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Higher order numerical schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals. In this work, we extend the algorithms derived by Kloeden, Platen,…
Deep Q-learning algorithms often suffer from poor gradient estimations with an excessive variance, resulting in unstable training and poor sampling efficiency. Stochastic variance-reduced gradient methods such as SVRG have been applied to…
Comparing probability distributions is at the crux of many machine learning algorithms. Maximum Mean Discrepancies (MMD) and Wasserstein distances are two classes of distances between probability distributions that have attracted abundant…
In this paper, we are proposing a unified and principled method for both the querying and training processes in deep batch active learning. We are providing theoretical insights from the intuition of modeling the interactive procedure in…
Deep Reinforcement Learning is gaining increasing attention thanks to its capability to learn complex policies in high-dimensional settings. Recent advancements utilize a dual-network architecture to learn optimal policies through the…
Due to the complexity and volatility of the traffic environment, decision-making in autonomous driving is a significantly hard problem. In this project, we use a Deep Q-Network, along with rule-based constraints to make lane-changing…
This paper develops methods for numerically solving stochastic delay-differential equations (SDDEs) with multiple fixed delays that do not align with a uniform time mesh. We focus on numerical schemes of strong convergence orders $1/2$ and…
Reinforcement learning (RL) has been widely studied for improving sequence-generation models. However, the conventional rewards used for RL training typically cannot capture sufficient semantic information and therefore render model bias.…
Deep metric learning employs deep neural networks to embed instances into a metric space such that distances between instances of the same class are small and distances between instances from different classes are large. In most existing…
The challenge of approximating functions in infinite-dimensional spaces from finite samples is widely regarded as formidable. We delve into the challenging problem of the numerical approximation of Sobolev-smooth functions defined on…
In this paper, we propose forward and backward stochastic differential equations (FBSDEs) based deep neural network (DNN) learning algorithms for the solution of high dimensional quasilinear parabolic partial differential equations (PDEs),…
We consider a $d$-dimensional stochastic differential equation (SDE) of the form $d U_t = b(U_t) dt + \sigma\,d Z_t$, let $X_t$ be the solution if the driving noise $Z_t$ is a $d$-dimensional rotationally symmetric $\alpha$-stable process…
Stochastic Approximation (SA) is a widely used algorithmic approach in various fields, including optimization and reinforcement learning (RL). Among RL algorithms, Q-learning is particularly popular due to its empirical success. In this…
Distributed computing is critically important for modern statistical analysis. Herein, we develop a distributed quasi-Newton (DQN) framework with excellent statistical, computation, and communication efficiency. In the DQN method, no…
This study addresses the challenge of optimal power allocation in stochastic wireless networks by employing a Deep Reinforcement Learning (DRL) framework. Specifically, we design a Deep Q-Network (DQN) agent capable of learning adaptive…
Recent work on Path-Dependent Partial Differential Equations (PPDEs) has shown that PPDE solutions can be approximated by a probabilistic representation, implemented in the literature by the estimation of conditional expectations using…
Discrete time stochastic optimal control problems and Markov decision processes (MDPs) are fundamental models for sequential decision-making under uncertainty and as such provide the mathematical framework underlying reinforcement learning…
The Wasserstein distance is a distance between two probability distributions and has recently gained increasing popularity in statistics and machine learning, owing to its attractive properties. One important approach to extending this…
Generative Adversarial Nets (GANs) are very successful at modeling distributions from given samples, even in the high-dimensional case. However, their formulation is also known to be hard to optimize and often not stable. While this is…
We propose a novel deep neural network (DNN) based approximation architecture to learn estimates of measurements. We detail an algorithm that enables training of the DNN. The DNN estimator only uses measurements, if and when they are…