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We propose an approach to construction of robust non-Euclidean iterative algorithms for convex composite stochastic optimization based on truncation of stochastic gradients. For such algorithms, we establish sub-Gaussian confidence bounds…
The Mori-Zwanzig formalism of statistical mechanics is used to estimate the uncertainty caused by underresolution in the solution of a nonlinear dynamical system. A general approach is outlined and applied to a simple example. The noise…
The inverse problem is studied in multi-body systems with nonlinear dynamics representing, e.g., phase-locked wave systems, standard multimode and random lasers. Using a general model for four-body interacting complex-valued variables we…
The main goal of this paper is to estimate the regional acoustic and geoacoustic shallow-water environment from data collected by a vertical hydrophone array and transmitted by distant time-harmonic point sources. We aim at estimating the…
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following the terminology of Gozlan, Roberto, Samson and Tetali this…
The identification of pipe roughnesses in a water distribution network is formulated as nonlinear system of algebraic equations which turns out to be demanding to solve under real-world circumstances. This paper proposes an enhanced…
Regularization is a central tool for addressing ill-posedness in inverse problems and statistical estimation, with the choice of a suitable penalty often determining the reliability and interpretability of downstream solutions. While recent…
In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…
This paper addresses the robust counterparts of optimization problems containing sums of maxima of linear functions. These problems include many practical problems, e.g.~problems with sums of absolute values, and arise when taking the…
Rotation estimation plays a fundamental role in many computer vision and robot tasks. However, efficiently estimating rotation in large inputs containing numerous outliers (i.e., mismatches) and noise is a recognized challenge. Many robust…
Bayesian methods, distributionally robust optimization methods, and regularization methods are three pillars of trustworthy machine learning combating distributional uncertainty, e.g., the uncertainty of an empirical distribution compared…
Modal stability analysis provides information about the long-time growth or decay of small-amplitude perturbations around a steady-state solution of a dynamical system. In fluid flows, exponentially growing perturbations can initiate…
A new variant of Newton's method for empirical risk minimization is studied, where at each iteration of the optimization algorithm, the gradient and Hessian of the objective function are replaced by robust estimators taken from existing…
This paper aims at developing two versions of the generalized Newton method to compute not merely arbitrary local minimizers of nonsmooth optimization problems but just those, which possess an important stability property known as tilt…
"The Price of Robustness" by Bertsimas and Sim represented a breakthrough in the development of a tractable robust counterpart of Linear Programming Problems. However, the central modeling assumption that the deviation band of each…
Interpolation techniques play a central role in Astronomy, where one often needs to smooth irregularly sampled data into a smooth map. In a previous article (Lombardi & Schneider 2001), we have considered a widely used smoothing technique…
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mixture with some components estimable to high precision or…
In this paper we investigate the Bayesian approach to inverse Robin problems. These are problems for certain elliptic boundary value problems of determining a Robin coefficient on a hidden part of the boundary from Cauchy data on the…
We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confidence is here represented using ellipsoidal uncertainty sets…
In the consideration of steady-state flow of gas in pipeline networks, the exclusion of gravity and nonlinear inertial effects (convective acceleration) leads to a fortuitous simplification in the governing equations to yield a system of…