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A new likelihood based AR approximation is given for ARMA models. The usual algorithms for the computation of the likelihood of an ARMA model require $O(n)$ flops per function evaluation. Using our new approximation, an algorithm is…
Progressive Hedging is a popular decomposition algorithm for solving multi-stage stochastic optimization problems. A computational bottleneck of this algorithm is that all scenario subproblems have to be solved at each iteration. In this…
Over the past few decades, the Hawkes process has become a popular framework for modeling temporal events thanks to its flexibility to capture different dependency structures. The objective of this work is to model call sequences emitted by…
We develop a family of accelerated stochastic algorithms that minimize sums of convex functions. Our algorithms improve upon the fastest running time for empirical risk minimization (ERM), and in particular linear least-squares regression,…
Multivariate Hawkes processes (MHPs) are versatile probabilistic tools used to model various real-life phenomena: earthquakes, operations on stock markets, neuronal activity, virus propagation and many others. In this paper, we focus on…
The maximum likelihood estimator (MLE) is pivotal in statistical inference, yet its application is often hindered by the absence of closed-form solutions for many models. This poses challenges in real-time computation scenarios,…
We propose an effective method to solve the event sequence clustering problems based on a novel Dirichlet mixture model of a special but significant type of point processes --- Hawkes process. In this model, each event sequence belonging to…
We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40.…
A cornerstone of numerical homogenization is the equivalence of the microscopic and the macroscopic energy densities, which is referred to as Hill-Mandel condition. Among these coupling conditions, the cases of periodic, linear displacement…
Histogram-based empirical Bayes methods developed for analyzing data for large numbers of genes, SNPs, or other biological features tend to have large biases when applied to data with a smaller number of features such as genes with…
We consider the learning of multi-agent Hawkes processes, a model containing multiple Hawkes processes with shared endogenous impact functions and different exogenous intensities. In the framework of stochastic maximum likelihood…
Auto-regressive sequence generative models trained by Maximum Likelihood Estimation suffer the exposure bias problem in practical finite sample scenarios. The crux is that the number of training samples for Maximum Likelihood Estimation is…
Homomorphic Encryption (HE) is a set of powerful properties of certain cryptosystems that allow for privacy-preserving operation over the encrypted text. Still, HE is not widespread due to limitations in terms of efficiency and usability.…
Gaussian Process (GPs) models are a rich distribution over functions with inductive biases controlled by a kernel function. Learning occurs through the optimisation of kernel hyperparameters using the marginal likelihood as the objective.…
Most Probable Explanation (MPE) inference in Probabilistic Graphical Models (PGMs) is a fundamental yet computationally challenging problem arising in domains such as diagnosis, planning, and structured prediction. In many practical…
Combining discrete probability distributions and combinatorial optimization problems with neural network components has numerous applications but poses several challenges. We propose Implicit Maximum Likelihood Estimation (I-MLE), a…
In this paper we study the computation of the nonparametric maximum likelihood estimator (NPMLE) in multivariate mixture models. Our first approach discretizes this infinite dimensional convex optimization problem by fixing the support…
As the maximum likelihood method is the most commonly used method for parameters estimation being unbiased, consistent, efficient, and asymptotically normal, MLE is used to fit the new distribution (MBUW). But in small to moderate sample…
In this paper, we propose a novel Gaussian process-based moving horizon estimation (MHE) framework for unknown nonlinear systems. On the one hand, we approximate the system dynamics by the posterior means of the learned Gaussian processes…
Despite the extent of recent advances in Machine Learning (ML) and Neural Networks, providing formal guarantees on the behavior of these systems is still an open problem, and a crucial requirement for their adoption in regulated or…