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Expectation-Maximization (EM) algorithm is a widely used iterative algorithm for computing (local) maximum likelihood estimate (MLE). It can be used in an extensive range of problems, including the clustering of data based on the Gaussian…
This paper investigates the stochastic program with the chance constraint on a quadratic form of random variables following multivariate Gaussian mixture distribution (GMD). Under some mild conditions, it is proved that the asymptotic…
Graphs are commonly used to model various complex systems, including social networks, power grids, transportation networks, and biological systems. In many applications, the connectivity of these networks can be expressed through the Mean…
Tensor train decomposition is a powerful tool for dealing with high-dimensional, large-scale tensor data, which is not suffering from the curse of dimensionality. To accelerate the calculation of the auxiliary unfolding matrix, some…
In this paper, we focus on developing randomized algorithms for the computation of low multilinear rank approximations of tensors based on the random projection and the singular value decomposition. Following the theory of the singular…
This paper presents a simple algorithm to check whether reachability probabilities in parametric Markov chains are monotonic in (some of) the parameters. The idea is to construct - only using the graph structure of the Markov chain and…
We present a novel approach to detecting and utilizing symmetries in probabilistic graphical models with two main contributions. First, we present a scalable approach to computing generating sets of permutation groups representing the…
We present a novel approach to detecting and utilizing symmetries in probabilistic graphical models with two main contributions. First, we present a scalable approach to computing generating sets of permutation groups representing the…
This paper presents a novel natural gradient and Hessian-free (NGHF) optimisation framework for neural network training that can operate efficiently in a distributed manner. It relies on the linear conjugate gradient (CG) algorithm to…
We present a fast randomized algorithm that computes a low rank LU decomposition. Our algorithm uses random projections type techniques to efficiently compute a low rank approximation of large matrices. The randomized LU algorithm can be…
In this paper, we consider a model reduction technique for stabilizable and detectable stochastic systems. It is based on a pair of Gramians that we analyze in terms of well-posedness. Subsequently, dominant subspaces of the stochastic…
Randomized numerical linear algebra is proved to bridge theoretical advancements to offer scalable solutions for approximating tensor decomposition. This paper introduces fast randomized algorithms for solving the fixed Tucker-rank problem…
We study the computation of Gaussian orthant probabilities, i.e. the probability that a Gaussian falls inside a quadrant. The Geweke-Hajivassiliou-Keane (GHK) algorithm [Genz, 1992; Geweke, 1991; Hajivassiliou et al., 1996; Keane, 1993], is…
Infinite Hidden Markov Models (iHMM's) are an attractive, nonparametric generalization of the classical Hidden Markov Model which can automatically infer the number of hidden states in the system. However, due to the infinite-dimensional…
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. In these models the uncertainties are…
The preparation of the stationary distribution of irreducible, time-reversible Markov chains is a fundamental building block in many heuristic approaches to algorithmically hard problems. It has been conjectured that quantum analogs of…
In this paper we describe a parallel Gaussian elimination algorithm for matrices with entries in a finite field. Unlike previous approaches, our algorithm subdivides a very large input matrix into smaller submatrices by subdividing both…
We deal with the estimation of the regime number in a linear Gaussian autoregressive process with a Markov regime (AR-MR). The problem of estimating the number of regimes in this type of series is that of determining the number of states in…
A spectral sparsifier of a graph $G$ is a sparser graph $H$ that approximately preserves the quadratic form of $G$, i.e. for all vectors $x$, $x^T L_G x \approx x^T L_H x$, where $L_G$ and $L_H$ denote the respective graph Laplacians.…
We present an optimization-based formulation of the Red Light Green Light (RLGL) algorithm for computing stationary distributions of large Markov chains. This perspective clarifies the algorithm's behavior, establishes exponential…