108 citations
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4 papers · 1 filter
Survey of multifidelity methods in uncertainty propagation, inference, and optimization
Benjamin Peherstorfer, Karen Willcox, Max Gunzburger
In many situations across computational science and engineering, multiple computational models are available that describe a system of interest. These different models have varying…
Solving equilibrium problems using extended mathematical programming
Youngdae Kim, Michael C. Ferris
We introduce an extended mathematical programming framework for specifying equilibrium problems and their variational representations, such as generalized Nash equilibrium, multipl…
Lyapunov Functions for First-Order Methods: Tight Automated Convergence Guarantees
Adrien Taylor, Bryan Van Scoy, Laurent Lessard
We present a novel way of generating Lyapunov functions for proving linear convergence rates of first-order optimization methods. Our approach provably obtains the fastest linear c…
Missing Data in Sparse Transition Matrix Estimation for Sub-Gaussian Vector Autoregressive Processes
Amin Jalali, Rebecca Willett
High-dimensional time series data exist in numerous areas such as finance, genomics, healthcare, and neuroscience. An unavoidable aspect of all such datasets is missing data, and d…