Related papers: A tridiagonal matrix-valued process with stochasti…
We consider the problem of learning the optimal policy for infinite-horizon Markov decision processes (MDPs). For this purpose, some variant of Stochastic Mirror Descent is proposed for convex programming problems with Lipschitz-continuous…
\noindent \textbf{Abstract}: We consider the parameter estimation problem for the Ornstein-Uhlenbeck process $X$ driven by a fractional Ornstein-Uhlenbeck process $V$, i.e. the pair of processes defined by the non-Markovian continuous-time…
In a recent paper, a new method was proposed to find the common invariant subspaces of a set of matrices. This paper invstigates the more general problem of putting a set of matrices into block triangular or block-diagonal form…
At the scale of the individual cell, protein production is a stochastic process with multiple time scales, combining quick and slow random steps with discontinuous and smooth variation. Hybrid stochastic processes, in particular…
We define a random-matrix ensemble given by the infinite-time covariance matrices of Ornstein-Uhlenbeck processes at different temperatures coupled by a Gaussian symmetric matrix. The spectral properties of this ensemble are shown to be in…
We consider a positive stationary generalized Ornstein--Uhlenbeck process \[V_t=\mathrm{e}^{-\xi_t}\biggl(\int_0^t\mathrm{e}^{\xi_{s-}}\ ,\mathrm{d}\eta_s+V_0\biggr)\qquadfor t\geq0,\] and the increments of the integrated generalized…
The random variable $1+z_1+z_1z_2+\dots$ appears in many contexts and was shown by Kesten to exhibit a heavy tail distribution. We consider natural extensions of this variable and its associated recursion to $N \times N$ matrices either…
We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to…
This paper presents a pre-processing and a distance which improve the performance of machine learning algorithms working on independent and identically distributed stochastic processes. We introduce a novel non-parametric approach to…
In this paper, we investigate the reconstruction of a bivariate function from weighted edge integrals on a triangular mesh, a problem of central importance in tomography, computer vision, and numerical approximation. Our approach is based…
In recent years, promising statistical modeling approaches to tensor data analysis have been rapidly developed. Traditional multivariate analysis tools, such as multivariate regression and discriminant analysis, are generalized from…
The truncated Hilbert transform with overlap $H_T$ is an operator that arises in tomographic reconstruction from limited data, more precisely in the method of Differentiated Back-Projection (DBP). Recent work [1] has shown that the singular…
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the cases. (1) The eigenvalues of $F$ are in…
Given a fixed $n\times d$ matrix $\mathbf{X}$, where $n\gg d$, we study the complexity of sampling from a distribution over all subsets of rows where the probability of a subset is proportional to the squared volume of the parallelepiped…
We present a simple construction for a tridiagonal matrix $T$ that commutes with the hopping matrix for the entanglement Hamiltonian ${\cal H}$ of open finite free-Fermion chains associated with families of discrete orthogonal polynomials.…
The numerical solution of eigenvalue problems is essential in various application areas of scientific and engineering domains. In many problem classes, the practical interest is only a small subset of eigenvalues so it is unnecessary to…
Iterative hard thresholding (IHT) and compressive sampling matching pursuit (CoSaMP) are two types of mainstream compressed sensing algorithms using hard thresholding operators for signal recovery and approximation. The guaranteed…
In this paper we consider the unconstrained minimization problem of a smooth function in ${\mathbb{R}}^n$ in a setting where only function evaluations are possible. We design a novel randomized derivative-free algorithm --- the stochastic…
We present an efficient sampling method for computing a partition function and accelerating configuration sampling. The method performs a random walk in the $\lambda$ space, with $\lambda$ being any thermodynamic variable that characterizes…
The self-healing diffusion Monte Carlo algorithm (SHDMC) [Reboredo, Hood and Kent, Phys. Rev. B {\bf 79}, 195117 (2009); Reboredo, {\it ibid.} {\bf 80}, 125110 (2009)] is extended to study the ground and excited states of magnetic and…