相关论文: Explicit error bounds for randomized Smolyak algor…

We provide a framework for the sparse approximation of multilinear problems and show that several problems in uncertainty quantification fit within this framework. In these problems, the value of a multilinear map has to be approximated…

A Smolyak algorithm adapted to system-bath separation is proposed for rigorous quantum simulations. This technique combines a sparse grid method with the system-bath concept in a specific configuration without limitations on the form of the…

In this paper we consider the $L_q$-approximation of multivariate periodic functions $f$ with $L_p$-bounded mixed derivative (difference). The (possibly non-linear) reconstruction algorithm is supposed to recover the function from function…

This survey explores modern approaches for computing low-rank approximations of high-dimensional matrices by means of the randomized SVD, randomized subspace iteration, and randomized block Krylov iteration. The paper compares the…

Existing error-bound-based analyses for stochastic algorithms that exhibit certain descent properties, such as randomized coordinate descent and randomized projection methods, are often limited in scope and typically lead to overly…

In recent years, randomized algorithms have established themselves as fundamental tools in computational linear algebra, with applications in scientific computing, machine learning, and quantum information science. Many randomized matrix…

Stochastic sampling methods are arguably the most direct and least intrusive means of incorporating parametric uncertainty into numerical simulations of partial differential equations with random inputs. However, to achieve an overall error…

Randomized quadratures for integrating functions in Sobolev spaces of order $\alpha \ge 1$, where the integrability condition is with respect to the Gaussian measure, are considered. In this function space, the optimal rate for the…

We consider an incremental approximation method for solving variational problems in infinite-dimensional Hilbert spaces, where in each step a randomly and independently selected subproblem from an infinite collection of subproblems is…

Randomized algorithms have proven to perform well on a large class of numerical linear algebra problems. Their theoretical analysis is critical to provide guarantees on their behaviour, and in this sense, the stochastic analysis of the…

Polyak-Ruppert averaging is a widely used technique to achieve the optimal asymptotic variance of stochastic approximation (SA) algorithms, yet its high-probability performance guarantees remain underexplored in general settings. In this…

During recent years the interest of optimization and machine learning communities in high-probability convergence of stochastic optimization methods has been growing. One of the main reasons for this is that high-probability complexity…

This paper provides a finite-time analysis of linear stochastic approximation (LSA) algorithms with fixed step size, a core method in statistics and machine learning. LSA is used to compute approximate solutions of a $d$-dimensional linear…

In this paper we develop randomized Krylov subspace methods for efficiently computing regularized solutions to large-scale linear inverse problems. Building on the recently developed randomized Gram-Schmidt process, where sketched inner…

We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…

The paper addresses parametric inequality systems described by polynomial functions in finite dimensions, where state-dependent infinite parameter sets are given by finitely many polynomial inequalities and equalities. Such systems can be…

We analyze convergence rates of stochastic optimization procedures for non-smooth convex optimization problems. By combining randomized smoothing techniques with accelerated gradient methods, we obtain convergence rates of stochastic…

We consider stochastic variational inequality problems where the mapping is monotone over a compact convex set. We present two robust variants of stochastic extragradient algorithms for solving such problems. Of these, the first scheme…

Randomized smoothing is a widely adopted technique for optimizing nonsmooth objective functions. However, its efficiency analysis typically relies on global Lipschitz continuity, a condition rarely met in practical applications. To address…

Two widely used randomized algorithms are the sketch-and-solve method for least-squares regression and the randomized SVD for low-rank approximation. These algorithms apply a random embedding to compress a target matrix, and they perform…