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In this paper, we study randomized methods for feedback design of uncertain systems. The first contribution is to derive the sample complexity of various constrained control problems. In particular, we show the key role played by the…
A standard model of (conditional) heteroscedasticity, i.e., the phenomenon that the variance of a process changes over time, is the Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model, which is especially important for…
This paper tackles the challenge of parameter calibration in stochastic models, particularly in scenarios where the likelihood function is unavailable in an analytical form. We introduce a gradient-based simulated parameter estimation…
In this paper, we introduce a new approach to proving the convergence of the Stochastic Approximation (SA) and the Stochastic Gradient Descent (SGD) algorithms. The new approach is based on a concept called GSLLN (Generalized Strong Law of…
Making valid statistical inferences from privatized data is a key challenge in modern analysis. In Bayesian settings, data augmentation MCMC (DAMCMC) methods impute unobserved confidential data given noisy privatized summaries, enabling…
Polyak-Ruppert averaging is a widely used technique to achieve the optimal asymptotic variance of stochastic approximation (SA) algorithms, yet its high-probability performance guarantees remain underexplored in general settings. In this…
While widely used as a general method for uncertainty quantification, the bootstrap method encounters difficulties that raise concerns about its validity in practical applications. This paper introduces a new resampling-based method, termed…
Generalized linear mixed models are useful in studying hierarchical data with possibly non-Gaussian responses. However, the intractability of likelihood functions poses challenges for estimation. We develop a new method suitable for this…
We consider saddle point problems which objective functions are the average of $n$ strongly convex-concave individual components. Recently, researchers exploit variance reduction methods to solve such problems and achieve linear-convergence…
In time series analysis research there is a strong interest in discrete representations of real valued data streams. One approach that emerged over a decade ago and is still considered state-of-the-art is the Symbolic Aggregate…
First-order stochastic methods for solving large-scale non-convex optimization problems are widely used in many big-data applications, e.g. training deep neural networks as well as other complex and potentially non-convex machine learning…
The cross entropy (CE) method is a model based search method to solve optimization problems where the objective function has minimal structure. The Monte-Carlo version of the CE method employs the naive sample averaging technique which is…
The application of genetic algorithms (GAs) to many optimization problems in organizations often results in good performance and high quality solutions. For successful and efficient use of GAs, it is not enough to simply apply simple GAs…
Gaussian process (GP) regression is a non-parametric, Bayesian framework to approximate complex models. Standard GP regression can lead to an unbounded model in which some points can take infeasible values. We introduce a new GP method that…
In this paper we introduce a General Dynamic String-Averaging (GDSA) iterative scheme and investigate its convergence properties in the inconsistent case, that is, when the input operators don't have a common fixed point. The Dynamic…
Stochastic approximation (SA) algorithms are widely used in system optimization problems when only noisy measurements of the system are available. This paper studies two types of SA algorithms in a multivariate Kiefer-Wolfowitz setting:…
We introduce a new method for solving nonlinear continuous optimization problems with chance constraints. Our method is based on a reformulation of the probabilistic constraint as a quantile function. The quantile function is approximated…
This paper studies the control-oriented identification problem of set-valued moving average systems with uniform persistent excitations and observation noises. A stochastic approximation-based (SA-based) algorithm without projections or…
In this paper we present the greedy step averaging(GSA) method, a parameter-free stochastic optimization algorithm for a variety of machine learning problems. As a gradient-based optimization method, GSA makes use of the information from…
In machine learning, nonconvex optimization problems with multiple local optimums are often encountered. Graduated Optimization Algorithm (GOA) is a popular heuristic method to obtain global optimums of nonconvex problems through…