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We present a numerical method for learning the dynamics of slow components of unknown multiscale stochastic dynamical systems. While the governing equations of the systems are unknown, bursts of observation data of the slow variables are…
In this paper, we are concerned with a non-asymptotic analysis of sampling algorithms used in nonconvex optimization. In particular, we obtain non-asymptotic estimates in Wasserstein-1 and Wasserstein-2 distances for a popular class of…
We study distributionally robust online learning, where a risk-averse learner updates decisions sequentially to guard against worst-case distributions drawn from a Wasserstein ambiguity set centered at past observations. While this paradigm…
Learning conditional densities and identifying factors that influence the entire distribution are vital tasks in data-driven applications. Conventional approaches work mostly with summary statistics, and are hence inadequate for a…
Wasserstein barycenters provide a geometric notion of the weighted average of probability measures based on optimal transport. In this paper, we present a scalable algorithm to compute Wasserstein-2 barycenters given sample access to the…
We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality…
This paper proposes a probabilistic Bayesian formulation for system identification (ID) and estimation of nonseparable Hamiltonian systems using stochastic dynamic models. Nonseparable Hamiltonian systems arise in models from diverse…
We propose a parameter efficient Bayesian layer for hierarchical convolutional Gaussian Processes that incorporates Gaussian Processes operating in Wasserstein-2 space to reliably propagate uncertainty. This directly replaces convolving…
The problem of distributed identification of linear stochastic system with unknown coefficients over time-varying networks is considered. For estimating the unknown coefficients, each agent in the network can only access the input and the…
Optimization over the space of probability measures endowed with the Wasserstein-2 geometry is central to modern machine learning and mean-field modeling. However, traditional methods relying on full Wasserstein gradients often suffer from…
Reconstructing network dynamics from data is crucial for predicting the changes in the dynamics of complex systems such as neuron networks; however, previous research has shown that the reconstruction is possible under strong constraints…
The adapted Wasserstein distance is a metric for quantifying distributional uncertainty and assessing the sensitivity of stochastic optimization problems on time series data. A computationally efficient alternative to it, is provided by the…
In this paper, a stochastic algorithm for the efficient simulation and optimal control of networked wave equations based on the random batch method is proposed and analyzed. The random approximation is constructed by dividing the time…
Distributional ambiguity sets provide quantifiable ways to characterize the uncertainty about the true probability distribution of random variables of interest. This makes them a key element in data-driven robust optimization by exploiting…
We present a novel class of projected methods, to perform statistical analysis on a data set of probability distributions on the real line, with the 2-Wasserstein metric. We focus in particular on Principal Component Analysis (PCA) and…
This work introduces a general framework for establishing the long time accuracy for approximations of Markovian dynamical systems on separable Banach spaces. Our results illuminate the role that a certain uniformity in Wasserstein…
We present a novel computational framework for density control in high-dimensional state spaces. The considered dynamical system consists of a large number of indistinguishable agents whose behaviors can be collectively modeled as a…
We consider distributionally robust optimization problems where the uncertainty is modeled via a structured Wasserstein ambiguity set. Specifically, the ambiguity is restricted to product measures $P^{\otimes N}$, where $P$ lies within a…
This paper studies distributed continuous-time optimization for time-varying quadratic cost functions with uncertain parameters. We first propose a centralized adaptive optimization algorithm using partial information of the cost function.…
This paper addresses the problem of optimizing sensor deployment locations to reconstruct and also predict a spatiotemporal field. A novel deep learning framework is developed to find a limited number of optimal sampling locations and based…