相关论文: Recursive Regression with Neural Networks: Approxi…

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…

Arguably the biggest challenge in applying neural networks is tuning the hyperparameters, in particular the learning rate. The sensitivity to the learning rate is due to the reliance on backpropagation to train the network. In this paper we…

We initiate a systematic study of utilizing predictions to improve over approximation guarantees of classic algorithms, without increasing the running time. We propose a systematic method for a wide class of optimization problems that ask…

Deep learning models are often trained to approximate dynamical systems that can be modeled using differential equations. Many of these models are optimized to predict one step ahead; such approaches produce calibrated one-step predictions…

There is increasing interest in modeling high-dimensional longitudinal outcomes in applications such as developmental neuroimaging research. Growth curve model offers a useful tool to capture both the mean growth pattern across individuals,…

We design improved approximation algorithms for NP-hard graph problems by incorporating predictions (e.g., learned from past data). Our prediction model builds upon and extends the $\varepsilon$-prediction framework by Cohen-Addad, d'Orsi,…

We propose a new multistep deep learning-based algorithm for the resolution of moderate to high dimensional nonlinear backward stochastic differential equations (BSDEs) and their corresponding parabolic partial differential equations (PDE).…

We consider the problem of numerically approximating the solutions to a partial differential equation (PDE) when there is insufficient information to determine a unique solution. Our main example is the Poisson boundary value problem, when…

We present a mathematical and numerical investigation to the shrinkingdimer saddle dynamics for finding any-index saddle points in the solution landscape. Due to the dimer approximation of Hessian in saddle dynamics, the local Lipschitz…

The expansion in automation of increasingly fast applications and low-power edge devices poses a particular challenge for optimization based control algorithms, like model predictive control. Our proposed machine-learning supported approach…

We propose an approximation scheme for a class of semilinear parabolic equations that are convex and coercive in their gradients. Such equations arise often in pricing and portfolio management in incomplete markets and, more broadly, are…

We explore algorithms and limitations for sparse optimization problems such as sparse linear regression and robust linear regression. The goal of the sparse linear regression problem is to identify a small number of key features, while the…

Traditional low-rank approximation is a powerful tool to compress the huge data matrices that arise in simulations of partial differential equations (PDE), but suffers from high computational cost and requires several passes over the PDE…

A very simple example of an algorithmic problem solvable by dynamic programming is to maximize, over sets A in {1,2,...,n}, the objective function |A| - \sum_i \xi_i 1(i \in A,i+1 \in A) for given \xi_i > 0. This problem, with random…

Presented is a method for efficient computation of the Hamilton-Jacobi (HJ) equation for time-optimal control problems using the generalized Hopf formula. Typically, numerical methods to solve the HJ equation rely on a discrete grid of the…

Recovering high-resolution images from limited sensory data typically leads to a serious ill-posed inverse problem, demanding inversion algorithms that effectively capture the prior information. Learning a good inverse mapping from training…

We study the problem of learning the optimal control policy for fine-tuning a given diffusion process, using general value function approximation. We develop a new class of algorithms by solving a variational inequality problem based on the…

We describe an approximate dynamic programming (ADP) approach to compute approximations of the optimal strategies and of the minimal losses that can be guaranteed in discounted repeated games with vector-valued losses. Such games…

Models incorporating uncertain inputs, such as random forces or material parameters, have been of increasing interest in PDE-constrained optimization. In this paper, we focus on the efficient numerical minimization of a convex and smooth…

For uncertainty propagation of highly complex and/or nonlinear problems, one must resort to sample-based non-intrusive approaches [1]. In such cases, minimizing the number of function evaluations required to evaluate the response surface is…