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Clustering is essential in data analysis and machine learning, but traditional algorithms like $k$-means and Gaussian Mixture Models (GMM) often fail with nonconvex clusters. To address the challenge, we introduce the Flexible Bivariate…

A leading goal for climate science and weather risk management is to accurately model both the physics and statistics of extreme events. These two goals are fundamentally at odds: the higher a computational model's resolution, the more…

State-space models (SSMs) are a highly expressive model class for learning patterns in time series data and for system identification. Deterministic versions of SSMs (e.g. LSTMs) proved extremely successful in modeling complex time series…

We propose a hybrid method combining the deep long short-term memory (LSTM) model with the inexact empirical model of dynamical systems to predict high-dimensional chaotic systems. The deep hierarchy is encoded into the LSTM by…

The randomized block Kaczmarz (RBK) method is a widely utilized iterative scheme for solving large-scale linear systems. However, the theoretical analysis and practical effectiveness of this method heavily rely on a good row paving of the…

We present a new method for formulating closures that learn from kinetic simulation data. We apply this method to phase mixing in a simple gyrokinetic turbulent system - temperature gradient driven turbulence in an unsheared slab. The…

This paper proposes a semidefinite programming based method for estimating moments of a stochastic hybrid system (SHS). For polynomial SHSs -- which consist of polynomial continuous vector fields, reset maps, and transition intensities --…

How heterogeneous multiscale methods (HMM) handle fluctuations acting on the slow variables in fast-slow systems is investigated. In particular, it is shown via analysis of central limit theorems (CLT) and large deviation principles (LDP)…

Contention resolution schemes have proven to be an incredibly powerful concept which allows to tackle a broad class of problems. The framework has been initially designed to handle submodular optimization under various types of constraints,…

The complex small-scale statistics of turbulence are a result of the combined cascading dynamics through all scales of the flow. Predicting these statistics using fully resolved simulations at the high Reynolds numbers that typically occur…

This paper proposes a stochastic model predictive control method for linear systems affected by additive Gaussian disturbances that optimizes over disturbance feedback matrices online. Closed-loop satisfaction of probabilistic constraints…

In this paper we address the problem of performing statistical inference for large scale data sets i.e., Big Data. The volume and dimensionality of the data may be so high that it cannot be processed or stored in a single computing node. We…

In this paper, balancing based model order reduction (MOR) for large-scale linear discrete-time time-invariant systems in prescribed finite time intervals is studied. The first main topic is the development of error bounds regarding the…

We present an algorithm for robust model predictive control with consideration of uncertainty and safety constraints. Our framework considers a nonlinear dynamical system subject to disturbances from an unknown but bounded uncertainty set.…

Under data distributions which may be heavy-tailed, many stochastic gradient-based learning algorithms are driven by feedback queried at points with almost no performance guarantees on their own. Here we explore a modified "anytime…

To deal with very large datasets a mini-batch version of the Monte Carlo Markov Chain Stochastic Approximation Expectation-Maximization algorithm for general latent variable models is proposed. For exponential models the algorithm is shown…

This paper has two interrelated foci: (i) obtaining stable and efficient data-driven closure models by using a multivariate time series of partial observations from a large-dimensional system; and (ii) comparing these closure models with…

A current challenge for many Bayesian analyses is determining when to terminate high-dimensional Markov chain Monte Carlo simulations. To this end, we propose using an automated sequential stopping procedure that terminates the simulation…

The numerical simulation of strongly first-order phase transitions has remained a notoriously difficult problem even for classical systems due to the exponentially suppressed (thermal) equilibration in the vicinity of such a transition. In…

Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is…