相关论文: Efficient simulation and calibration of general HJ…

Uncertainty estimates must be calibrated (i.e., accurate) and sharp (i.e., informative) in order to be useful. This has motivated a variety of methods for recalibration, which use held-out data to turn an uncalibrated model into a…

Accurate simulations of molecules require high-level electronic-structure theory in combination with rigorous methods for approximating the quantum dynamics. Machine-learning approaches can significantly reduce the computational expense of…

Multidimensional population balance models (PBMs) describe chemical and biological processes having a distribution over two or more intrinsic properties (such as size and age, or two independent spatial variables). The incorporation of…

This paper presents a quantum algorithm for efficiently computing partial sums and specific weighted partial sums of quantum state amplitudes. Computation of partial sums has important applications, including numerical integration,…

Efficient and scalable non-parametric or semi-parametric regression analysis and density estimation are of crucial importance to the fields of statistics and machine learning. However, available methods are limited in their ability to…

Identifying the underlying models in a set of data points contaminated by noise and outliers, leads to a highly complex multi-model fitting problem. This problem can be posed as a clustering problem by the projection of higher order…

To sidestep the curse of dimensionality when computing solutions to Hamilton-Jacobi-Bellman partial differential equations (HJB PDE), we propose an algorithm that leverages a neural network to approximate the value function. We show that…

We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…

While leverage score sampling provides powerful tools for approximating solutions to large least squares problems, the cost of computing exact scores and sampling often prohibits practical application. This paper addresses this challenge by…

In Weighted Model Counting (WMC) we assign weights to Boolean literals and we want to compute the sum of the weights of the models of a Boolean function where the weight of a model is the product of the weights of its literals. WMC was…

Rare properties remain a challenge for statistical model checking (SMC) due to the quadratic scaling of variance with rarity. We address this with a variance reduction framework based on lightweight importance splitting observers. These…

We introduce a fast and easy-to-implement simulation algorithm for a multivariate normal distribution truncated on the intersection of a set of hyperplanes, and further generalize it to efficiently simulate random variables from a…

Cumulative probability models (CPMs) are a robust alternative to linear models for continuous outcomes. However, they are not feasible for very large datasets due to elevated running time and memory usage, which depend on the sample size,…

Modeling of high-dimensional data is very important to categorize different classes. We develop a new mixture model called Multinomial cluster-weighted model (MCWM). We derive the identifiability of a general class of MCWM. We estimate the…

In this paper, we introduce a technique to enhance the computational efficiency of solution algorithms for high-dimensional discrete simulation-based optimization problems. The technique is based on innovative adaptive partitioning…

We propose a new family of multilevel methods for unconstrained minimization. The resulting strategies are multilevel extensions of high-order optimization methods based on q-order Taylor models (with q >= 1) that have been recently…

Hard-capacitated $k$-means (HCKM) is one of the fundamental problems remaining open in combinatorial optimization and data mining areas. In this problem, one is required to partition a given $n$-point set into $k$ disjoint clusters with…

Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and efficient calibration of large…

We build a simple and general class of finite difference schemes for first order Hamilton-Jacobi (HJ) Partial Differential Equations. These filtered schemes are convergent to the unique viscosity solution of the equation. The schemes are…

In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…