相关论文: DeepMartNet -- A Martingale based Deep Neural Netw…

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows…

Bilevel optimization, in which one optimization problem is nested inside another, underlies many machine learning applications with a hierarchical structure -- such as meta-learning and hyperparameter optimization. Such applications often…

Minimizing a convex risk function is the main step in many basic learning algorithms. We study protocols for convex optimization which provably leak very little about the individual data points that constitute the loss function.…

Eigenvalue problems are critical to several fields of science and engineering. We present a novel unsupervised neural network for discovering eigenfunctions and eigenvalues for differential eigenvalue problems with solutions that…

We consider the inverse problem of finding matrix valued edge or nodal quantities in a graph from measurements made at a few boundary nodes. This is a generalization of the problem of finding resistors in a resistor network from voltage and…

We consider large-scale Markov decision processes (MDPs) with an unknown cost function and employ stochastic convex optimization tools to address the problem of imitation learning, which consists of learning a policy from a finite set of…

Training of neural networks amounts to nonconvex optimization problems that are typically solved by using backpropagation and (variants of) stochastic gradient descent. In this work we propose an alternative approach by viewing the training…

We consider the simulation of Bayesian statistical inverse problems governed by large-scale linear and nonlinear partial differential equations (PDEs). Markov chain Monte Carlo (MCMC) algorithms are standard techniques to solve such…

This paper presents the benefits of using randomized neural networks instead of standard basis functions or deep neural networks to approximate the solutions of optimal stopping problems. The key idea is to use neural networks, where the…

Reactive (memoryless) policies are sufficient in completely observable Markov decision processes (MDPs), but some kind of memory is usually necessary for optimal control of a partially observable MDP. Policies with finite memory can be…

In the paper, we propose solving optimization problems (OPs) and understanding the Newton method from the optimal control view. We propose a new optimization algorithm based on the optimal control problem (OCP). The algorithm features…

We study differentially private (DP) algorithms for stochastic convex optimization: the problem of minimizing the population loss given i.i.d. samples from a distribution over convex loss functions. A recent work of Bassily et al. (2019)…

Bilevel optimization enjoys a wide range of applications in emerging machine learning and signal processing problems such as hyper-parameter optimization, image reconstruction, meta-learning, adversarial training, and reinforcement…

This article studies deep neural network expression rates for optimal stopping problems of discrete-time Markov processes on high-dimensional state spaces. A general framework is established in which the value function and continuation…

Recent works have shown that deep neural networks can be employed to solve partial differential equations, giving rise to the framework of physics informed neural networks. We introduce a generalization for these methods that manifests as a…

Maximization and minimization problems of the principle eigenvalue for divergence form second order elliptic operators with the Dirichlet boundary condition are considered. The principal eigen map of such elliptic operators is introduced…

Inventory Routing Problem (IRP) is a crucial challenge in supply chain management as it involves optimizing efficient route selection while considering the uncertainty of inventory demand planning. To solve IRPs, usually a two-stage…

In this paper, we introduce a type of tensor neural network based machine learning method to solve elliptic multiscale problems. Based on the special structure, we can do the direct and highly accurate high dimensional integrations for the…

Neural networks are discrete entities: subdivided into discrete layers and parametrized by weights which are iteratively optimized via difference equations. Recent work proposes networks with layer outputs which are no longer quantized but…

In this note we discuss an abstract framework for standard boundary value problems in divergence form with maximal monotone relations as "coefficients". A reformulation of the respective problems is constructed such that they turn out to be…