Related papers: An Optimal Interpolation Set for Model-Based Deriv…
We show via examples that, when solving optimal control problems, representing the optimal state and input trajectory directly using interpolation schemes may not be the best choice. Due to the lack of considerations for solution…
This paper focuses on the hypothesis of optimizing time series predictions using fractal interpolation techniques. In general, the accuracy of machine learning model predictions is closely related to the quality and quantitative aspects of…
In this contribution, a new framework for H2-optimal reduction of multiple-input, multiple- output linear dynamical systems by tangential interpolation is presented. The framework is motivated by the local nature of both tangential…
We propose a trust-region type method for a class of nonsmooth nonconvex optimization problems where the objective function is a summation of a (probably nonconvex) smooth function and a (probably nonsmooth) convex function. The model…
Constrained optimization in high-dimensional black-box settings is difficult due to expensive evaluations, the lack of gradient information, and complex feasibility regions. In this work, we propose a Bayesian optimization method that…
In this paper we show how ideas from spline theory can be used to construct a local basis for the space of translates of a general iterated Brownian Bridge kernel $k_{\beta,\varepsilon}$ for $\beta\in\mathbb{N}$, $\varepsilon\geq 0$. In the…
This paper proposes a random subspace trust-region algorithm for general convex-constrained derivative-free optimization (DFO) problems. Similar to previous random subspace DFO methods, the convergence of our algorithm requires a certain…
We present a nonlinear interpolation technique for parametric fields that exploits optimal transportation of coherent structures of the solution to achieve accurate performance. The approach generalizes the nonlinear interpolation procedure…
Quantum Approximate Optimization Algorithm (QAOA) is a promising quantum heuristic with empirical evidence of speedup over classical state-of-the-art for some problems. QAOA uses a parameterized circuit with $p$ layers, where higher $p$…
Discrete empirical interpolation method (DEIM) is a popular technique for nonlinear model reduction and it has two main ingredients: an interpolating basis that is computed from a collection of snapshots of the solution and a set of indices…
Mean field inference in probabilistic models is generally a highly nonconvex problem. Existing optimization methods, e.g., coordinate ascent algorithms, can only generate local optima. In this work we propose provable mean filed methods for…
Model-based derivative-free optimization (DFO) methods are an important class of DFO methods that are known to struggle with solving high-dimensional optimization problems. Recent research has shown that incorporating random subspaces into…
We propose a technique for interpolating between probability distributions on discrete surfaces, based on the theory of optimal transport. Unlike previous attempts that use linear programming, our method is based on a dynamical formulation…
An adaptive parametric reduced-order modeling method based on interpolating poles of reduced-order models is proposed in this paper. To guarantee correct interpolation, a pole-matching process is conducted to determine which poles of two…
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no…
The Partition of Unity (PU) method, performed with local Radial Basis Function (RBF) approximants, has been proved to be an effective tool for solving large scattered data interpolation problems. However, in order to achieve a good…
We propose a non grid-based interpolation scheme based on the information from the data collected from the vicinity of the query point. As a non-grid-based interpolation, the data points can be distributed randomly in a small region, and…
In this paper we address the stable numerical solution of nonlinear ill-posed systems by a trust-region method. We show that an appropriate choice of the trust-region radius gives rise to a procedure that has the potential to approach a…
In this paper, we study a few challenging theoretical and numerical issues on the well known trust region policy optimization for deep reinforcement learning. The goal is to find a policy that maximizes the total expected reward when the…
This note discusses an interpolation technique for univariate distributions. In other words, the question is how to obtain a good approximation for f(x|a) if a0 < a < a1 is a control variable and f(x|a0) and f(x|a1) are known. The technique…