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We propose a nonparametric factorization approach for sparsely observed tensors. The sparsity does not mean zero-valued entries are massive or dominated. Rather, it implies the observed entries are very few, and even fewer with the growth of the tensor; this is ubiquitous in practice. Compared with the existent works, our model not only leverages the structural information underlying the observed entry indices, but also provides extra interpretability and flexibility -- it can simultaneously estimate a set of location factors about the intrinsic properties of the tensor nodes, and another set of sociability factors reflecting their extrovert activity in interacting with others; users are free to choose a trade-off between the two types of factors. Specifically, we use hierarchical Gamma processes and Poisson random measures to construct a tensor-valued process, which can freely sample the two types of factors to generate tensors and always guarantees an asymptotic sparsity. We then normalize the tensor process to obtain hierarchical Dirichlet processes to sample each observed entry index, and use a Gaussian process to sample the entry value as a nonlinear function of the factors, so as to capture both the sparse structure properties and complex node relationships. For efficient inference, we use Dirichlet process properties over finite sample partitions, density transformations, and random features to develop a stochastic variational estimation algorithm. We demonstrate the advantage of our method in several benchmark datasets.

We propose an algorithm that uses linear function approximation (LFA) for stochastic shortest path (SSP). Under minimal assumptions, it obtains sublinear regret, is computationally efficient, and uses stationary policies. To our knowledge, this is the first such algorithm in the LFA literature (for SSP or other formulations). Our algorithm is a special case of a more general one, which achieves regret square root in the number of episodes given access to a certain computation oracle.

Reduced basis approximations of Optimal Control Problems (OCPs) governed by steady partial differential equations (PDEs) with random parametric inputs are analyzed and constructed. Such approximations are based on a Reduced Order Model, which in this work is constructed using the method of weighted Proper Orthogonal Decomposition. This Reduced Order Model then is used to efficiently compute the reduced basis approximation for any outcome of the random parameter. We demonstrate that such OCPs are well-posed by applying the adjoint approach, which also works in the presence of admissibility constraints and in the case of non linear-quadratic OCPs, and thus is more general than the conventional Lagrangian approach. We also show that a step in the construction of these Reduced Order Models, known as the aggregation step, is not fundamental and can in principle be skipped for noncoercive problems, leading to a cheaper online phase. Numerical applications in three scenarios from environmental science are considered, in which the governing PDE is steady and the control is distributed. Various parameter distributions are taken, and several implementations of the weighted Proper Orthogonal Decomposition are compared by choosing different quadrature rules.

In this work, we study the propagation of solitons in lossy optical fibers. The main objective of this work is to study the loss of energy of the soliton wave during propagation and then to evaluate the impact of this loss on the transmission of the soliton signal. In this context, a numerical scheme was developed to solve a system of complex partial differential equations (CPDE) that describes the propagation of solitons in optical fibers with loss and nonlinear amplification mechanisms. The numerical procedure is based on the mathematical theory of Taylor series of complex functions. We adapted the Finite Difference Method (FDM) to approximate derivatives of complex functions. Then, we solve the algebraic system resulting from the discretization, implicitly, through the relaxation Gauss-Seidel method (RGSM). The numerical study of CPDE system with linear and cubic attenuation showed that soliton waves undergo attenuation, dispersion, and oscillation effects. On the other hand, we find that by considering the nonlinear term (cubic term) as an optical amplification, it is possible to partially compensate for the attenuation of the optical signal. Finally, we show that a gain of 9% triples the propagation distance of the fundamental soliton wave, when the dissipation rate is 1%.

The linear transform-based tensor nuclear norm (TNN) methods have recently obtained promising results for tensor completion. The main idea of this type of methods is exploiting the low-rank structure of frontal slices of the targeted tensor under the linear transform along the third mode. However, the low-rankness of frontal slices is not significant under linear transforms family. To better pursue the low-rank approximation, we propose a nonlinear transform-based TNN (NTTNN). More concretely, the proposed nonlinear transform is a composite transform consisting of the linear semi-orthogonal transform along the third mode and the element-wise nonlinear transform on frontal slices of the tensor under the linear semi-orthogonal transform, which are indispensable and complementary in the composite transform to fully exploit the underlying low-rankness. Based on the suggested low-rankness metric, i.e., NTTNN, we propose a low-rank tensor completion (LRTC) model. To tackle the resulting nonlinear and nonconvex optimization model, we elaborately design the proximal alternating minimization (PAM) algorithm and establish the theoretical convergence guarantee of the PAM algorithm. Extensive experimental results on hyperspectral images, multispectral images, and videos show that the our method outperforms linear transform-based state-of-the-art LRTC methods qualitatively and quantitatively.

The robust tensor completion (RTC) problem, which aims to reconstruct a low-rank tensor from partially observed tensor contaminated by a sparse tensor, has received increasing attention. In this paper, by leveraging the superior expression of the fully-connected tensor network (FCTN) decomposition, we propose a $\textbf{FCTN}$-based $\textbf{r}$obust $\textbf{c}$onvex optimization model (RC-FCTN) for the RTC problem. Then, we rigorously establish the exact recovery guarantee for the RC-FCTN. For solving the constrained optimization model RC-FCTN, we develop an alternating direction method of multipliers (ADMM)-based algorithm, which enjoys the global convergence guarantee. Moreover, we suggest a $\textbf{FCTN}$-based $\textbf{r}$obust $\textbf{n}$on$\textbf{c}$onvex optimization model (RNC-FCTN) for the RTC problem. A proximal alternating minimization (PAM)-based algorithm is developed to solve the proposed RNC-FCTN. Meanwhile, we theoretically derive the convergence of the PAM-based algorithm. Comprehensive numerical experiments in several applications, such as video completion and video background subtraction, demonstrate that proposed methods are superior to several state-of-the-art methods.

In this paper, we make the key delineation on the roles of resolution and statistical uncertainty in black-box optimization, guiding a more general analysis and a more efficient algorithm design. We introduce \textit{optimum-statistical collaboration}, an algorithm framework of managing the interaction between optimization error flux and statistical error flux evolving in the optimization process. We provide a general analysis of the framework without specific forms of the statistical error and the uncertainty quantifier. Our framework and its analysis, because of their generality, can be applied to functions and partitions that satisfy different local smoothness assumptions and has different number of local optimums, which is much larger than the class of functions studied in prior works. Our framework also inspires us to propose a better measure of the statistical uncertainty and consequently a variance-adaptive algorithm \texttt{VHCT}. In theory, we prove the algorithm enjoys rate-optimal regret bounds under different local smoothness assumptions; in experiments, we show the algorithm outperforms prior efforts in different settings.

The quasi-Newton methods generally provide curvature information by approximating the Hessian using the secant equation. However, the secant equation becomes insipid in approximating the Newton step owing to its use of the first-order derivatives. In this study, we propose an approximate Newton step-based stochastic optimization algorithm for large-scale empirical risk minimization of convex functions with linear convergence rates. Specifically, we compute a partial column Hessian of size ($d\times k$) with $k\ll d$ randomly selected variables, then use the \textit{Nystr\"om method} to better approximate the full Hessian matrix. To further reduce the computational complexity per iteration, we directly compute the update step ($\Delta\boldsymbol{w}$) without computing and storing the full Hessian or its inverse. Furthermore, to address large-scale scenarios in which even computing a partial Hessian may require significant time, we used distribution-preserving (DP) sub-sampling to compute a partial Hessian. The DP sub-sampling generates $p$ sub-samples with similar first and second-order distribution statistics and selects a single sub-sample at each epoch in a round-robin manner to compute the partial Hessian. We integrate our approximated Hessian with stochastic gradient descent and stochastic variance-reduced gradients to solve the logistic regression problem. The numerical experiments show that the proposed approach was able to obtain a better approximation of Newton\textquotesingle s method with performance competitive with the state-of-the-art first-order and the stochastic quasi-Newton methods.

In this paper, for POMDPs, we provide the convergence of a Q learning algorithm for control policies using a finite history of past observations and control actions, and, consequentially, we establish near optimality of such limit Q functions under explicit filter stability conditions. We present explicit error bounds relating the approximation error to the length of the finite history window. We establish the convergence of such Q-learning iterations under mild ergodicity assumptions on the state process during the exploration phase. We further show that the limit fixed point equation gives an optimal solution for an approximate belief-MDP. We then provide bounds on the performance of the policy obtained using the limit Q values compared to the performance of the optimal policy for the POMDP, where we also present explicit conditions using recent results on filter stability in controlled POMDPs. While there exist many experimental results, (i) the rigorous asymptotic convergence (to an approximate MDP value function) for such finite-memory Q-learning algorithms, and (ii) the near optimality with an explicit rate of convergence (in the memory size) are results that are new to the literature, to our knowledge.

We investigate the asymptotic distribution of the maximum of a frequency smoothed estimate of the spectral coherence of a M-variate complex Gaussian time series with mutually independent components when the dimension M and the number of samples N both converge to infinity. If B denotes the smoothing span of the underlying smoothed periodogram estimator, a type I extreme value limiting distribution is obtained under the rate assumptions M N $\rightarrow$ 0 and M B $\rightarrow$ c $\in$ (0, +$\infty$). This result is then exploited to build a statistic with controlled asymptotic level for testing independence between the M components of the observed time series. Numerical simulations support our results.