相关论文: Computer aided solution of the invariance equation…

When inferring parameters from a Gaussian-distributed data set by computing a likelihood, a covariance matrix is needed that describes the data errors and their correlations. If the covariance matrix is not known a priori, it may be…

We study a class of two-stage stochastic programs in which the second stage includes a set of components with uncertain capacity, and the expression for the distribution function of the uncertain capacity includes first-stage variables.…

We propose two new Bayesian smoothing methods for general state-space models with unknown parameters. The first approach is based on the particle learning and smoothing algorithm, but with an adjustment in the backward resampling weights.…

A sample covariance matrix $\boldsymbol{S}$ of completely observed data is the key statistic in a large variety of multivariate statistical procedures, such as structured covariance/precision matrix estimation, principal component analysis,…

We determine the sharpest constant $C_{p,q,r}$ such that for all complex matrices $X$ and $Y$, and for Schatten $p$-, $q$- and $r$-norms the inequality $$ \|XY-YX\|_p\leq C_{p,q,r}\|X\|_q\|Y\|_r $$ is valid. The main theoretical tool in our…

Shapley Values (SV) are widely used in explainable AI, but their estimation and interpretation can be challenging, leading to inaccurate inferences and explanations. As a starting point, we remind an invariance principle for SV and derive…

We consider a stochastic differential equation of the form \[dX_t=\theta a(t,X_t)\,dt+\sigma_1(t,X_t)\sigma_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where $Y$ is some adapted stochastic process. We prove…

We consider the problem of robust polynomial regression, where one receives samples $(x_i, y_i)$ that are usually within $\sigma$ of a polynomial $y = p(x)$, but have a $\rho$ chance of being arbitrary adversarial outliers. Previously, it…

We consider the equation - y"(x)+q(x)y(x)=f(x), x\in R and the weighted function space S_p^{(2)}(R,q)=\{y\in AC_{\loc}^{(1)}(R):\|y"-qy\|_p+\|q^{1/p}y\|_p<\infty\}; p\in[1,\infty), f\in L_p(R)$ and $0\le q\in L_1^{\loc}(R)$. We show that…

Poyiadjis et al. (2011) show how particle methods can be used to estimate both the score and the observed information matrix for state space models. These methods either suffer from a computational cost that is quadratic in the number of…

For stochastic implicit Taylor methods that use an iterative scheme to compute their numerical solution, stochastic B--series and corresponding growth functions are constructed. From these, convergence results based on the order of the…

TThe problem is to identify a probability associated with a set of natural numbers, given an infinite data sequence of elements from the set. If the given sequence is drawn i.i.d. and the probability mass function involved (the target)…

Multistage stochastic optimization problems are oftentimes formulated informally in a pathwise way. These are correct in a discrete setting and suitable when addressing computational challenges, for example. But the pathwise problem…

Input-to-State Stability (ISS) is fundamental in mathematically quantifying how stability degrades in the presence of bounded disturbances. If a system is ISS, its trajectories will remain bounded, and will converge to a neighborhood of an…

Numerical nonlinear algebra is applied to maximum likelihood estimation for Gaussian models defined by linear constraints on the covariance matrix. We examine the generic case as well as special models (e.g. Toeplitz, sparse, trees) that…

A stochastic orbital approach to the resolution of identity (RI) approximation for 4-index 2-electron electron repulsion integrals (ERIs) is presented. The stochastic RI-ERIs are then applied to M\o ller-Plesset perturbation theory (MP2)…

Order-preserving couplings are elegant tools for obtaining robust estimates of the time-dependent and stationary distributions of Markov processes that are too complex to be analyzed exactly. The starting point of this paper is to study…

Let $0<s<1$ and $p>1$ be such that $ps<N$. Assume that $\Omega$ is a bounded domain containing the origin. Staring from the ground state inequality by R. Frank and R. Seiringer we obtain: 1- The following improved Hardy inequality for $p\ge…

It is the aim of this work to identify and illustrate the potential and weaknesses of the computer algebra system Maple in the area of the Calculus of Variations: a classical area of mathematics that studies the methods for finding maximum…

This article focuses on the space-time isogeometric method for a linear time dependent fourth order problem. Using an auxiliary variable, first the problem is split into a system of two second order differential equations and then the…