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This letter presents a non-parametric modeling approach for forecasting stochastic dynamical systems on low-dimensional manifolds. The key idea is to represent the discrete shift maps on a smooth basis which can be obtained by the diffusion…
We propose a stochastic approximation (SA) based method with randomization of samples for policy evaluation using the least squares temporal difference (LSTD) algorithm. Our proposed scheme is equivalent to running regular temporal…
We study parameter estimation for interacting particle systems (IPSs) consisting of $N$ weakly interacting multivariate hypoelliptic SDEs. We propose a locally Gaussian approximation of the transition dynamics, carefully designed to address…
We consider the case of performing Bayesian inference for stochastic epidemic compartment models, using incomplete time course data consisting of incidence counts that are either the number of new infections or removals in time intervals of…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
In this paper, we propose a novel Dual Inexact Splitting Algorithm (DISA) for distributed convex composite optimization problems, where the local loss function consists of a smooth term and a possibly nonsmooth term composed with a linear…
We present adaptive sequential SAA (sample average approximation) algorithms to solve large-scale two-stage stochastic linear programs. The iterative algorithm framework we propose is organized into \emph{outer} and \emph{inner} iterations…
In this paper, we introduce and analyze a new low-rank multilevel strategy for the solution of random diffusion problems. Using a standard stochastic collocation scheme, we first approximate the infinite dimensional random problem by a…
This thesis is devoted to the study of extreme value statistics in stochastic processes and their applications. In the first part, we obtain exact analytical results on the extreme value statistics of both discrete-time and continuous-time…
Sparse Principal Component Analysis (SPCA) is a fundamental technique for dimensionality reduction, and is NP-hard. In this paper, we introduce a randomized approximation algorithm for SPCA, which is based on the basic SDP relaxation. Our…
Forecasting multi-step user behavior trajectories requires reasoning over structured preferences across future actions, a challenge overlooked by traditional sequential recommendation. This problem is critical for applications such as…
We propose a novel sparse sliced inverse regression method based on random projections in a large $p$ small $n$ setting. Embedded in a generalized eigenvalue framework, the proposed approach finally reduces to parallel execution of…
We consider a Poisson equation in $\mathbb R^d$ for the elliptic operator corresponding to an ergodic diffusion process. Optimal regularity and smoothness with respect to the parameter are obtained under mild conditions on the coefficients.…
Training-free diffusion priors enable inverse-problem solvers without retraining, but for nonlinear forward operators data consistency often relies on repeated derivatives or inner optimization/MCMC loops with conservative step sizes,…
Physical models with uncertain inputs are commonly represented as parametric partial differential equations (PDEs). That is, PDEs with inputs that are expressed as functions of parameters with an associated probability distribution.…
In this paper, we propose improved estimation method for logistic regression based on subsamples taken according the optimal subsampling probabilities developed in Wang et al. 2018 Both asymptotic results and numerical results show that the…
Policy evaluation with linear function approximation is an important problem in reinforcement learning. When facing high-dimensional feature spaces, such a problem becomes extremely hard considering the computation efficiency and quality of…
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…
We consider a decision maker who must choose an action in order to maximize a reward function that depends also on an unknown parameter {\Theta}. The decision maker can delay taking the action in order to experiment and gather additional…
This paper introduces AdaSDCA: an adaptive variant of stochastic dual coordinate ascent (SDCA) for solving the regularized empirical risk minimization problems. Our modification consists in allowing the method adaptively change the…