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The key issue in importance sampling is the choice of the alternative sampling distribution, which is often chosen from the exponential tilt family of the underlying distribution. However, when the problem exhibits certain kind of…
The cross-entropy (CE) method is a popular stochastic method for optimization due to its simplicity and effectiveness. Designed for rare-event simulations where the probability of a target event occurring is relatively small, the CE-method…
The Improved Cross-Entropy (ICE) method is a powerful tool for estimating failure probabilities in reliability analysis. Its core idea is to approximate the optimal importance-sampling density by minimizing the forward Kullback-Leibler…
Recently, Giles et al. [14] proved that the efficiency of the Multilevel Monte Carlo (MLMC) method for evaluating Down-and-Out barrier options for a diffusion process $(X_t)_{t\in[0,T]}$ with globally Lipschitz coefficients, can be improved…
In this paper, a safe and learning-based control framework for model predictive control (MPC) is proposed to optimize nonlinear systems with a non-differentiable objective function under uncertain environmental disturbances. The control…
The purpose of this note is to show how the method of maximum entropy in the mean (MEM) may be used to improve parametric estimation when the measurements are corrupted by large level of noise. The method is developed in the context on a…
This study proposes a novel approach to quantifying uncertainties of constitutive relations inferred from noisy experimental data using inverse modelling. We focus on electrochemical systems in which charged species (e.g., Lithium ions) are…
Information theoretic active learning has been widely studied for probabilistic models. For simple regression an optimal myopic policy is easily tractable. However, for other tasks and with more complex models, such as classification with…
We present the marginal unbiased score expansion (MUSE) method, an algorithm for generic high-dimensional hierarchical Bayesian inference. MUSE performs approximate marginalization over arbitrary non-Gaussian latent parameter spaces,…
Bayesian nonparametric mixture models are widely used to cluster observations. However, one major drawback of the approach is that the estimated partition often presents unbalanced clusters' frequencies with only a few dominating clusters…
The problem of assigning probability distributions which objectively reflect the prior information available about experiments is one of the major stumbling blocks in the use of Bayesian methods of data analysis. In this paper the method of…
A density estimation method in a Bayesian nonparametric framework is presented when recorded data are not coming directly from the distribution of interest, but from a length biased version. From a Bayesian perspective, efforts to…
This paper suggests a nonparametric scheme to find the sparse solution of the underdetermined system of linear equations in the presence of unknown impulsive or non-Gaussian noise. This approach is robust against any variations of the noise…
Objective: Sparse Bayesian learning provides an effective scheme to solve the high-dimensional problem in brain signal decoding. However, traditional assumptions regarding data distributions such as Gaussian and binomial are potentially…
Bayesian models often involve a small set of hyperparameters determined by maximizing the marginal likelihood. Bayesian optimization is a popular iterative method where a Gaussian process posterior of the underlying function is sequentially…
We consider inverse problems estimating distributed parameters from indirect noisy observations through discretization of continuum models described by partial differential or integral equations. It is well understood that the errors…
Bayesian methods are a popular choice for statistical inference in small-data regimes due to the regularization effect induced by the prior. In the context of density estimation, the standard nonparametric Bayesian approach is to target the…
The minimum error entropy (MEE) criterion has been verified as a powerful approach for non-Gaussian signal processing and robust machine learning. However, the implementation of MEE on robust classification is rather a vacancy in the…
In inverse problems, the parameters of a model are estimated based on observations of the model response. The Bayesian approach is powerful for solving such problems; one formulates a prior distribution for the parameter state that is…
Discrete optimal transportation problems arise in various contexts in engineering, the sciences and the social sciences. Often the underlying cost criterion is unknown, or only partly known, and the observed optimal solutions are corrupted…