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Nowadays, sampling-based Approximate Query Processing (AQP) is widely regarded as a promising way to achieve interactivity in big data analytics. To build such an AQP system, finding the minimal sample size for a query regarding given error…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
Fitting probabilistic models to data is often difficult, due to the general intractability of the partition function. We propose a new parameter fitting method, Minimum Probability Flow (MPF), which is applicable to any parametric model. We…
Online optimization has gained increasing interest due to its capability of tracking real-world streaming data. Although online optimization methods have been widely studied in the setting of frequentist statistics, few works have…
In this paper, we propose a generalized successive approximation method (SAM), called invariantly admissible policy iteration (PI), for finding the solution to a class of input-affine nonlinear optimal control problems by iterations. Unlike…
Sample-based trajectory optimisers are a promising tool for the control of robotics with non-differentiable dynamics and cost functions. Contemporary approaches derive from a restricted subclass of stochastic optimal control where the…
In this paper, we consider a modified version of the control problem in a model free Markov decision process (MDP) setting with large state and action spaces. The control problem most commonly addressed in the contemporary literature is to…
The classical Method of Successive Approximations (MSA) is an iterative method for solving stochastic control problems and is derived from Pontryagin's optimality principle. It is known that the MSA may fail to converge. Using careful…
The Gibbs sampler (GS) is a crucial algorithm for approximating complex calculations, and it is justified by Markov chain theory, the alternating projection theorem, and $I$-projection, separately. We explore the equivalence between these…
Improving the predictive accuracy of a dynamics model is crucial to obtaining good control performance and safety from Model Predictive Controllers (MPC). One approach involves learning unmodelled (residual) dynamics, in addition to nominal…
This paper presents a reactive navigation method that leverages a Model Predictive Path Integral (MPPI) control enhanced with spline interpolation for the control input sequence and Stein Variational Gradient Descent (SVGD). The MPPI…
Stochastic Optimal Control (SOC) problems arise in systems influenced by uncertainty, such as autonomous robots or financial models. Traditional methods like dynamic programming are often intractable for high-dimensional, nonlinear systems…
We consider a two-stage stochastic decision problem where the decision-maker has the opportunity to obtain information about the distribution of the random variables $\xi$ that appear in the problem through a set of discrete actions that we…
We introduce a simple and efficient algorithm for stochastic linear bandits with finitely many actions that is asymptotically optimal and (nearly) worst-case optimal in finite time. The approach is based on the frequentist…
We propose a stochastic model predictive control (MPC) framework for linear systems subject to joint-in-time chance constraints under unknown disturbance distributions. Unlike existing approaches that rely on parametric or Gaussian…
In this paper, we investigate combining blocking and collapsing -- two widely used strategies for improving the accuracy of Gibbs sampling -- in the context of probabilistic graphical models (PGMs). We show that combining them is not…
We present several improvements of the infinite matrix product state (iMPS) algorithm for finding ground states of one-dimensional quantum systems with long-range interactions. As a main new ingredient we introduce the superposed…
In this paper we propose a stochastic model predictive control (MPC) algorithm for linear discrete-time systems affected by possibly unbounded additive disturbances and subject to probabilistic constraints. Constraints are treated in…
We study primal-dual type stochastic optimization algorithms with non-uniform sampling. Our main theoretical contribution in this paper is to present a convergence analysis of Stochastic Primal Dual Coordinate (SPDC) Method with arbitrary…
Simultaneous perturbation stochastic approximation (SPSA) is widely used in stochastic optimization due to its high efficiency, asymptotic stability, and reduced number of required loss function measurements. However, the standard SPSA…