markov…
This paper extends the application of the stochastic variational method to noncentral interactions. Several examples are presented for three- and four-nucleon systems with realistic nuclear forces. The correlated Gaussians easily cope with…
This paper investigates and evaluates support vector machine active learning algorithms for use with imbalanced datasets, which commonly arise in many applications such as information extraction applications. Algorithms based on…
Online nonparametric estimators are gaining popularity due to their efficient computation and competitive generalization abilities. An important example includes variants of stochastic gradient descent. These algorithms often take one…
Particle tracking velocimetry (PTV) is widely used to measure time-resolved, three-dimensional velocity and pressure fields in fluid dynamics research. Inaccurate localization and tracking of particles is a key source of error in PTV,…