Related papers: Potential Hessian Ascent III: Sampling the Sherrin…

In this paper, we propose a new method to measure the probabilistic robustness of stochastic jump linear system with respect to both the initial state uncertainties and the randomness in switching. Wasserstein distance which defines a…

We consider Gibbs samplers for a normal linear regression model with a global-local shrinkage prior and show that they produce geometrically ergodic Markov chains. First, under the horseshoe local prior and a three-parameter beta global…

We propose a hybrid resampling method to approximate finitely supported Wasserstein barycenters on large-scale datasets, which can be combined with any exact solver. Nonasymptotic bounds on the expected error of the objective value as well…

Since the introduction of the Sliced Wasserstein distance in the literature, its simplicity and efficiency have made it one of the most interesting surrogate for the Wasserstein distance in image processing and machine learning. However,…

Considering two random variables with different laws to which we only have access through finite size iid samples, we address how to reweight the first sample so that its empirical distribution converges towards the true law of the second…

Measuring similarities between different tasks is critical in a broad spectrum of machine learning problems, including transfer, multi-task, continual, and meta-learning. Most current approaches to measuring task similarities are…

In maximum-likelihood quantum state tomography, both the sample size and dimension grow exponentially with the number of qubits. It is therefore desirable to develop a stochastic first-order method, just like stochastic gradient descent for…

This paper introduces a novel Homogeneous Second-order Descent Ascent (HSDA) algorithm for nonconvex-strongly concave minimax optimization problems. At each iteration, HSDA uniquely computes a search direction by solving a homogenized…

We derive quantitative bounds in the Wasserstein distance for the approximation of stochastic integrals with respect to Hawkes processes by a normally distributed random variable. In the case of deterministic and non-negative integrands,…

We consider the Sherrington-Kirkpatrick model with no external field and inverse temperature $\beta<1$ and prove that the expected operator norm of the covariance matrix of the Gibbs measure is bounded by a constant depending only on…

Optimization techniques are at the core of many scientific and engineering disciplines. The steepest descent methods play a foundational role in this area. In this paper we studied a generalized steepest descent method on Riemannian…

Optimal transport has gained significant attention in recent years due to its effectiveness in deep learning and computer vision. Its descendant metric, the Wasserstein distance, has been particularly successful in measuring distribution…

Making sense of Wasserstein distances between discrete measures in high-dimensional settings remains a challenge. Recent work has advocated a two-step approach to improve robustness and facilitate the computation of optimal transport, using…

In this paper, we derive higher order Edgeworth expansions for the finite sample distributions of the subsampling-based t-statistic and the Wald statistic in the Gaussian location model under the so-called fixed-smoothing paradigm. In…

The paper gives a bound on the generalization error of the Gibbs algorithm, which recovers known data-independent bounds for the high temperature range and extends to the low-temperature range, where generalization depends critically on the…

Stochastic second-order methods achieve fast local convergence in strongly convex optimization by using noisy Hessian estimates to precondition the gradient. However, these methods typically reach superlinear convergence only when the…

In this work, we describe a generic approach to show convergence with high probability for both stochastic convex and non-convex optimization with sub-Gaussian noise. In previous works for convex optimization, either the convergence is only…

In many-body quantum systems, the quantum Fisher information an observer can obtain is susceptible to decoherence. Consequently, quantum enhanced metrology, such as Heisenberg scaling, cannot usually be achieved. We show, via two distinct…

We derive first-order (in the stepsize) bounds on the bias in Wasserstein distances of the invariant measure of stochastic gradient kinetic Langevin dynamics with minimal assumptions on the stochastic gradient noise. These bounds sharpen…

Data consisting of time-indexed distributions of cross-sectional or intraday returns have been extensively studied in finance, and provide one example in which the data atoms consist of serially dependent probability distributions.…