Related papers: Nonparametric and Regularized Dynamical Wasserstei…
Differential dynamic programming (DDP) is a popular technique for solving nonlinear optimal control problems with locally quadratic approximations. However, existing DDP methods are not designed for stochastic systems with unknown…
This paper introduces a new nonlinear dictionary learning method for histograms in the probability simplex. The method leverages optimal transport theory, in the sense that our aim is to reconstruct histograms using so-called displacement…
In this paper, we focus on computational aspects of the Wasserstein barycenter problem. We propose two algorithms to compute Wasserstein barycenters of $m$ discrete measures of size $n$ with accuracy $\e$. The first algorithm, based on…
In this work we introduce the concept of Bures-Wasserstein barycenter $Q_*$, that is essentially a Fr\'echet mean of some distribution $\mathbb{P}$ supported on a subspace of positive semi-definite Hermitian operators $\mathbb{H}_{+}(d)$.…
We study a stochastic optimal control problem for a partially observed diffusion. By using the control randomization method in [4], we prove a corresponding randomized dynamic programming principle (DPP) for the value function, which is…
Many scientific systems, such as cellular populations or economic cohorts, are naturally described by probability distributions that evolve over time. Predicting how such a system would have evolved under different forces or initial…
We consider the problem of sampling from a distribution governed by a potential function. This work proposes an explicit score based MCMC method that is deterministic, resulting in a deterministic evolution for particles rather than a…
Distributional ambiguity sets provide quantifiable ways to characterize the uncertainty about the true probability distribution of random variables of interest. This makes them a key element in data-driven robust optimization by exploiting…
State space models are well-known for their versatility in modeling dynamic systems that arise in various scientific disciplines. Although parametric state space models are well studied, nonparametric approaches are much less explored in…
In this work we study systems consisting of a group of moving particles. In such systems, often some important parameters are unknown and have to be estimated from observed data. Such parameter estimation problems can often be solved via a…
Posterior contractions rates (PCRs) strengthen the notion of Bayesian consistency, quantifying the speed at which the posterior distribution concentrates on arbitrarily small neighborhoods of the true model, with probability tending to 1 or…
We consider sampling from a Gibbs distribution by evolving finitely many particles. We propose a preconditioned version of a recently proposed noise-free sampling method, governed by approximating the score function with the numerically…
We investigate a dynamic inverse problem using a regularization which implements the so-called Wasserstein-$1$ distance. It naturally extends well-known static problems such as lasso or total variation regularized problems to a (temporally)…
This paper derives non-asymptotic error bounds for nonlinear stochastic approximation algorithms in the Wasserstein-$p$ distance. To obtain explicit finite-sample guarantees for the last iterate, we develop a coupling argument that compares…
Federated reinforcement learning typically aggregates value functions or policies by parameter averaging, which emphasizes expected return and can obscure statistical multimodality and tail behavior that matter in safety-critical settings.…
In the realm of maritime transportation, autonomous vessel navigation in natural inland waterways faces persistent challenges due to unpredictable natural factors. Existing scheduling algorithms fall short in handling these uncertainties,…
Based on the concepts of Wasserstein barycenter (WB) and Gromov-Wasserstein barycenter (GWB), we propose a unified mathematical framework for neural network (NN) model fusion and utilize it to reveal new insights about the linear mode…
The so-called \emph{simplified} Wasserstein barycenter problem, also known as the cheapest hub problem, consists in selecting one point from each of $k$ given sets, each set consisting of $n$ points, with the aim of minimizing the sum of…
We study the problem of finite-horizon probabilistic invariance for discrete-time Markov processes over general (uncountable) state spaces. We compute discrete-time, finite-state Markov chains as formal abstractions of general Markov…
Circular time series has received relatively little attention in statistics and modeling complex circular time series using the state space approach is non-existent in the literature. In this article we introduce a flexible Bayesian…