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In modern data science problems, techniques for extracting value from big data require performing large-scale optimization over heterogenous, irregularly structured data. Much of this data is best represented as multi-relational graphs,…
Tensor factorization has proven useful in a wide range of applications, from sensor array processing to communications, speech and audio signal processing, and machine learning. With few recent exceptions, all tensor factorization…
We consider the problem of inference for the states and parameters of a continuous-time multitype branching process from partially observed time series data. Exact inference for this class of models, typically using sequential Monte Carlo,…
Multitype branching processes (MTBP) model branching structures, where the nodes of the resulting tree are objects of different types. One field of application of such models in biology is in studies of cell proliferation. A sampling scheme…
Stem cells, through their ability to produce daughter stem cells and differentiate into specialized cells, are essential in the growth, maintenance, and repair of biological tissues. Understanding the dynamics of cell populations in the…
The Alternating Direction Method of Multipliers (ADMM) has been studied for years. The traditional ADMM algorithm needs to compute, at each iteration, an (empirical) expected loss function on all training examples, resulting in a…
This paper presents a numerical solver for computing continuous trajectories in non-convex environments. Our approach relies on a customized implementation of the Alternating Direction Method of Multipliers (ADMM) built upon two key…
Alternating Direction Method of Multipliers (ADMM) is a popular method for solving large-scale Machine Learning problems. Stochastic ADMM was proposed to reduce the per iteration computational complexity, which is more suitable for big data…
The goal of this work is to formally abstract a Markov process evolving in discrete time over a general state space as a finite-state Markov chain, with the objective of precisely approximating its state probability distribution in time,…
There has been an increasing necessity for scalable optimization methods, especially due to the explosion in the size of datasets and model complexity in modern machine learning applications. Scalable solvers often distribute the…
Bond rating Transition Probability Matrices (TPMs) are built over a one-year time-frame and for many practical purposes, like the assessment of risk in portfolios or the computation of banking Capital Requirements (e.g. the new IFRS 9…
Stochastic processes on complex networks, where each node is in one of several compartments, and neighboring nodes interact with each other, can be used to describe a variety of real-world spreading phenomena. However, computational…
Discrete diffusion models have emerged as powerful tools for high-quality data generation. Despite their success in discrete spaces, such as text generation tasks, the acceleration of discrete diffusion models remains under-explored. In…
Although the Bayesian paradigm offers a formal framework for estimating the entire probability distribution over uncertain parameters, its online implementation can be challenging due to high computational costs. We suggest the Adaptive…
This paper presents a fast and robust algorithm for trend filtering, a recently developed nonparametric regression tool. It has been shown that, for estimating functions whose derivatives are of bounded variation, trend filtering achieves…
We propose an efficient ADMM method with guarantees for high-dimensional problems. We provide explicit bounds for the sparse optimization problem and the noisy matrix decomposition problem. For sparse optimization, we establish that the…
The alternating direction method of multipliers (ADMM) has been recognized as a versatile approach for solving modern large-scale machine learning and signal processing problems efficiently. When the data size and/or the problem dimension…
Heavy computational load for solving nonconvex problems for large-scale systems or systems with real-time demands at each sample step has been recognized as one of the reasons for preventing a wider application of nonlinear model predictive…
In branching simulation, a novel approach to simulation presented in this paper, a multiplicity of plausible scenarios are concurrently developed and implemented. In conventional simulations of complex systems, there arise from time to time…
This paper presents a Consensus ADMM-based modeling and solving approach for the stochastic ACOPF. The proposed optimization model considers the load forecasting uncertainty and its induced load-shedding cost via Monte Carlo sampling. The…