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Sparse polynomial chaos expansions (PCE) are a popular surrogate modelling method that takes advantage of the properties of PCE, the sparsity-of-effects principle, and powerful sparse regression solvers to approximate computer models with…
This paper studies nonparametric identification and counterfactual bounds for heterogeneous firms that can be ranked in terms of productivity. Our approach works when quantities and prices are latent, rendering standard approaches…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…
We introduce and analyze a parallel sequential Monte Carlo methodology for the numerical solution of optimization problems that involve the minimization of a cost function that consists of the sum of many individual components. The proposed…
Neural language models do not scale well when the vocabulary is large. Noise-contrastive estimation (NCE) is a sampling-based method that allows for fast learning with large vocabularies. Although NCE has shown promising performance in…
Many parametric statistical models are not properly normalised and only specified up to an intractable partition function, which renders parameter estimation difficult. Examples of unnormalised models are Gibbs distributions, Markov random…
Stochastic solutions provide new rigorous results for nonlinear PDE's and, through its local non-grid nature, are a natural tool for parallel computation. There are two different approaches for the construction of stochastic solutions:…
In this paper, it is shown that the solutions of general differentiable constrained optimization problems can be viewed as asymptotic solutions to sets of Ordinary Differential Equations (ODEs). The construction of the ODE associated to the…
A robust model predictive control scheme for a class of constrained norm-bounded uncertain discrete-time linear systems is developed under the hypothesis that only partial state measurements are available for feedback. Off-line calculations…
Deep generative models have emerged as a popular machine learning-based approach for inverse design problems in the life sciences. However, these problems often require sampling new designs that satisfy multiple properties of interest in…
A key challenge in inventory management is to identify policies that optimally replenish inventory from multiple suppliers. To solve such optimization problems, inventory managers need to decide what quantities to order from each supplier,…
Competitive equilibrium (CE) for chores has recently attracted significant attention, with many algorithms proposed to approximately compute it. However, existing algorithms either lack iterate convergence guarantees to an exact CE or…
In this brief, we consider the constrained optimization problem underpinning model predictive control (MPC). We show that this problem can be decomposed into an unconstrained optimization problem with the same cost function as the original…
We consider a multi-organizational system in which each organization contributes processors to the global pool but also jobs to be processed on the common resources. The fairness of the scheduling algorithm is essential for the stability…
In this paper, we generalize the classical extragradient algorithm for solving variational inequality problems by utilizing nonzero normal vectors of the feasible set. In particular, conceptual algorithms are proposed with two different…
Optimal Bayesian design techniques provide an estimate for the best parameters of an experiment in order to maximize the value of measurements prior to the actual collection of data. In other words, these techniques explore the space of…
Function optimization and finding simultaneous solutions of a system of nonlinear equations (SNE) are two closely related and important optimization problems. However, unlike in the case of function optimization in which one is required to…
In partial differential equations-based (PDE-based) inverse problems with many measurements, many large-scale discretized PDEs must be solved for each evaluation of the misfit or objective function. In the nonlinear case, evaluating the…
We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good subject to exogenous stochastic demand. Each producer…
PPAD refers to a class of computational problems for which solutions are guaranteed to exist due to a specific combinatorial principle. The most well-known such problem is that of computing a Nash equilibrium of a game. Other examples…