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This paper develops some theory of the matrix Dyson equation (MDE) for correlated linearizations and uses it to solve a problem on asymptotic deterministic equivalent for the test error in random features regression. The theory developed for the correlated MDE includes existence-uniqueness, spectral support bounds, and stability properties of the MDE. This theory is new for constructing deterministic equivalents for pseudoresolvents of a class of correlated linear pencils. In the application, this theory is used to give a deterministic equivalent of the test error in random features ridge regression, in a proportional scaling regime, wherein we have conditioned on both training and test datasets.

A class of (block) rational Krylov subspace based projection method for solving large-scale continuous-time algebraic Riccati equation (CARE) $0 = \mathcal{R}(X) := A^HX + XA + C^HC - XBB^HX$ with a large, sparse $A$ and $B$ and $C$ of full low rank is proposed. The CARE is projected onto a block rational Krylov subspace $\mathcal{K}_j$ spanned by blocks of the form $(A^H+ s_kI)C^H$ for some shifts $s_k, k = 1, \ldots, j.$ The considered projections do not need to be orthogonal and are built from the matrices appearing in the block rational Arnoldi decomposition associated to $\mathcal{K}_j.$ The resulting projected Riccati equation is solved for the small square Hermitian $Y_j.$ Then the Hermitian low-rank approximation $X_j = Z_jY_jZ_j^H$ to $X$ is set up where the columns of $Z_j$ span $\mathcal{K}_j.$ The residual norm $\|R(X_j )\|_F$ can be computed efficiently via the norm of a readily available $2p \times 2p$ matrix. We suggest to reduce the rank of the approximate solution $X_j$ even further by truncating small eigenvalues from $X_j.$ This truncated approximate solution can be interpreted as the solution of the Riccati residual projected to a subspace of $\mathcal{K}_j.$ This gives us a way to efficiently evaluate the norm of the resulting residual. Numerical examples are presented.

We present a novel deep learning method for estimating time-dependent parameters in Markov processes through discrete sampling. Departing from conventional machine learning, our approach reframes parameter approximation as an optimization problem using the maximum likelihood approach. Experimental validation focuses on parameter estimation in multivariate regression and stochastic differential equations (SDEs). Theoretical results show that the real solution is close to SDE with parameters approximated using our neural network-derived under specific conditions. Our work contributes to SDE-based model parameter estimation, offering a versatile tool for diverse fields.

We develop a fourth-order Magnus expansion based quantum algorithm for the simulation of many-body problems involving two-level quantum systems with time-dependent Hamiltonians, $\mathcal{H}(t)$. A major hurdle in the utilization of the Magnus expansion is the appearance of a commutator term which leads to prohibitively long circuits. We present a technique for eliminating this commutator and find that a single time-step of the resulting algorithm is only marginally costlier than that required for time-stepping with a time-independent Hamiltonian, requiring only three additional single-qubit layers. For a large class of Hamiltonians appearing in liquid-state nuclear magnetic resonance (NMR) applications, we further exploit symmetries of the Hamiltonian and achieve a surprising reduction in the expansion, whereby a single time-step of our fourth-order method has a circuit structure and cost that is identical to that required for a fourth-order Trotterized time-stepping procedure for time-independent Hamiltonians. Moreover, our algorithms are able to take time-steps that are larger than the wavelength of oscillation of the time-dependent Hamiltonian, making them particularly suited for highly-oscillatory controls. The resulting quantum circuits have shorter depths for all levels of accuracy when compared to first and second-order Trotterized methods, as well as other fourth-order Trotterized methods, making the proposed algorithm a suitable candidate for simulation of time-dependent Hamiltonians on near-term quantum devices.

Influenced mixed moving average fields are a versatile modeling class for spatio-temporal data. However, their predictive distribution is not generally known. Under this modeling assumption, we define a novel spatio-temporal embedding and a theory-guided machine learning approach that employs a generalized Bayesian algorithm to make ensemble forecasts. We employ Lipschitz predictors and determine fixed-time and any-time PAC Bayesian bounds in the batch learning setting. Performing causal forecast is a highlight of our methodology as its potential application to data with spatial and temporal short and long-range dependence. We then test the performance of our learning methodology by using linear predictors and data sets simulated from a spatio-temporal Ornstein-Uhlenbeck process.

Sequences of parametrized Lyapunov equations can be encountered in many application settings. Moreover, solutions of such equations are often intermediate steps of an overall procedure whose main goal is the computation of quantities of the form $f(X)$ where $X$ denotes the solution of a Lyapunov equation. We are interested in addressing problems where the parameter dependency of the coefficient matrix is encoded as a low-rank modification to a \emph{seed}, fixed matrix. We propose two novel numerical procedures that fully exploit such a common structure. The first one builds upon recycling Krylov techniques, and it is well-suited for small dimensional problems as it makes use of dense numerical linear algebra tools. The second algorithm can instead address large-scale problems by relying on state-of-the-art projection techniques based on the extended Krylov subspace. We test the new algorithms on several problems arising in the study of damped vibrational systems and the analyses of output synchronization problems for multi-agent systems. Our results show that the algorithms we propose are superior to state-of-the-art techniques as they are able to remarkably speed up the computation of accurate solutions.

We propose a general optimization-based framework for computing differentially private M-estimators and a new method for constructing differentially private confidence regions. Firstly, we show that robust statistics can be used in conjunction with noisy gradient descent or noisy Newton methods in order to obtain optimal private estimators with global linear or quadratic convergence, respectively. We establish local and global convergence guarantees, under both local strong convexity and self-concordance, showing that our private estimators converge with high probability to a small neighborhood of the non-private M-estimators. Secondly, we tackle the problem of parametric inference by constructing differentially private estimators of the asymptotic variance of our private M-estimators. This naturally leads to approximate pivotal statistics for constructing confidence regions and conducting hypothesis testing. We demonstrate the effectiveness of a bias correction that leads to enhanced small-sample empirical performance in simulations. We illustrate the benefits of our methods in several numerical examples.

We propose a new method to construct a stationary process and random field with a given convex, decreasing covariance function and any one-dimensional marginal distribution. The result is a new class of stationary processes and random fields. The construction method provides a simple, unified approach for a wide range of covariance functions and any one-dimensional marginal distributions, and it allows a new way to model dependence structures in a stationary process/random field as its dependence structure is induced by the correlation structure of a few disjoint sets in the support set of the marginal distribution.

We describe an efficient method for the approximation of functions using radial basis functions (RBFs), and extend this to a solver for boundary value problems on irregular domains. The method is based on RBFs with centers on a regular grid defined on a bounding box, with some of the centers outside the computational domain. The equation is discretized using collocation with oversampling, with collocation points inside the domain only, resulting in a rectangular linear system to be solved in a least squares sense. The goal of this paper is the efficient solution of that rectangular system. We show that the least squares problem splits into a regular part, which can be expedited with the FFT, and a low rank perturbation, which is treated separately with a direct solver. The rank of the perturbation is influenced by the irregular shape of the domain and by the weak enforcement of boundary conditions at points along the boundary. The solver extends the AZ algorithm which was previously proposed for function approximation involving frames and other overcomplete sets. The solver has near optimal log-linear complexity for univariate problems, and loses optimality for higher-dimensional problems but remains faster than a direct solver.

The dichromatic number of a digraph is the minimum size of a partition of its vertices into acyclic induced subgraphs. Given a class of digraphs $\mathcal C$, a digraph $H$ is a hero in $\mc C$ if $H$-free digraphs of $\mathcal C$ have bounded dichromatic number. In a seminal paper, Berger at al. give a simple characterization of all heroes in tournaments. In this paper, we give a simple proof that heroes in quasi-transitive oriented graphs are the same as heroes in tournaments. We also prove that it is not the case in the class of oriented multipartite graphs, disproving a conjecture of Aboulker, Charbit and Naserasr. We also give a full characterisation of heroes in oriented complete multipartite graphs up to the status of a single tournament on $6$ vertices.