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This paper presents the Distributed Primal Outer Approximation (DiPOA) algorithm for solving Sparse Convex Programming (SCP) problems with separable structures, efficiently, and in a decentralized manner. The DiPOA algorithm development…
This paper considers the problem of minimizing an expectation function over a closed convex set, coupled with a {\color{black} functional or expectation} constraint on either decision variables or problem parameters. We first present a new…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
Diffusion on complex networks is often modeled as a stochastic process. Yet, recent work on strategic diffusion emphasizes the decision power of agents and treats diffusion as a strategic problem. Here we study the computational aspects of…
This paper introduces a framework for simulating finite dimensional representations of (jump) diffusion sample paths over finite intervals, without discretisation error (exactly), in such a way that the sample path can be restored at any…
We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…
Traditionally, systems governed by linear Partial Differential Equations (PDEs) are spatially discretized to exploit their algebraic structure and reduce the computational effort for controlling them. Due to beneficial insights of the PDEs,…
Recently, diffusion models have gained popularity and attention in trajectory optimization due to their capability of modeling multi-modal probability distributions. However, addressing nonlinear equality constraints, i.e, dynamic…
We revisit the sample average approximation (SAA) approach for non-convex stochastic programming. We show that applying the SAA approach to problems with expected value equality constraints does not necessarily result in asymptotic…
We introduce a path sampling method for obtaining statistical properties of an arbitrary stochastic dynamics. The method works by decomposing a trajectory in time, estimating the probability of satisfying a progress constraint, modifying…
This paper investigates the problem of distributed stochastic approximation in multi-agent systems. The algorithm under study consists of two steps: a local stochastic approximation step and a diffusion step which drives the network to a…
The limiting stability of invariant probability measures of time homogeneous transition semigroups for autonomous stochastic systems has been extensively discussed in the literature. In this paper we initially initiate a program to study…
In this paper, we study the distributed adaptive estimation problem of continuous-time stochastic dynamic systems over sensor networks where each agent can only communicate with its local neighbors. A distributed least squares (LS)…
We develop adaptive time-stepping strategies for It\^o-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs. Adaptive methods can ensure strong convergence of nonlinear…
We propose a method for the approximation of solutions of PDEs with stochastic coefficients based on the direct, i.e., non-adapted, sampling of solutions. This sampling can be done by using any legacy code for the deterministic problem as a…
The application of Stochastic Differential Equations (SDEs) to the analysis of temporal data has attracted increasing attention, due to their ability to describe complex dynamics with physically interpretable equations. In this paper, we…
We introduce a lattice random walk discretisation scheme for stochastic differential equations (SDEs) that samples binary or ternary increments at each step, suppressing complex drift and diffusion computations to simple 1 or 2 bit random…
We build and study a recursive algorithm based on the occupation measure of an Euler scheme with decreasing step for the numerical approximation of the quasistationary distribution (QSD) of an elliptic diffusion in a bounded domain. We…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
In this work, we develop a distributed least squares approximation (DLSA) method that is able to solve a large family of regression problems (e.g., linear regression, logistic regression, and Cox's model) on a distributed system. By…