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Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of…
We consider the estimation of sensitivity indices based on divergence measures such as Hellinger distance. For sensitivity analysis of complex models, these divergence-based indices can be estimated by Monte-Carlo sampling (MCS) in…
``Localization'' has proven to be a valuable tool in the Statistical Learning literature as it allows sharp risk bounds in terms of the problem geometry. Localized bounds seem to be much less exploited in the Stochastic Optimization…
The progressive hedging algorithm (PHA) is a cornerstone among algorithms for large-scale stochastic programming problems. However, its traditional implementation is hindered by some limitations, including the requirement to solve all…
First-order methods for stochastic optimization have undeniable relevance, in part due to their pivotal role in machine learning. Variance reduction for these algorithms has become an important research topic. In contrast to common…
Traditionally, the field of computational Bayesian statistics has been divided into two main subfields: variational methods and Markov chain Monte Carlo (MCMC). In recent years, however, several methods have been proposed based on combining…
We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…
We investigate the convergence properties of a stochastic primal-dual splitting algorithm for solving structured monotone inclusions involving the sum of a cocoercive operator and a composite monotone operator. The proposed method is the…
Hyper-differential sensitivity analysis with respect to model discrepancy was recently developed to enable uncertainty quantification for optimization problems. The approach consists of two primary steps: (i) Bayesian calibration of the…
Models with intractable normalizing functions have numerous applications. Because the normalizing constants are functions of the parameters of interest, standard Markov chain Monte Carlo cannot be used for Bayesian inference for these…
Through the Bayesian lens of data assimilation, uncertainty on model parameters is traditionally quantified through the posterior covariance matrix. However, in modern settings involving high-dimensional and computationally expensive…
In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in rewards in addition to maximizing a standard criterion. Variance related risk measures are among the most common…
This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…
Reinforcement learning methods for robotics are increasingly successful due to the constant development of better policy gradient techniques. A precise (low variance) and accurate (low bias) gradient estimator is crucial to face…
This paper considers stochastic convex optimization problems with smooth functional constraints arising in constrained estimation and robust signal recovery. We operate in the high-dimensional and highly-constrained setting, where oracle…
We consider the problem of estimating parameter sensitivities for stochastic models of multiscale reaction networks. These sensitivity values are important for model analysis, and, the methods that currently exist for sensitivity estimation…
The stochastic simulation algorithm (SSA) and the corresponding Monte Carlo (MC) method are among the most common approaches for studying stochastic processes. They rely on knowledge of interevent probability density functions (PDFs) and on…
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…
Reinforcement learning methods for robotics are increasingly successful due to the constant development of better policy gradient techniques. A precise (low variance) and accurate (low bias) gradient estimator is crucial to face…
This paper is devoted to the convergence analysis of stochastic approximation algorithms of the form $\theta\_{n+1} = \theta\_n + \gamma\_{n+1} H\_{\theta\_n}(X\_{n+1})$ where $\{\theta\_nn, n \geq 0\}$ is a $R^d$-valued sequence,…