Related papers: On Moment Matching for Stochastic Systems

Optimization is an important module of modern machine learning applications. Tremendous efforts have been made to accelerate optimization algorithms. A common formulation is achieving a lower loss at a given time. This enables a…

We explore situations in which certain stochastic and high-dimensional deterministic systems behave effectively as low-dimensional dynamical systems. We define and study moment maps, maps on spaces of low-order moments of evolving…

We present an adaptation of two recent low-rank approximation technique proposed for first-order model reduction systems to the second-order systems. The resulting reduced order models are guaranteed to keep the second order structure which…

To close the moment model deduced from kinetic equations, the canonical approach is to provide an approximation to the flux function not able to be depicted by the moments in the reduced model. In this paper, we propose a brand new closure…

We propose a method to reduce the computational effort to solve a partial differential equation on a given domain. The main idea is to split the domain of interest in two subdomains, and to use different approximation methods in each of the…

We study stochastic second-order methods for solving general non-convex optimization problems. We propose using a special version of momentum to stabilize the stochastic gradient and Hessian estimates in Newton's method. We show that…

We introduce a real-time identification method for discrete-time state-dependent switching systems in both the input--output and state-space domains. In particular, we design a system of adaptive algorithms running in two timescales; a…

The execution time of programs is a key element in many areas of computer science, mainly those where achieving good performance (e.g., scheduling in cloud computing) or a predictable one (e.g., meeting deadlines in embedded systems) is the…

Models of complex systems often consist of multiple interconnected subsystem/component models that are developed by multi-disciplinary teams of engineers or scientists. To ensure that such interconnected models can be applied for the…

We consider the problem of computing first-passage time distributions for reaction processes modelled by master equations. We show that this generally intractable class of problems is equivalent to a sequential Bayesian inference problem…

Phase type (PH) distributions are widely used in modeling and simulation due to their generality and analytical properties. In such settings, it is often necessary to construct a PH distribution that aligns with real-world data by matching…

In the classical stochastic resetting problem, a particle, moving according to some stochastic dynamics, undergoes random interruptions that bring it to a selected domain, and then, the process recommences. Hitherto, the resetting mechanism…

We consider the model reduction problem for linear time-invariant dynamical systems having nonzero (but otherwise indeterminate) initial conditions. Building upon the observation that the full system response is decomposable as a…

In scheduling problems, deterministic task durations are often assumed. This usually does not capture reality and may lead to schedules that are not robust to (small) changes to these task lengths. The use of stochastic task durations…

We consider joint optimization and learning problems arising in real-time decision systems. While most existing work focuses primarily on convex, revenue-based objectives, we extend this line of research to multi-objective formulations. In…

In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…

Gradient descent-based optimization methods underpin the parameter training of neural networks, and hence comprise a significant component in the impressive test results found in a number of applications. Introducing stochasticity is key to…

In this paper we propose a stochastic model predictive control (MPC) algorithm for linear discrete-time systems affected by possibly unbounded additive disturbances and subject to probabilistic constraints. Constraints are treated in…

A general method for accelerating fixed point schemes for problems related to partial differential equations is presented in this article. The speedup is obtained by training a reduced-order model on-the-fly, removing the need to do an…

This paper is an attempt to remedy the problem of slow convergence for first-order numerical algorithms by proposing an adaptive conditioning heuristic. First, we propose a parallelizable numerical algorithm that is capable of solving…