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We address high dimensional covariance estimation for elliptical distributed samples, which are also known as spherically invariant random vectors (SIRV) or compound-Gaussian processes. Specifically we consider shrinkage methods that are…
Recent trends of ab initio studies and progress in methodologies for electronic structure calculations of strongly correlated electron systems are discussed. The interest for developing efficient methods is motivated by recent discoveries…
Incorporating renewable energy sources into modern power grids has significantly decreased system inertia, which has raised concerns about power system vulnerability to disturbances and frequency instability. The conventional methods for…
A novel method of an adaptive linear quadratic (LQ) regulation of uncertain continuous linear time-invariant systems is proposed. Such an approach is based on the direct self-tuning regulators design framework and the exponentially stable…
This paper investigates the robust asymptotic stabilization of a linear time-invariant (LTI) system by a static feedback with a static state quantization. It is shown that the controllable LTI system can be stabilized to zero in a finite…
Reinforcement learning (RL) tasks are challenging to implement, execute and test due to algorithmic instability, hyper-parameter sensitivity, and heterogeneous distributed communication patterns. We argue for the separation of logical…
In this paper, the notion of robust strict QSR-dissipativity is applied to solve the static output feedback control problem for a class of continuous-time nonlinear rational systems subject to input saturation and bounded parametric…
A linearized tensor renormalization group (LTRG) algorithm is proposed to calculate the thermodynamic properties of one-dimensional quantum lattice models, that is incorporated with the infinite time-evolving block decimation technique, and…
We present a general setting in which the formula describing the linear response of the physical measure of a perturbed system can be obtained. In this general setting we obtain an algorithm to rigorously compute the linear response. We…
This paper develops a robust control synthesis method for uncertain linear systems with input saturation in the framework of integral quadratic constraints (IQCs). The system is reformulated as a linear fractional representation (LFR) that…
In this paper, we consider robust stability analysis of large-scale sparsely interconnected uncertain systems. By modeling the interconnections among the subsystems with integral quadratic constraints, we show that robust stability analysis…
Temporal interaction graphs (TIGs), defined by sequences of timestamped interaction events, have become ubiquitous in real-world applications due to their capability to model complex dynamic system behaviors. As a result, temporal…
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis. Our findings lead to new stylized facts in…
In many applications of finance, biology and sociology, complex systems involve entities interacting with each other. These processes have the peculiarity of evolving over time and of comprising latent factors, which influence the system…
The Linear Quadratic Gaussian (LQG) controller is known to be inherently fragile to model misspecifications common in real-world situations. We consider discrete-time partially observable stochastic linear systems and provide a…
This paper proposes a nonlinear estimator for the robust reconstruction of process and sensor faults for a class of uncertain nonlinear systems. The proposed fault estimation method augments the system dynamics with an ultra-local (in time)…
In this paper we apply the stochastic variance reduced gradient (SVRG) method, which is a popular variance reduction method in optimization for accelerating the stochastic gradient method, to solve large scale linear ill-posed systems in…
Graphs with high symmetry or regularity are the main source for experimentally hard instances of the notoriously difficult graph isomorphism problem. In this paper, we study the computational complexity of isomorphism testing for line…
The robustness of the stability properties of dynamical systems in the presence of unknown/adversarial perturbations to system parameters is a desirable property. In this paper, we present methods to efficiently compute and improve the…
The linear algorithm of the Wiener filter and constrained realizations (CRs) of Gaussian random fields is extended here to perform non-linear CRs. The procedure consists of: (1) Using low resolution data to constrain a high resolution…