Related papers: Non-Markovian Optimal Prediction
Inverse optimization has been increasingly used to estimate unknown parameters in an optimization model based on decision data. We show that such a point estimation is insufficient in a prescriptive setting where the estimated parameters…
A recently introduced general-purpose heuristic for finding high-quality solutions for many hard optimization problems is reviewed. The method is inspired by recent progress in understanding far-from-equilibrium phenomena in terms of {\em…
Estimating predictive uncertainty is crucial for many computer vision tasks, from image classification to autonomous driving systems. Hamiltonian Monte Carlo (HMC) is an sampling method for performing Bayesian inference. On the other hand,…
The numerical evaluation of statistics plays a crucial role in statistical physics and its applied fields. It is possible to evaluate the statistics for a stochastic differential equation with Gaussian white noise via the corresponding…
Orthogonal polynomial approximations form the foundation to a set of well-established methods for uncertainty quantification known as polynomial chaos. These approximations deliver models for emulating physical systems in a variety of…
A general class of nonconvex optimization problems is considered, where the penalty is the composition of a linear operator with a nonsmooth nonconvex mapping, which is concave on the positive real line. The necessary optimality condition…
Stochastic approximation is a class of algorithms that update a vector iteratively, incrementally, and stochastically, including, e.g., stochastic gradient descent and temporal difference learning. One fundamental challenge in analyzing a…
In applications of imprecise probability, analysts must compute lower (or upper) expectations, defined as the infimum of an expectation over a set of parameter values. Monte Carlo methods consistently approximate expectations at fixed…
Efficient methods for the description of the non-Markovian dynamics of open systems play an important role in many proposed applications of quantum mechanics. Here we review some of the most important tools that are based on the projection…
Momentum methods play a significant role in optimization. Examples include Nesterov's accelerated gradient method and the conditional gradient algorithm. Several momentum methods are provably optimal under standard oracle models, and all…
A quantum Monte-Carlo is proposed to describe fusion/fission processes when fluctuation and dissipation, with memory effects, are important. The new theory is illustrated for systems with inverted harmonic potentials coupled to a heat-bath.
We consider the problem of finding the best memoryless stochastic policy for an infinite-horizon partially observable Markov decision process (POMDP) with finite state and action spaces with respect to either the discounted or mean reward…
Optimization of complex functions, such as the output of computer simulators, is a difficult task that has received much attention in the literature. A less studied problem is that of optimization under unknown constraints, i.e., when the…
We present effective numerical algorithms for locally recovering unknown governing differential equations from measurement data. We employ a set of standard basis functions, e.g., polynomials, to approximate the governing equation with high…
Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in…
We develop a systematic and efficient approach for numerically solving the non-Markovian quantum state diffusion equations for open quantum systems coupled to an environment up to arbitrary orders of noises or coupling strengths. As an…
We show that the current fluctuations and nonlinear response of Markovian dynamics can be obtained from a system of polynomial equations. This offers new opportunities for analytical and numerical results. As an example, we derive new…
Understanding the fluctuations by which phenomenological evolution equations with thermodynamic structure can be enhanced is the key to a general framework of nonequilibrium statistical mechanics. These fluctuations provide an idealized…
A stochastic representation of the dynamics of open quantum systems, suitable for non-perturbative system-reservoir interaction, non-Markovian effects and arbitrarily driven systems is presented. It includes the case of driving on…
We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Markov processes in discrete time as a generalized statistical…