Related papers: Mahalanobis balancing: a multivariate perspective …
Accurate forecasting of multivariate time series data is important in many engineering and scientific applications. Recent state-of-the-art works ignore the inter-relations between variates, using their model on each variate independently.…
We introduce a general framework for the construction of well-balanced finite volume methods for hyperbolic balance laws. We use the phrase well-balancing in a broader sense, since our proposed method can be applied to exactly follow any…
In this paper, motivated by the study of optimal control problems for infinite dimensional systems with endpoint state constraints, we introduce the notion of finite codimensional (exact/approximate) controllability. Some equivalent…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
Introducing inequality constraints in Gaussian process (GP) models can lead to more realistic uncertainties in learning a great variety of real-world problems. We consider the finite-dimensional Gaussian approach from Maatouk and Bay (2017)…
Stochastic equations play an important role in computational science, due to their ability to treat a wide variety of complex statistical problems. However, current algorithms are strongly limited by their sampling variance, which scales…
While Robust Model Predictive Control considers the worst-case system uncertainty, Stochastic Model Predictive Control, using chance constraints, provides less conservative solutions by allowing a certain constraint violation probability…
The global minimum-variance portfolio is a typical choice for investors because of its simplicity and broad applicability. Although it requires only one input, namely the covariance matrix of asset returns, estimating the optimal solution…
Mathematical Selection is a method in which we select a particular choice from a set of such. It have always been an interesting field of study for mathematicians. Accordingly, Combinatorial Optimization is a sub field of this domain of…
The augmented Lagrange method is employed to address the optimal control problem involving pointwise state constraints in parabolic equations. The strong convergence of the primal variables and the weak convergence of the dual variables are…
We propose an open loop methodology based on sample statistics to solve chance constrained stochastic optimal control problems with probabilistic safety guarantees for linear systems where the additive Gaussian noise has unknown mean and…
We consider the problem of estimating covariance and precision matrices, and their associated discriminant coefficients, from normal data when the rank of the covariance matrix is strictly smaller than its dimension and the available sample…
In this paper a class of optimization problems with uncertain linear constraints is discussed. It is assumed that the constraint coefficients are random vectors whose probability distributions are only partially known. Possibility theory is…
Inference and simulation in the context of high-dimensional dynamical systems remain computationally challenging problems. Some form of dimensionality reduction is required to make the problem tractable in general. In this paper, we propose…
A novel approach to obtain weighted likelihood estimates of multivariate location and scatter is discussed. A weighting scheme is proposed that is based on the distribution of the Mahalanobis distances rather than the distribution of the…
Design optimisation potentially leads to lightweight aircraft structures with lower environmental impact. Due to the high number of design variables and constraints, these problems are ordinarily solved using gradient-based optimisation…
Models with a large number of latent variables are often used to fully utilize the information in big or complex data. However, they can be difficult to estimate using standard approaches, and variational inference methods are a popular…
Optimal balance is a non-asymptotic numerical method to compute a point on the slow manifold for certain two-scale dynamical systems. It works by solving a modified version of the system as a boundary value problem in time, where the…
Correlated proportions appear in many real-world applications and present a unique challenge in terms of finding an appropriate probabilistic model due to their constrained nature. The bivariate beta is a natural extension of the well-known…
We propose a framework for modeling and solving low-rank optimization problems to certifiable optimality. We introduce symmetric projection matrices that satisfy $Y^2=Y$, the matrix analog of binary variables that satisfy $z^2=z$, to model…