Related papers: Deep BSDE-ML Learning and Its Application to Model…

Manifold learning (ML) aims to seek low-dimensional embedding from high-dimensional data. The problem is challenging on real-world datasets, especially with under-sampling data, and we find that previous methods perform poorly in this case.…

We tackle the general differentiable meta learning problem that is ubiquitous in modern deep learning, including hyperparameter optimization, loss function learning, few-shot learning, invariance learning and more. These problems are often…

A new formulation of Stochastic Model Predictive Output Feedback Control is presented and analyzed as a translation of Stochastic Optimal Output Feedback Control into a receding horizon setting. This requires lifting the design into a…

Deep Feedback Models (DFMs) are a new class of stateful neural networks that combine bottom up input with high level representations over time. This feedback mechanism introduces dynamics into otherwise static architectures, enabling DFMs…

Deep Metric Learning (DML) aims to learn embedding functions that map semantically similar inputs to proximate points in a metric space while separating dissimilar ones. Existing methods, such as pairwise losses, are hindered by complex…

Multi-Modal Learning (MML) integrates information from diverse modalities to improve predictive accuracy. While existing optimization strategies have made significant strides by mitigating gradient direction conflicts, we revisit MML from a…

In model-based reinforcement learning, most algorithms rely on simulating trajectories from one-step models of the dynamics learned on data. A critical challenge of this approach is the compounding of one-step prediction errors as the…

Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely…

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows…

In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…

In recent years, data-driven methods have been developed to learn dynamical systems and partial differential equations (PDE). The goal of such work is discovering unknown physics and the corresponding equations. However, prior to achieving…

Scientific machine learning has been successfully applied to inverse problems and PDE discovery in computational physics. One caveat concerning current methods is the need for large amounts of ("clean") data, in order to characterize the…

This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…

In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form…

This article proposes an improved trajectory optimization approach for stochastic optimal control of dynamical systems affected by measurement noise by combining optimal control with maximum likelihood techniques to improve the reduction of…

In this paper, we study a kind of optimal control problem for forward-backward stochastic differential equations (FBSDEs for short) of McKean--Vlasov type via the dynamic programming principle (DPP for short) motivated by studying the…

Many systems in physics, engineering, and biology exhibit multiscale stochastic dynamics, where low-dimensional slow variables evolve under the influence of high-dimensional fast processes. In practice, observations are often limited to a…

We propose a new method for the numerical solution of backward stochastic differential equations (BSDEs) which finds its roots in Fourier analysis. The method consists of an Euler time discretization of the BSDE with certain conditional…

Stochastic differential equations (SDEs) are one of the most important representations of dynamical systems. They are notable for the ability to include a deterministic component of the system and a stochastic one to represent random…

Model-free or learning-based control, in particular, reinforcement learning (RL), is expected to be applied for complex robotic tasks. Traditional RL requires a policy to be optimized is state-dependent, that means, the policy is a kind of…