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We introduce the first probabilistic framework tailored for sequential random projection, an approach rooted in the challenges of sequential decision-making under uncertainty. The analysis is complicated by the sequential dependence and…
Piecewise-deterministic Markov processes (PDMPs) offer a powerful stochastic modeling framework that combines deterministic trajectories with random perturbations at random times. Estimating their local characteristics (particularly the…
This paper introduces an open-ended sequential algorithm for computing the p-value of a test using Monte Carlo simulation. It guarantees that the resampling risk, the probability of a different decision than the one based on the theoretical…
Process monitoring and control requires detection of structural changes in a data stream in real time. This article introduces an efficient sequential Monte Carlo algorithm designed for learning unknown changepoints in continuous time. The…
In non-linear estimations, it is common to assess sampling uncertainty by bootstrap inference. For complex models, this can be computationally intensive. This paper combines optimization with resampling: turning stochastic optimization into…
In this paper, we study the convergence properties of an iterative algorithm for fast nonlinear model predictive control of quasi-linear parameter-varying systems without inequality constraints. Compared to previous works considering this…
We provide a new method to approximate a (possibly discontinuous) function using Christoffel-Darboux kernels. Our knowledge about the unknown multivariate function is in terms of finitely many moments of the Young measure supported on the…
We investigate optimal subsampling for quantile regression. We derive the asymptotic distribution of a general subsampling estimator and then derive two versions of optimal subsampling probabilities. One version minimizes the trace of the…
We present a sequential Monte Carlo sampler variant of the partial rejection control algorithm, and show that this variant can be considered as a sequential Monte Carlo sampler with a modified mutation kernel. We prove that the new sampler…
Non linear regression models are a standard tool for modeling real phenomena, with several applications in machine learning, ecology, econometry... Estimating the parameters of the model has garnered a lot of attention during many years. We…
A distributed average consensus algorithm robust to a wide range of impulsive channel noise distributions is proposed. This work is the first of its kind in the literature to propose a consensus algorithm which relaxes the requirement of…
In this paper, we present a framework for online parameter estimation and uncertainty quantification in the context of adaptive safety-critical control. The key insight enabling our approach is that the parameter estimate generated by the…
This article investigates discrete-time approximations of stochastic integrals driven by semimartingales with jumps via weighted bounded mean oscillation (BMO) approach. This approach enables $L_p$-estimates, $p \in (2, \infty)$, for the…
This paper presents a pre-processing and a distance which improve the performance of machine learning algorithms working on independent and identically distributed stochastic processes. We introduce a novel non-parametric approach to…
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
This paper unifies the design and the analysis of risk-averse Thompson sampling algorithms for the multi-armed bandit problem for a class of risk functionals $\rho$ that are continuous and dominant. We prove generalised concentration bounds…
This paper provides a convergence analysis for generalized Hamiltonian Monte Carlo samplers, a family of Markov Chain Monte Carlo methods based on leapfrog integration of Hamiltonian dynamics and kinetic Langevin diffusion, that encompasses…
Quantile regression is a statistical method for estimating conditional quantiles of a response variable. In addition, for mean estimation, it is well known that quantile regression is more robust to outliers than $l_2$-based methods. By…
We give asymptotic formulae for random matrix averages of derivatives of characteristic polynomials over the groups USp(2N), SO(2N) and O^-(2N). These averages are used to predict the asymptotic formulae for moments of derivatives of…
This work unifies the analysis of various randomized methods for solving linear and nonlinear inverse problems by framing the problem in a stochastic optimization setting. By doing so, we show that many randomized methods are variants of a…