Related papers: Stochastic Wasserstein Gradient Flows using Stream…
We consider the population Wasserstein barycenter problem for random probability measures supported on a finite set of points and generated by an online stream of data. This leads to a complicated stochastic optimization problem where the…
This paper studies the complexity of the stochastic gradient algorithm for PCA when the data are observed in a streaming setting. We also propose an online approach for selecting the learning rate. Simulation experiments confirm the…
We propose a novel gradient-based online optimization framework for solving stochastic programming problems that frequently arise in the context of cyber-physical and robotic systems. Our problem formulation accommodates constraints that…
We propose a mathematically principled PDE gradient flow framework for distributionally robust optimization (DRO). Exploiting the recent advances in the intersection of Markov Chain Monte Carlo sampling and gradient flow theory, we show…
A machine-learning strategy for investigating the stability of fluid flow problems is proposed herein. The goal is to provide a simple yet robust methodology to find a nonlinear mapping from the parametric space to an indicator representing…
We consider stochastic programs where the distribution of the uncertain parameters is only observable through a finite training dataset. Using the Wasserstein metric, we construct a ball in the space of (multivariate and non-discrete)…
The Wasserstein distance received a lot of attention recently in the community of machine learning, especially for its principled way of comparing distributions. It has found numerous applications in several hard problems, such as domain…
Policy optimization is a core component of reinforcement learning (RL), and most existing RL methods directly optimize parameters of a policy based on maximizing the expected total reward, or its surrogate. Though often achieving…
Wasserstein gradient flow (WGF) is a common method to perform optimization over the space of probability measures. While WGF is guaranteed to converge to a first-order stationary point, for nonconvex functionals the converged solution does…
We revisit the problem of estimating the parameters of a partially observed diffusion process, consisting of a hidden state process and an observed process, with a continuous time parameter. The estimation is to be done online, i.e. the…
We develop a fast and scalable numerical approach to solve Wasserstein gradient flows (WGFs), particularly suitable for high-dimensional cases. Our approach is to use general reduced-order models, like deep neural networks, to parameterize…
We show how to utilize machine learning approaches to improve sliding window algorithms for approximate frequency estimation problems, under the ``algorithms with predictions'' framework. In this dynamic environment, previous…
Generative models that can model and predict sequences of future events can, in principle, learn to capture complex real-world phenomena, such as physical interactions. However, a central challenge in video prediction is that the future is…
We propose a distributionally robust data-driven predictive control framework for stochastic linear time-invariant systems with unknown dynamics and disturbance distributions. We use an offline trajectory to fit the subspace predictive…
We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in finite discrete time and measure these changes with the…
Model Updating is frequently used in Structural Health Monitoring to determine structures' operating conditions and whether maintenance is required. Data collected by sensors are used to update the values of some initially unknown…
Emerging applications of machine learning in numerous areas involve continuous gathering of and learning from streams of data. Real-time incorporation of streaming data into the learned models is essential for improved inference in these…
This paper presents a Wasserstein attraction approach for solving dynamic mass transport problems over networks. In the transport problem over networks, we start with a distribution over the set of nodes that needs to be "transported" to a…
In this paper, we study the stochastic Hamiltonian flow in Wasserstein manifold, the probability density space equipped with $L^2$-Wasserstein metric tensor, via the Wong--Zakai approximation. We begin our investigation by showing that the…
In many problems in machine learning and operations research, we need to optimize a function whose input is a random variable or a probability density function, i.e. to solve optimization problems in an infinite dimensional space. On the…