Related papers: Certifiable Deep Importance Sampling for Rare-Even…

Black-box policy optimization is a class of reinforcement learning algorithms that explores and updates the policies at the parameter level. This class of algorithms is widely applied in robotics with movement primitives or…

This work explores the nature of augmented importance sampling in safety-constrained model predictive control problems. When operating in a constrained environment, sampling based model predictive control and motion planning typically…

This paper considers the classical problem of sampling with Monte Carlo methods a target rare event distribution defined by a score function that is very expensive to compute. We assume we can build using evaluations of the true score, an…

Despite empirical risk minimization (ERM) is widely applied in the machine learning community, its performance is limited on data with spurious correlation or subpopulation that is introduced by hidden attributes. Existing literature…

Chance-constrained optimization is a suitable modeling framework for safety-critical applications where violating constraints is nearly unacceptable. The scenario approach is a popular solution method for these problems, due to its…

Rare event probability estimation is an important topic in reliability analysis. Stochastic methods, such as importance sampling, have been developed to estimate such probabilities but they often fail in high dimension. In this paper, we…

Sound event detection is a challenging task, especially for scenes with multiple simultaneous events. While event classification methods tend to be fairly accurate, event localization presents additional challenges, especially when large…

The rare-event sampling problem has long been the central limiting factor in molecular dynamics (MD), especially in biomolecular simulation. Recently, diffusion models such as BioEmu have emerged as powerful equilibrium samplers that…

For rare events described in terms of Markov processes, truly unbiased estimation of the rare event probability generally requires the avoidance of numerical approximations of the Markov process. Recent work in the exact and…

Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applications. Despite its effectiveness, the performance of IS is…

Validating safety-critical autonomous systems in high-dimensional domains such as robotics presents a significant challenge. Existing black-box approaches based on Markov chain Monte Carlo may require an enormous number of samples, while…

A discrete-event simulation (DES) involves the execution of a sequence of event handlers dynamically scheduled at runtime. As a consequence, a priori knowledge of the control flow of the overall simulation program is limited. In particular,…

The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an…

Importance sampling has been successfully used to accelerate stochastic optimization in many convex problems. However, the lack of an efficient way to calculate the importance still hinders its application to Deep Learning. In this paper,…

Black-box optimization is often encountered for decision-making in complex systems management, where the knowledge of system is limited. Under these circumstances, it is essential to balance the utilization of new information with…

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,…

An exciting recent development is the uptake of deep neural networks in many scientific fields, where the main objective is outcome prediction with the black-box nature. Significance testing is promising to address the black-box issue and…

By their very nature, rare event probabilities are expensive to compute; they are also delicate to estimate as their value strongly depends on distributional assumptions on the model parameters. Hence, understanding the sensitivity of the…

Evaluating rare-event forecasts is challenging because standard metrics collapse as event prevalence declines. Measures such as F1-score, AUPRC, MCC, and accuracy induce degenerate thresholds -- converging to zero or one -- and their values…

Monitoring the performance of classification models in production is critical yet challenging due to strict labeling budgets, one-shot batch acquisition of labels and extremely low error rates. We propose a general framework based on…