相关论文: A Simultaneous Perturbation Weak Derivative Estima…

This paper is concerned with nonparametric estimation of the weighted stochastic block model. We first show that the model implies a set of multilinear restrictions on the joint distribution of edge weights of certain subgraphs involving…

We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, regular explicit Euler scheme --with constant or decreasing step-- may explode and implicit…

There exists a diversity of weak Local Linearization (LL) schemes for the integration of stochastic differential equations with additive noise, which differ with respect to the algorithm that is employed in the numerical implementation of…

We analyze the dynamics of streaming stochastic gradient descent (SGD) in the high-dimensional limit when applied to generalized linear models and multi-index models (e.g. logistic regression, phase retrieval) with general data-covariance.…

A scaled conjugate gradient method that accelerates existing adaptive methods utilizing stochastic gradients is proposed for solving nonconvex optimization problems with deep neural networks. It is shown theoretically that, whether with…

This paper discusses minimum distance estimation method in the linear regression model with dependent errors which are strongly mixing. The regression parameters are estimated through the minimum distance estimation method, and asymptotic…

Stochastic gradient MCMC methods, such as stochastic gradient Langevin dynamics (SGLD), employ fast but noisy gradient estimates to enable large-scale posterior sampling. Although we can easily extend SGLD to distributed settings, it…

In this short article, we showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system output is not measured but is able to be predicted from the measured system outputs. Similar…

Machine learning, especially deep neural networks, has been rapidly developed in fields including computer vision, speech recognition and reinforcement learning. Although Mini-batch SGD is one of the most popular stochastic optimization…

Recently, fitting probabilistic models have gained importance in many areas but estimation of such distributional models with very large data sets is a difficult task. In particular, the use of rather complex models can easily lead to…

This paper proposes a model predictive controller for discrete-time linear systems with additive, possibly unbounded, stochastic disturbances and subject to chance constraints. By computing a polytopic probabilistic positively invariant set…

The adjoint sensitivity method scalably computes gradients of solutions to ordinary differential equations. We generalize this method to stochastic differential equations, allowing time-efficient and constant-memory computation of gradients…

We introduce a novel training principle for probabilistic models that is an alternative to maximum likelihood. The proposed Generative Stochastic Networks (GSN) framework is based on learning the transition operator of a Markov chain whose…

In this paper, we explore the two-point zeroth-order gradient estimator and identify the distribution of random perturbations that minimizes the estimator's asymptotic variance as the perturbation stepsize tends to zero. We formulate it as…

The reduction of Hamiltonian systems aims to build smaller reduced models, valid over a certain range of time and parameters, in order to reduce computing time. By maintaining the Hamiltonian structure in the reduced model, certain…

Leveraging advances in variational inference, we propose to enhance recurrent neural networks with latent variables, resulting in Stochastic Recurrent Networks (STORNs). The model i) can be trained with stochastic gradient methods, ii)…

We propose a novel stochastic gradient descent method for solving linear least squares problems with partially observed data. Our method uses submatrices indexed by a randomly selected pair of row and column index sets to update the iterate…

In this work, we propose a stochastic gradient descent (SGD) framework to design data-driven policy gradient descent algorithms for the linear quadratic regulator problem. Two alternative schemes are considered to estimate the policy…

It is well known that ignoring the presence of stochastic disturbances in the identification of stochastic Wiener models leads to asymptotically biased estimators. On the other hand, optimal statistical identification, via likelihood-based…

We firstly propose the new stochastic gradient estimate of unbiasedness and minimized variance in this paper. Secondly, we propose the two algorithms: Algorithml and Algorithm2 which apply the new stochastic gradient estimate to modern…