Related papers: Information-theoretic minimax and submodular optim…
Imitation learning (IL) aims to mimic the behavior of an expert policy in a sequential decision-making problem given only demonstrations. In this paper, we focus on understanding the minimax statistical limits of IL in episodic Markov…
Chance constraints are frequently used to limit the probability of constraint violations in real-world optimization problems where the constraints involve stochastic components. We study chance-constrained submodular optimization problems,…
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model…
Structural matrix-variate observations routinely arise in diverse fields such as multi-layer network analysis and brain image clustering. While data of this type have been extensively investigated with fruitful outcomes being delivered, the…
We study the statistical limits of Imitation Learning (IL) in episodic Markov Decision Processes (MDPs) with a state space $\mathcal{S}$. We focus on the known-transition setting where the learner is provided a dataset of $N$ length-$H$…
We consider the problem of designing minimax estimators for estimating the parameters of a probability distribution. Unlike classical approaches such as the MLE and minimum distance estimators, we consider an algorithmic approach for…
We consider first-order linear systems of ordinary differential equations with periodic coefficients. Supposing that right-hand sides of equations are not known and subjected to some quadratic restrictions, we obtain optimal, in certain…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
Consider the following problem: given a set system (U,I) and an edge-weighted graph G = (U, E) on the same universe U, find the set A in I such that the Steiner tree cost with terminals A is as large as possible: "which set in I is the most…
The ability to integrate information in the brain is considered to be an essential property for cognition and consciousness. Integrated Information Theory (IIT) hypothesizes that the amount of integrated information ($\Phi$) in the brain is…
Information-maximization clustering learns a probabilistic classifier in an unsupervised manner so that mutual information between feature vectors and cluster assignments is maximized. A notable advantage of this approach is that it only…
We study differentially private (DP) algorithms for smooth stochastic minimax optimization, with stochastic minimization as a byproduct. The holy grail of these settings is to guarantee the optimal trade-off between the privacy and the…
In this paper we study the effect of stochastic errors on two constrained incremental sub-gradient algorithms. We view the incremental sub-gradient algorithms as decentralized network optimization algorithms as applied to minimize a sum of…
Majorization-minimization algorithms consist of iteratively minimizing a majorizing surrogate of an objective function. Because of its simplicity and its wide applicability, this principle has been very popular in statistics and in signal…
We propose polynomial-time algorithms to minimise labelled Markov chains whose transition probabilities are not known exactly, have been perturbed, or can only be obtained by sampling. Our algorithms are based on a new notion of an…
A framework based on iterative coordinate minimization (CM) is developed for stochastic convex optimization. Given that exact coordinate minimization is impossible due to the unknown stochastic nature of the objective function, the crux of…
Stochastic minimax optimization has drawn much attention over the past decade due to its broad applications in machine learning, signal processing and game theory. In some applications, the probability distribution of uncertainty depends on…
Obtaining sharp estimates for quantities involved in a given model is an integral part of the modeling process. For dynamical systems whose orbits display a complicated, perhaps chaotic, behaviour, the aim is usually to estimate time or…
We study reinforcement learning for episodic Markov Decision Processes (MDPs) whose transitions are modelled by a multinomial logistic (MNL) model. Existing algorithms for MNL mixture MDPs yield a regret of $\smash{\tilde{O}(dH^2\sqrt{T})}$…
We study a general class of convex submodular optimization problems with indicator variables. Many applications such as the problem of inferring Markov random fields (MRFs) with a sparsity or robustness prior can be naturally modeled in…