相关论文: Identification in Some Discrete Choice Models: A C…

Partially Observable Markov Decision Processes (POMDPs) are a natural and general model in reinforcement learning that take into account the agent's uncertainty about its current state. In the literature on POMDPs, it is customary to assume…

Data-based discovery of effective, coarse-grained (CG) models of high-dimensional dynamical systems presents a unique challenge in computational physics and particularly in the context of multiscale problems. The present paper offers a…

We consider an $n$ agents distributed optimization problem with imperfect information characterized in a parametric sense, where the unknown parameter can be solved by a distinct distributed parameter learning problem. Though each agent…

This paper systematically analyzes and reviews identification strategies for binary choice logit models with fixed effects in panel and network data settings. We examine both static and dynamic models with general fixed-effect structures,…

This paper considers inference in a partially identified moment (in)equality model with many moment inequalities. We propose a novel two-step inference procedure that combines the methods proposed by Chernozhukov, Chetverikov and Kato…

Linear mixed models (LMMs), which incorporate fixed and random effects, are key tools for analyzing heterogeneous data, such as in personalized medicine. Nowadays, this type of data is increasingly wide, sometimes containing thousands of…

In porous media physics, calibrating model parameters through experiments is a challenge. This process is plagued with errors that come from modelling, measurement and computation of the macroscopic observables through random homogenization…

For linear time-invariant systems with uncertain parameters belonging to a finite set, we present a purely deterministic approach to multiple-model estimation and propose an algorithm based on the minimax criterion using constrained…

This paper studies constrained Markov decision processes (CMDPs) with constraints against stochastic thresholds, aiming at safety of reinforcement learning in unknown and uncertain environments. We leverage a Growing-Window estimator…

We provide a framework for speeding up algorithms for time-bounded reachability analysis of continuous-time Markov decision processes. The principle is to find a small, but almost equivalent subsystem of the original system and only analyse…

In this paper, we identify partial correlation information structures that allow for simpler reformulations in evaluating the maximum expected value of mixed integer linear programs with random objective coefficients. To this end, assuming…

Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. Algorithms designed to address multistage stochastic linear…

Partially observable Markov decision processes (POMDPs) form a prominent model for uncertainty in sequential decision making. We are interested in constructing algorithms with theoretical guarantees to determine whether the agent has a…

We study the task of learning latent-variable models. A common algorithmic technique for this task is the method of moments. Unfortunately, moment-based approaches are hampered by the fact that the moment tensors of super-constant degree…

This paper proposes a methodology to estimate characteristic functions of stochastic differential equations that are defined over polynomials and driven by L\'evy noise. For such systems, the time evolution of the characteristic function is…

We consider Markov decision processes (MDPs) in which the transition probabilities and rewards belong to an uncertainty set parametrized by a collection of random variables. The probability distributions for these random parameters are…

The classical sparse parameter identification methods are usually based on the iterative basis selection such as greedy algorithms, or the numerical optimization of regularized cost functions such as LASSO and Bayesian posterior probability…

Increasing effort is put into the development of methods for learning mechanistic models from data. This task entails not only the accurate estimation of parameters but also a suitable model structure. Recent work on the discovery of…

As a result of the ever increasing complexity of configuring and fine-tuning machine learning models, the field of automated machine learning (AutoML) has emerged over the past decade. However, software implementations like Auto-WEKA and…

Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the possible violation of a restriction. Each risk constraint induces an uncertainty set of coefficients,…