相关论文: Forward sensitivity analysis for contracting stoch…

An explicit first-order drift-randomized Milstein scheme for a regime switching stochastic differential equation is proposed and its bi-stability and rate of strong convergence are investigated for a non-differentiable drift coefficient.…

We investigate a subclass of well-structured transition systems (WSTS), the bounded---in the sense of Ginsburg and Spanier (Trans. AMS 1964)---complete deterministic ones, which we claim provide an adequate basis for the study of forward…

We demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and consequently they are suitable for sensitivity analysis in…

Normalising flows (NFs) for discrete data are challenging because parameterising bijective transformations of discrete variables requires predicting discrete/integer parameters. Having a neural network architecture predict discrete…

Stochastic variational Bayes algorithms have become very popular in the machine learning literature, particularly in the context of nonparametric Bayesian inference. These algorithms replace the true but intractable posterior distribution…

This paper presents an algorithmic framework for solving unconstrained stochastic optimization problems using only stochastic function evaluations. We employ central finite-difference based gradient estimation methods to approximate the…

We study stochastic gradient descent for solving conditional stochastic optimization problems, in which an objective to be minimized is given by a parametric nested expectation with an outer expectation taken with respect to one random…

We provide a novel method for sensitivity analysis of parametric robust Markov chains. These models incorporate parameters and sets of probability distributions to alleviate the often unrealistic assumption that precise probabilities are…

Discrete and especially binary random variables occur in many machine learning models, notably in variational autoencoders with binary latent states and in stochastic binary networks. When learning such models, a key tool is an estimator of…

Freidlin-Wentzell theory of large deviations can be used to compute the likelihood of extreme or rare events in stochastic dynamical systems via the solution of an optimization problem. The approach gives exponential estimates that often…

While stochastic variational inference is relatively well known for scaling inference in Bayesian probabilistic models, related methods also offer ways to circumnavigate the approximation of analytically intractable expectations. The key…

Topological Data Analysis methods can be useful for classification and clustering tasks in many different fields as they can provide two dimensional persistence diagrams that summarize important information about the shape of potentially…

Dynamical systems are essential to model various phenomena in physics, finance, economics, and are also of current interest in machine learning. A central modeling task is investigating parameter sensitivity, whether tuning atmospheric…

We consider a fractional generalization of gradient systems. We use differential forms and exterior derivatives of fractional orders. Examples of fractional gradient systems are considered. We describe the stationary states of these…

This paper aims at achieving a "good" estimator for the gradient of a function on a high-dimensional space. Often such functions are not sensitive in all coordinates and the gradient of the function is almost sparse. We propose a method for…

This paper suggests a framework for the learning of discretizations of expensive forward models in Bayesian inverse problems. The main idea is to incorporate the parameters governing the discretization as part of the unknown to be estimated…

Applications of optimal transport have recently gained remarkable attention thanks to the computational advantages of entropic regularization. However, in most situations the Sinkhorn approximation of the Wasserstein distance is replaced by…

The nested distance builds on the Wasserstein distance to quantify the difference of stochastic processes, including also the information modelled by filtrations. The Sinkhorn divergence is a relaxation of the Wasserstein distance, which…

Training large-scale machine learning models poses distinct system challenges, given both the size and complexity of today's workloads. Recently, many organizations training state-of-the-art Generative AI models have reported cases of…

We report on the use of a stochastic trace estimator algorithm, based on mutually unbiased bases, for evaluating the trace of a matrix differential operator appearing in the context of lattice simulations for the discretized superstring…