Related papers: A Gradually Reinforced Sample-Average-Approximatio…

We developed a corporative stochastic approximation (CSA) type algorithm for semi-infinite programming (SIP), where the cut generation problem is solved inexactly. First, we provide general error bounds for inexact CSA. Then, we propose two…

We present a quasi-Newton method for unconstrained stochastic optimization. Most existing literature on this topic assumes a setting of stochastic optimization in which a finite sum of component functions is a reasonable approximation of an…

Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use…

The stochastic approximation EM algorithm (SAEM) is described for the estimation of item and person parameters given test data coded as dichotomous or ordinal variables. The method hinges upon the eigenanalysis of missing variables sampled…

An estimation problem of fundamental interest is that of phase synchronization, in which the goal is to recover a collection of phases using noisy measurements of relative phases. It is known that in the Gaussian noise setting, the maximum…

In Generalized Linear Estimation (GLE) problems, we seek to estimate a signal that is observed through a linear transform followed by a component-wise, possibly nonlinear and noisy, channel. In the Bayesian optimal setting, Generalized…

In this paper, we consider multi-stage stochastic optimization problems with convex objectives and conic constraints at each stage. We present a new stochastic first-order method, namely the dynamic stochastic approximation (DSA) algorithm,…

Forecasting presents a complex estimation challenge, as it involves balancing multiple, often conflicting, priorities and objectives. Conventional forecast optimization methods typically emphasize a single metric--such as minimizing the…

We introduce a guided stochastic sampling method that augments sampling from diffusion models with physics-based guidance derived from partial differential equation (PDE) residuals and observational constraints, ensuring generated samples…

We consider the problem of minimizing the sum of three convex functions: i) a smooth function $f$ in the form of an expectation or a finite average, ii) a non-smooth function $g$ in the form of a finite average of proximable functions…

The Stochastic Approximation EM (SAEM) algorithm, a variant stochastic approximation of EM, is a versatile tool for inference in incomplete data models. In this paper, we review the fundamental EM algorithm and then focus especially on the…

In this paper, we present a novel derivative-free optimization framework for solving unconstrained stochastic optimization problems. Many problems in fields ranging from simulation optimization to reinforcement learning involve settings…

Time series averaging in dynamic time warping (DTW) spaces has been successfully applied to improve pattern recognition systems. This article proposes and analyzes subgradient methods for the problem of finding a sample mean in DTW spaces.…

We introduce a new scalable approximation for Gaussian processes with provable guarantees which hold simultaneously over its entire parameter space. Our approximation is obtained from an improved sample complexity analysis for sparse…

We propose an adaptive importance sampling scheme for Gaussian approximations of intractable posteriors. Optimization-based approximations like variational inference can be too inaccurate while existing Monte Carlo methods can be too slow.…

We propose extensions and improvements of the statistical analysis of distributed multipoles (SADM) algorithm put forth by Chipot et al. in [6] for the derivation of distributed atomic multipoles from the quantum-mechanical electrostatic…

This paper introduces Direct Simplified Symbolic Analysis (DSSA), a new method for simplifying analog circuits. Unlike traditional matrix- or graph-based techniques that are often slow and memory-intensive, DSSA treats the task as a…

Stochastic sampling methods are arguably the most direct and least intrusive means of incorporating parametric uncertainty into numerical simulations of partial differential equations with random inputs. However, to achieve an overall error…

Uncertainty quantification appears today as a crucial point in numerous branches of science and engineering. In the past two decades, a growing interest has been devoted to stochastic finite element method (SFEM) for the propagation of…

In numerous applications, surrogate models are used as a replacement for accurate parameter-to-observable mappings when solving large-scale inverse problems governed by partial differential equations (PDEs). The surrogate model may be a…