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We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned…
A popular testbed for deep learning has been multimodal recognition of human activity or gesture involving diverse inputs such as video, audio, skeletal pose and depth images. Deep learning architectures have excelled on such problems due…
Nonlinear similarity measures defined in kernel space, such as correntropy, can extract higher-order statistics of data and offer potentially significant performance improvement over their linear counterparts especially in non-Gaussian…
The advent of deep learning has yielded powerful tools to automatically compute gradients of computations. This is because training a neural network equates to iteratively updating its parameters using gradient descent to find the minimum…
Physical dynamical systems can be viewed as natural information processors: their systems preserve, transform, and disperse input information. This perspective motivates learning not only from data generated by such systems, but also how to…
Metrics specifying distances between data points can be learned in a discriminative manner or from generative models. In this paper, we show how to unify generative and discriminative learning of metrics via a kernel learning framework.…
In modern robotics, effectively computing optimal control policies under dynamically varying environments poses substantial challenges to the off-the-shelf parametric policy gradient methods, such as the Deep Deterministic Policy Gradient…
We study distributed learning with the least squares regularization scheme in a reproducing kernel Hilbert space (RKHS). By a divide-and-conquer approach, the algorithm partitions a data set into disjoint data subsets, applies the least…
This paper proposes a data-driven version of the Benders decomposition algorithm applied to the stochastic unit commitment (SUC) problem. The proposed methodology aims at finding a trade-off between the size of the Benders master problem…
Diffusion models show promise for image restoration, but existing methods often struggle with inconsistent fidelity and undesirable artifacts. To address this, we introduce Kernel Density Steering (KDS), a novel inference-time framework…
In this article, a novel approach to learning a complex function which can be written as the system of linear equations is introduced. This learning is grounded upon the observation that solving the system of linear equations by a…
Recently, researchers utilize Knowledge Graph (KG) as side information in recommendation system to address cold start and sparsity issue and improve the recommendation performance. Existing KG-aware recommendation model use the feature of…
Kernel methods are powerful tools in machine learning. They have to be computationally efficient. In this paper, we present a novel Geometric-based approach to compute efficiently the string subsequence kernel (SSK). Our main idea is that…
We propose several approaches for solving differential equations (DEs) with quantum kernel methods. We compose quantum models as weighted sums of kernel functions, where variables are encoded using feature maps and model derivatives are…
We propose a novel adaptive kernel based regression method for complex-valued signals: the generalized complex-valued kernel least-mean-square (gCKLMS). We borrow from the new results on widely linear reproducing kernel Hilbert space…
To understand how deep learning works, it is crucial to understand the training dynamics of neural networks. Several interesting hypotheses about these dynamics have been made based on empirically observed phenomena, but there exists a…
This work presents a sum-of-squares (SOS) based framework to perform data-driven stabilization and robust control tasks on discrete-time linear systems where the full-state observations are corrupted by L-infinity bounded input,…
We analyze the convergence of gradient-based optimization algorithms that base their updates on delayed stochastic gradient information. The main application of our results is to the development of gradient-based distributed optimization…
This work proposes a Stochastic Variational Deep Kernel Learning method for the data-driven discovery of low-dimensional dynamical models from high-dimensional noisy data. The framework is composed of an encoder that compresses…
Density estimation is a fundamental task in statistics and machine learning applications. Kernel density estimation is a powerful tool for non-parametric density estimation in low dimensions; however, its performance is poor in higher…