In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential models by the MLM ...

2023

Differential Entropy of the Conditional Expectation Under Additive Gaussian Noise

Michael Christoph Gastpar, Alper Köse, Ahmet Arda Atalik

The conditional mean is a fundamental and important quantity whose applications include the theories of estimation and rate-distortion. It is also notoriously difficult to work with. This paper establishes novel bounds on the differential entropy of the co ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2022

Differential Entropy of the Conditional Expectation under Gaussian Noise

Michael Christoph Gastpar, Alper Köse, Ahmet Arda Atalik

This paper considers an additive Gaussian noise channel with arbitrarily distributed finite variance input signals. It studies the differential entropy of the minimum mean-square error (MMSE) estimator and provides a new lower bound which connects the diff ...

IEEE2021

Stochastic approximation methods for PDE constrained optimal control problems with uncertain parameters

Matthieu Claude Martin

This thesis work focuses on optimal control of partial differential equations (PDEs) with uncertain parameters, treated as a random variables. In particular, we assume that the random parameters are not observable and look for a deterministic control which ...

EPFL2019

Deterministic Algorithms for Submodular Maximization Problems

Moran Feldman

Randomization is a fundamental tool used in many theoretical and practical areas of computer science. We study here the role of randomization in the area of submodular function maximization. In this area, most algorithms are randomized, and in almost all c ...

ASSOC COMPUTING MACHINERY2018

Spontaneous symmetry breaking in a quadratically driven nonlinear photonic lattice

Vincenzo Savona

We investigate the occurrence of a phase transition, characterized by the spontaneous breaking of a discrete symmetry, in a driven-dissipative Bose-Hubbard lattice in the presence of two-photon coherent driving. The driving term does not lift the original ...

Amer Physical Soc2017

Robust Data-Driven Dynamic Programming

Daniel Kuhn, Grani Adiwena Hanasusanto

In stochastic optimal control the distribution of the exogenous noise is typically unknown and must be inferred from limited data before dynamic programming (DP)-based solution schemes can be applied. If the conditional expectations in the DP recursions ar ...

2013

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012

Conditional probabilities in the excursion set theory: generic barriers and non-Gaussian initial conditions

Michele Maggiore, Andrea De Simone

The excursion set theory, where density perturbations evolve stochastically with the smoothing scale, provides a method for computing the dark matter halo mass function. The computation of the mass function is mapped into the so-called first-passage time p ...

Blackwell Publishing Ltd, Oxford2011

A Lagrangian, stochastic modeling framework for multi-phase flow in porous media

Ivan Lunati, Manav Tyagi

Many of the complex physical processes relevant for compositional multi-phase flow in porous media are well understood at the pore-scale level. In order to study CO2 storage in sub-surface formations, however, it is not feasible to perform simulations at t ...

2008

Closed-form solutions to stochastic switching problems

Erwan Morellec

This paper studies the price of an asset depending on both a fundamental and possible interventions of an authority. Using the martingale approach in continuous time, we provide closed-form solutions to switching problems involving irreversible, state depe ...

2008

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