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11/14/2022
Offline Estimation of Controlled Markov Chains: Minimax Nonparametric Estimators and Sample Efficiency
Controlled Markov chains (CMCs) form the bedrock for model-based reinfor...
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11/12/2021
Distributed Sparse Regression via Penalization
We study sparse linear regression over a network of agents, modeled as a...
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06/23/2021
Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency
This paper considers data-driven chance-constrained stochastic optimizat...
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06/16/2021
A Feynman-Kac Type Theorem for ODEs: Solutions of Second Order ODEs as Modes of Diffusions
In this article, we prove a Feynman-Kac type result for a broad class of...
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01/13/2021
PAC-Bayes Bounds on Variational Tempered Posteriors for Markov Models
Datasets displaying temporal dependencies abound in science and engineer...
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07/12/2020
Estimating Stochastic Poisson Intensities Using Deep Latent Models
We present methodology for estimating the stochastic intensity of a doub...
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01/06/2020
Variational Bayesian Methods for Stochastically Constrained System Design Problems
We study system design problems stated as parameterized stochastic progr...
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11/04/2019
Asymptotic Consistency of Loss-Calibrated Variational Bayes
This paper establishes the asymptotic consistency of the loss-calibrate...
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03/27/2019
Large Deviations of Bivariate Gaussian Extrema
We establish sharp tail asymptotics for component-wise extreme values of...
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03/12/2019
Risk-Sensitive Variational Bayes: Formulations and Bounds
We study data-driven decision-making problems in a parametrized Bayesian...
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03/12/2019
Computational Bayes-Predictive Stochastic Programming: Finite Sample Bounds
We study stochastic programming models where the stochastic variable is ...
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03/12/2019
Computational Bayes-Predictive Stochastic Programming: Finite Sample Bound
We study stochastic programming models where the stochastic variable is ...
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02/05/2019
Asymptotic Consistency of α-Rényi-Approximate Posteriors
In this work, we study consistency properties of α-Rényi approximate pos...
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12/05/2018
Modeling Urban Taxi Services with e-hailings: A Queueing Network Approach
The rise of e-hailing taxis has significantly altered urban transportati...
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11/17/2018
Optimal Allocations for Sample Average Approximation
We consider a single stage stochastic program without recourse with a st...
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10/29/2018