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We describe stochastic Newton and stochastic quasi-Newton approaches to efficiently solve large linear least-squares problems where the very large data sets present a significant computational burden (e.g., the size may exceed computer…
This paper studies stochastic optimization problems with polynomials. We propose an optimization model with sample averages and perturbations. The Lasserre type Moment-SOS relaxations are used to solve the sample average optimization.…
We reinterpret multiplicative noise in neural networks as auxiliary random variables that augment the approximate posterior in a variational setting for Bayesian neural networks. We show that through this interpretation it is both efficient…
Minimizing the Mean Squared Error (MSE) is a key objective in machine learning and is commonly used for imputing missing values. While this approach provides accurate point estimates, it introduces systematic biases in downstream analyses.…
A stochastic incremental subgradient algorithm for the minimization of a sum of convex functions is introduced. The method sequentially uses partial subgradient information and the sequence of partial subgradients is determined by a general…
A Maxwell solver derived from finite element method with \mathcal{O}(N) computing cost is developed to improve the numerical dispersion properties in relativistic particle-in-cell (PIC) simulations. The correction of the dispersion relation…
Several continuous dynamical systems have recently been proposed as special-purpose analog computers designed to solve combinatorial optimization problems such as $k$-SAT or the Ising problem. While combinatorial optimization problems are…
We present numerical schemes for the strong solution of linear stochastic differential equations driven by an arbitrary number of Wiener processes. These schemes are based on the Neumann (stochastic Taylor) and Magnus expansions. Firstly,…
Multi-objective verification problems of parametric Markov decision processes under optimality criteria can be naturally expressed as nonlinear programs. We observe that many of these computationally demanding problems belong to the…
The solution of a parabolic stochastic partial differential equation (SPDE) driven by an infinite-dimensional Brownian motion is in general not a semi-martingale anymore and does in general not satisfy an It\^{o} formula like the solution…
In this work, we introduce a machine/deep learning methodology to solve parametric integrals. Besides classical machine learning approaches, we consider a differential learning framework that incorporates derivative information during…
We study the stochastic nonlinear Schr\"odinger equations with additive stochastic forcing. By using the dispersive estimate, we present a simple argument, constructing a unique local-in-time solution with rougher stochastic forcing than…
Stochastic gradient descent type methods are ubiquitous in machine learning, but they are only applicable to the optimization of differentiable functions. Proximal algorithms are more general and applicable to nonsmooth functions. We…
This paper aims to investigate numerical approximation of a general second order non-autonomous semilinear parabolic stochastic partial differential equation (SPDE) driven by multiplicative noise. Numerical approximations of autonomous…
Multiplicative noise models are often used instead of additive noise models in cases in which the noise variance depends on the state. Furthermore, when Poisson distributions with relatively small counts are approximated with normal…
In this work, we investigate data fitting problems with random noises. A randomized progressive iterative regularization method is proposed. It works well for large-scale matrix computations and converges in expectation to the least-squares…
We study strictly parabolic stochastic partial differential equations on $\R^d$, $d\ge 1$, driven by a Gaussian noise white in time and coloured in space. Assuming that the coefficients of the differential operator are random, we give…
In this paper we consider iterative methods for stochastic variational inequalities (s.v.i.) with monotone operators. Our basic assumption is that the operator possesses both smooth and nonsmooth components. Further, only noisy observations…
We develop a computational procedure to estimate the covariance hyperparameters for semiparametric Gaussian process regression models with additive noise. Namely, the presented method can be used to efficiently estimate the variance of the…
In the pathwise stochastic calculus framework, the paper deals with the general study of equations driven by an additive Gaussian noise, with a drift function having an infinite limit at point zero. An ergodic theorem and the convergence of…