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The global optimization of a high-dimensional black-box function under black-box constraints is a pervasive task in machine learning, control, and engineering. These problems are challenging since the feasible set is typically non-convex…
We analyze the long-term stability of a stochastic model designed to illustrate the adaptation of a population to variation in its environment. A piecewise-deterministic process modeling adaptation is coupled to a Feller logistic diffusion…
Scaling limits are analyzed for stochastic continuous opinion dynamics systems, also known as gossip models. In such models, agents update their vector-valued opinion to a convex combination (possibly agent- and opinion-dependent) of their…
In this technical note we consider a class of multi-agent network systems that we refer to as Open Multi-Agent Systems (OMAS): in these multi-agent systems, an indefinite number of agents may join or leave the network at any time. Focusing…
We present a multi-agent algorithm for multi-objective optimization problems, which extends the class of consensus-based optimization methods and relies on a scalarization strategy. The optimization is achieved by a set of interacting…
Stability selection (Meinshausen and Buhlmann, 2010) makes any feature selection method more stable by returning only those features that are consistently selected across many subsamples. We prove (in what is, to our knowledge, the first…
Bayesian optimisation (BO) has been a successful approach to optimise functions which are expensive to evaluate and whose observations are noisy. Classical BO algorithms, however, do not account for errors about the location where…
Stochastic policies (also known as relaxed controls) are widely used in continuous-time reinforcement learning algorithms. However, executing a stochastic policy and evaluating its performance in a continuous-time environment remain open…
Multi-objective Bayesian optimization has been widely adopted in scientific experiment design, including drug discovery and hyperparameter optimization. In practice, regulatory or safety concerns often impose additional thresholds on…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
This article addresses the problem of average consensus in a multi-agent system when the desired consensus quantity is a time varying signal. Recently, the EDCHO protocol leveraged high order sliding modes to achieve exact consensus under a…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
This paper studies the asymptotic behavior of several continuous-time dynamical systems which are analogs of ant colony optimization algorithms that solve shortest path problems. Local asymptotic stability of the equilibrium corresponding…
We propose and study a novel efficient algorithm for clustering and classification tasks based on the famous MBO scheme. On the one hand, inspired by Jacobs et al. [J. Comp. Phys. 2018], we introduce constraints on the size of clusters…
The performance of the meta-heuristic algorithms often depends on their parameter settings. Appropriate tuning of the underlying parameters can drastically improve the performance of a meta-heuristic. The Ant Colony Optimization (ACO), a…
Bayesian optimization (BO) is a widely used approach to hyperparameter optimization (HPO). However, most existing HPO methods only incorporate expert knowledge during initialization, limiting practitioners' ability to influence the…
In this paper we consider a continuous description based on stochastic differential equations of the popular particle swarm optimization (PSO) process for solving global optimization problems and derive in the large particle limit the…
The popularity of Bayesian Optimization (BO) to automate or support the commissioning of engineering systems is rising. Conventional BO, however, relies on the availability of a scalar objective function. The latter is often difficult to…
Bayesian optimization (BO) is a widely popular approach for the hyperparameter optimization (HPO) in machine learning. At its core, BO iteratively evaluates promising configurations until a user-defined budget, such as wall-clock time or…
Bayesian optimisation (BO) is widely used to optimise stochastic black box functions. While most BO approaches focus on optimising conditional expectations, many applications require risk-averse strategies and alternative criteria…