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This work examines the mean-square error performance of diffusion stochastic algorithms under a generalized coordinate-descent scheme. In this setting, the adaptation step by each agent is limited to a random subset of the coordinates of its stochastic gra ...
Weighted least squares polynomial approximation uses random samples to determine projections of functions onto spaces of polynomials. It has been shown that, using an optimal distribution of sample locations, the number of samples required to achieve quasi ...
The study of seeded randomness extractors is a major line of research in theoretical computer science. The goal is to construct deterministic algorithms which can take a weak random source x with min-entropy k and a uniformly random seed Y of length d, and ...
Coordinate descent methods employ random partial updates of decision variables in order to solve huge-scale convex optimization problems. In this work, we introduce new adaptive rules for the random selection of their updates. By adaptive, we mean that our ...
Although stochastic programming problems were always believed to be computationally challenging, this perception has only recently received a theoretical justification by the seminal work of Dyer and Stougie (Mathematical Programming A, 106(3):423–432, 200 ...
We perform a general optimization of the parameters in the multilevel Monte Carlo (MLMC) discretization hierarchy based on uniform discretization methods with general approximation orders and computational costs. We optimize hierarchies with geometric and ...
In this work and the supporting Parts II and III of this paper, also in the current issue, we provide a rather detailed analysis of the stability and performance of asynchronous strategies for solving distributed optimization and adaptation problems over n ...
Institute of Electrical and Electronics Engineers2015
In this work we discuss the dynamically orthogonal (DO) approximation of time dependent partial differential equations with random data. The approximate solution is expanded at each time instant on a time dependent orthonormal basis in the physical domain ...
The present work addresses the question how sampling algorithms for commonly applied copula models can be adapted to account for quasi-random numbers. Besides sampling methods such as the conditional distribution method (based on a one-to-one transformatio ...
Weighted least squares polynomial approximation uses random samples to determine projections of functions onto spaces of polynomials. It has been shown that, using an optimal distribution of sample locations, the number of samples required to achieve quasi ...