Related papers: Filtering of second order generalized stochastic p…
We study the third order in time linear dissipative wave equation known as the Standard Linear Viscoelastic Model, that appears also as the linearization of the so-called Moore-Gibson-Thompson equation in Nonlinear Acoustics. We complete…
We consider linearizations of stochastic differential equations with additive noise using the Karhunen-Lo\`eve expansion. We obtain our linearizations by truncating the expansion and writing the solution as a series of matrix-vector…
In this paper, we investigate regularization of linear inverse problems with irregular noise. In particular, we consider the case that the noise can be preprocessed by certain adjoint embedding operators. By introducing the consequent…
This work aims to control the dynamics of certain non-Newtonian fluids in a bounded domain of $\mathbb{R}^d$, $d=2,3$ perturbed by a multiplicative Wiener noise, the control acts as a predictable distributed random force, and the goal is to…
A fully discrete approximation of the semi-linear stochastic wave equation driven by multiplicative noise is presented. A standard linear finite element approximation is used in space and a stochastic trigonometric method for the temporal…
This work proposes a nonlinear stochastic filter evolved on the Special Orthogonal Group SO(3) as a solution to the attitude filtering problem. One of the most common potential functions for nonlinear deterministic attitude observers is…
A nonintrusive model order reduction method for bilinear stochastic differential equations with additive noise is proposed. A reduced order model (ROM) is designed in order to approximate the statistical properties of high-dimensional…
We show that the Schr\"{o}dinger-Newton equation, which describes the nonlinear time evolution of self-gravitating quantum matter, can be made compatible with the no-signaling requirement by elevating it to a stochastic differential…
We introduce an ordinate method for noisy data analysis, based solely on rank information and thus insensitive to outliers. The method is nonparametric, objective, and the required data processing is parsimonious. Main ingredients are a…
In this paper we present a novel quasi-Newton algorithm for use in stochastic optimisation. Quasi-Newton methods have had an enormous impact on deterministic optimisation problems because they afford rapid convergence and computationally…
Tomograms, a generalization of the Radon transform to arbitrary pairs of non-commuting operators, are positive bilinear transforms with a rigorous probabilistic interpretation which provide a full characterization of the signal and are…
This thesis is concerned with the stochastic filtering problem for a hidden Markov model (HMM) with the white noise observation model. For this filtering problem, we make three types of original contributions: (1) dual controllability…
Proximal splitting algorithms are well suited to solving large-scale nonsmooth optimization problems, in particular those arising in machine learning. We propose a new primal-dual algorithm, in which the dual update is randomized;…
This paper is on learning the Kalman gain by policy optimization method. Firstly, we reformulate the finite-horizon Kalman filter as a policy optimization problem of the dual system. Secondly, we obtain the global linear convergence of…
This is a survey of some recent results on the rational circulant covariance extension problem: Given a partial sequence $(c_0,c_1,\dots,c_n)$ of covariance lags $c_k=\mathbb{E}\{y(t+k)\overline{y(t)}\}$ emanating from a stationary periodic…
This paper deals with the filtering problem for a class of discrete time stochastic volatility models in which the disturbances have rational probability density functions. This includes the Cauchy distributions and Student t-distributions…
All signals obtained as instrumental response of analytical apparatus are affected by noise, as in Raman spectroscopy. Whereas Raman scattering is an inherently weak process, the noise background can lead to misinterpretations. Although…
In many contemporary optimization problems such as those arising in machine learning, it can be computationally challenging or even infeasible to evaluate an entire function or its derivatives. This motivates the use of stochastic…
This paper presents a direct method to obtain the deterministic and stochastic contribution of the sum of two independent sets of stochastic processes, one of which is composed by Ornstein-Uhlenbeck processes and the other being a general…
This paper deals with linear stochastic partial differential equations with variable coefficients driven by L\'{e}vy white noise. We first derive an existence theorem for integral transforms of L\'{e}vy white noise and prove the existence…