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Global sensitivity analysis is a powerful set of ideas and heuristics for understanding the importance and interplay between uncertain parameters in a computational model. Such a model is characterized by a set of input parameters and an…
We show that the variance of the Monte Carlo estimator that is importance sampled from an exponential family is a convex function of the natural parameter of the distribution. With this insight, we propose an adaptive importance sampling…
This paper studies the complexity of estimating Renyi divergences of discrete distributions: $p$ observed from samples and the baseline distribution $q$ known \emph{a priori}. Extending the results of Acharya et al. (SODA'15) on estimating…
Likelihood-free Bayesian inference algorithms are popular methods for calibrating the parameters of complex, stochastic models, required when the likelihood of the observed data is intractable. These algorithms characteristically rely…
In this work, we present a generalized methodology for analyzing the convergence of quasi-optimal Taylor and Legendre approximations, applicable to a wide class of parameterized elliptic PDEs with finite-dimensional deterministic and…
Adaptive importance sampling is a class of techniques for finding good proposal distributions for importance sampling. Often the proposal distributions are standard probability distributions whose parameters are adapted based on the…
Detectability of failures of linear programming (LP) decoding and its potential for improvement by adding new constraints motivate the use of an adaptive approach in selecting the constraints for the LP problem. In this paper, we make a…
This paper investigates a class of non-autonomous highly oscillatory ordinary differential equations characterized by a linear component inversely proportional to a small parameter $\varepsilon$, with purely imaginary eigenvalues, and an…
Embedding-based methods have attracted increasing attention in recent entity alignment (EA) studies. Although great promise they can offer, there are still several limitations. The most notable is that they identify the aligned entities…
Given a matrix $A$, the goal of the entrywise low-rank approximation problem is to find $\operatorname{argmin} \|A-B\|_p$ over all rank-$k$ matrices $B$, where $\| \cdot \|_p$ is the entrywise $\ell_p$ norm. When $p = 2$ this well-studied…
Building on the blueprint from Goemans and Williamson (1995) for the Max-Cut problem, we construct a polynomial-time approximation algorithm for orthogonally constrained quadratic optimization problems. First, we derive a semidefinite…
In several implementations of Sequential Monte Carlo (SMC) methods it is natural, and important in terms of algorithmic efficiency, to exploit the information of the history of the samples to optimally tune their subsequent propagations. In…
Quantum algorithms to integrate nonlinear PDEs governing flow problems are challenging to discover but critical to enhancing the practical usefulness of quantum computing. We present here a near-optimal, robust, and end-to-end quantum…
We give a new deterministic algorithm that non-adaptively learns a hidden hypergraph from edge-detecting queries. All previous non-adaptive algorithms either run in exponential time or have non-optimal query complexity. We give the first…
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…
This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…
Constrained optimization problems appear in a wide variety of challenging real-world problems, where constraints often capture the physics of the underlying system. Classic methods for solving these problems rely on iterative algorithms…
The Bonferroni adjustment, or the union bound, is commonly used to study rate optimality properties of statistical methods in high-dimensional problems. However, in practice, the Bonferroni adjustment is overly conservative. The extreme…
Sparse polynomial approximation has become indispensable for approximating smooth, high- or infinite-dimensional functions from limited samples. This is a key task in computational science and engineering, e.g., surrogate modelling in…
We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regularised objective function, referred to as generalised speed…