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Comparing probability distributions is at the crux of many machine learning algorithms. Maximum Mean Discrepancies (MMD) and Wasserstein distances are two classes of distances between probability distributions that have attracted abundant…
The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust…
We develop connections between Stein's approximation method, logarithmic Sobolev and transport inequalities by introducing a new class of functional inequalities involving the relative entropy, the Stein kernel, the relative Fisher…
The Markov Chain Monte Carlo method is the dominant paradigm for posterior computation in Bayesian analysis. It is common to control computation time by making approximations to the Markov transition kernel. Comparatively little attention…
Reduced modeling of a computationally demanding dynamical system aims at approximating its trajectories, while optimizing the trade-off between accuracy and computational complexity. In this work, we propose to achieve such an approximation…
The risk premium is one of main concepts in mathematical finance. It is a measure of the trade-offs investors make between return and risk and is defined by the excess return relative to the risk-free interest rate that is earned from an…
Stochastic kernel based dimensionality reduction approaches have become popular in the last decade. The central component of many of these methods is a symmetric kernel that quantifies the vicinity between pairs of data points and a…
Models like support vector machines or Gaussian process regression often require positive semi-definite kernels. These kernels may be based on distance functions. While definiteness is proven for common distances and kernels, a proof for a…
Although recovering an Euclidean distance matrix from noisy observations is a common problem in practice, how well this could be done remains largely unknown. To fill in this void, we study a simple distance matrix estimate based upon the…
We present a method that allows efficient and safe approximation of model predictive controllers using kernel interpolation. Since the computational complexity of the approximating function scales linearly with the number of data points, we…
We develop a framework for the compression of reversible Markov chains with rigorous error control. Given a subset of selected states, we construct reduced dynamics that can be lifted to an approximation of the full dynamics, and we prove…
This paper proposes and studies a numerical method for approximation of posterior expectations based on interpolation with a Stein reproducing kernel. Finite-sample-size bounds on the approximation error are established for posterior…
Physics-informed machine learning combines the expressiveness of data-based approaches with the interpretability of physical models. In this context, we consider a general regression problem where the empirical risk is regularized by a…
One of the most fundamental problems in Markov decision processes is analysis and control synthesis for safety and reachability specifications. We consider the stochastic reach-avoid problem, in which the objective is to synthesize a…
We provide a unifying framework linking two classes of statistics used in two-sample and independence testing: on the one hand, the energy distances and distance covariances from the statistics literature; on the other, distances between…
We reprove the well known fact that the energy distance defines a metric on the space of Borel probability measures on a Hilbert space with finite first moment by a new approach, by analyzing the behavior of the Gaussian kernel on Hilbert…
We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner loop computes the risk by solving a stochastic saddle-point…
Hamilton-Jacobi reachability methods for safety-critical control have been well studied, but the safety guarantees derived rely on the accuracy of the numerical computation. Thus, it is crucial to understand and account for any inaccuracies…
Transport equations for autonomous driven Fermionic quantum systems are derived with the help of statistical assumptions and of the Markov approximation. The statistical assumptions hold if the system consists of subsystems within which…
In this paper we introduce some recent progresses on the convergence rate in Wasserstein distance for empirical measures of Markov processes. For diffusion processes on compact manifolds possibly with reflecting or killing boundary…