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Finding optimal policies for Partially Observable Markov Decision Processes (POMDPs) is challenging due to their uncountable state spaces when transformed into fully observable Markov Decision Processes (MDPs) using belief states.…
This paper deals with estimation with functional covariates. More precisely, we aim at estimating the regression function $m$ of a continuous outcome $Y$ against a standard Wiener coprocess $W$. Following Cadre and Truquet (2015) and Cadre,…
This paper proposes a strategy to solve the problems of the conventional s-version of finite element method (SFEM) fundamentally. Because SFEM can reasonably model an analytical domain by superimposing meshes with different spatial…
Gaussian processes are an important regression tool with excellent analytic properties which allow for direct integration of derivative observations. However, vanilla GP methods scale cubically in the amount of observations. In this work,…
The Koopman operator approach provides a powerful linear description of nonlinear dynamical systems in terms of the evolution of observables. While the operator is typically infinite-dimensional, it is crucial to develop finite-dimensional…
We present an isogeometric analysis technique that builds on manifold-based smooth basis functions for geometric modelling and analysis. Manifold-based surface construction techniques are well known in geometric modelling and a number of…
In this paper we address the convergence of stochastic approximation when the functions to be minimized are not convex and nonsmooth. We show that the "mean-limit" approach to the convergence which leads, for smooth problems, to the ODE…
This is a second part of the research on AC optimal power flow being used in the lower level of the bilevel strategic bidding or investment models. As an example of a suitable upper-level problem, we observe a strategic bidding of energy…
Coupled multiphysics simulations for high-dimensional, large-scale problems can be prohibitively expensive due to their computational demands. This article presents a novel framework integrating a deep operator network (DeepONet) with the…
Higher order schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals. In this work, we propose a derivative-free Milstein type scheme to approximate…
Many recent studies on first-order methods (FOMs) focus on \emph{composite non-convex non-smooth} optimization with linear and/or nonlinear function constraints. Upper (or worst-case) complexity bounds have been established for these…
Generalized additive models (GAMs) are a well-established statistical tool for modeling complex nonlinear relationships between covariates and a response assumed to have a conditional distribution in the exponential family. In this article,…
This paper is concerned with the theory, construction and application of variable-stepsize implicit Peer two-step methods that are super-convergent for variable stepsizes, i.e., preserve their classical order achieved for uniform stepsizes…
In many fields of application, dynamic processes that evolve through time are well described by systems of ordinary differential equations (ODEs). The analytical solution of the ODEs is often not available and different methods have been…
We investigate the concept of cylindrical Wiener process subordinated to a strictly $\alpha$-stable L\'evy process, with $\alpha\in\left(0,1\right)$, in an infinite dimensional, separable Hilbert space, and consider the related stochastic…
In this paper we address smoothing-that is, optimisation-based-estimation techniques for localisation problems in the case where motion sensors are very accurate. Our mathematical analysis focuses on the difficult limit case where motion…
Approximate inference in probability models is a fundamental task in machine learning. Approximate inference provides powerful tools to Bayesian reasoning, decision making, and Bayesian deep learning. The main goal is to estimate the…
Spline functions are smooth piecewise polynomials widely used for interpolation and smoothing, and nonnegative spline smoothing is also studied for nonnegative data. Previous research used sufficient conditions for the nonnegativity of…
Framelets (a.k.a. wavelet frames) are of interest in both theory and applications. Quite often, tight or dual framelets with high vanishing moments are constructed through the popular oblique extension principle (OEP). Though OEP can…
We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma model. From a numerical point of view, pricing such options corresponds to moderate and high dimensional numerical integration problems with…