output
20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

Showing 2020Show all

17 papers · 1 filter

quant-ph2020★ 1 cited

Qualifying quantum approaches for hard industrial optimization problems. A case study in the field of smart-charging of electric vehicles

Constantin Dalyac, Loïc Henriet, Emmanuel Jeandel +4

In order to qualify quantum algorithms for industrial NP-Hard problems, comparing them to available polynomial approximate classical algorithms and not only to exact ones -- expone…

cs.CE2020★ 17 cited

Interoperability and computational framework for simulating open channel hydraulics: application to sensitivity analysis and calibration of Gironde Estuary model

Cedric Goeury, Yoann Audouin, Fabrice Zaoui

Water resource management is of crucial societal and economic importance, requiring a strong capacity for anticipating environmental change. Progress in physical process knowledge,…

math.OC2020★ 52 cited

Hierarchical coupled routing-charging model of electric vehicles, stations and grid operators

Benoît Sohet, Yezekael Hayel, Olivier Beaude +1

Electric Vehicles' (EVs) growing number has various consequences, from reducing greenhouse gas emissions and local pollution to altering traffic congestion and electricity consumpt…

stat.ML2020★ 108 cited

Augmenting Physical Models with Deep Networks for Complex Dynamics Forecasting

Yuan Yin, Vincent Le Guen, Jérémie Dona +4

Forecasting complex dynamical phenomena in settings where only partial knowledge of their dynamics is available is a prevalent problem across various scientific fields. While purel…

math.OC2020★ 2 cited

Decomposition of convex high dimensional aggregative stochasticcontrol problems

Adrien Séguret, Clémence Alasseur, J. Frédéric Bonnans +3

We consider the framework of convex high dimensional stochastic control problems, in which the controls are aggregated in the cost function. As first contribution, we introduce a m…

math.ST2020★ 12 cited

An information geometry approach for robustness analysis in uncertainty quantification of computer codes

Clement Gauchy, Jerome Stenger, Roman Sueur +1

Robustness analysis is an emerging field in the domain of uncertainty quantification. It consists of analysing the response of a computer model with uncertain inputs to the perturb…

cs.HC2020

Training design fostering the emergence of new meanings toward unprecedented and critical events

Simon Flandin, Deli Salini, Artémis Drakos +1

Our research is part of a technological research program in adult education conducted in reference to the "course of action" program. Using the activity-sign hypothesis of this pro…

math.OC2020★ 12 cited

Logarithmic regret for episodic continuous-time linear-quadratic reinforcement learning over a finite-time horizon

Matteo Basei, Xin Guo, Anran Hu +1

We study finite-time horizon continuous-time linear-quadratic reinforcement learning problems in an episodic setting, where both the state and control coefficients are unknown to t…

math.AP2020★ 1 cited

Approximation error analysis of some deep backward schemes for nonlinear PDEs

Maximilien Germain, Huyen Pham, Xavier Warin

Recently proposed numerical algorithms for solving high-dimensional nonlinear partial differential equations (PDEs) based on neural networks have shown their remarkable performance…

cs.DS2020★ 26 cited

Fast multivariate empirical cumulative distribution function with connection to kernel density estimation

Nicolas Langrené, Xavier Warin

This paper revisits the problem of computing empirical cumulative distribution functions (ECDF) efficiently on large, multivariate datasets. Computing an ECDF at one evaluation poi…

cs.LG2020★ 31 cited

Reinforcement Learning for Variable Selection in a Branch and Bound Algorithm

Marc Etheve, Zacharie Alès, Côme Bissuel +2

Mixed integer linear programs are commonly solved by Branch and Bound algorithms. A key factor of the efficiency of the most successful commercial solvers is their fine-tuned heuri…

physics.comp-ph2020★ 11 cited

Physically interpretable machine learning algorithm on multidimensional non-linear fields

Rem-Sophia Mouradi, Cédric Goeury, Olivier Thual +2

In an ever-increasing interest for Machine Learning (ML) and a favorable data development context, we here propose an original methodology for data-based prediction of two-dimensio…

cs.CE2020★ 5 cited

Various Ways to Quantify BDMPs

Marc Bouissou, Shahid Khan, Joost-Pieter Katoen +1

A Boolean logic driven Markov process (BDMP) is a dependability analysis model that defines a continuous-time Markov chain (CTMC). This formalism has high expressive power, yet it…

cs.LG2020★ 1 cited

Kalman Recursions Aggregated Online

Eric Adjakossa, Yannig Goude, Olivier Wintenberger

In this article, we aim at improving the prediction of expert aggregation by using the underlying properties of the models that provide expert predictions. We restrict ourselves to…

math.ST2020★ 7 cited

A Visual Sensitivity Analysis for Parameter-Augmented Ensembles of Curves

Alejandro Ribes, Joachim Pouderoux, Bertrand Iooss

Engineers and computational scientists often study the behavior of their simulations by repeated solutions with variations in their parameters, which can be for instance boundary v…

cs.LG2020

Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process

Idris Kharroubi, Thomas Lim, Xavier Warin

We study the approximation of backward stochastic differential equations (BSDEs for short) with a constraint on the gains process. We first discretize the constraint by applying a…

math.ST2020★ 18 cited

A graph clustering approach to localization for adaptive covariance tuning in data assimilation based on state-observation mapping

Sibo Cheng, Jean-Philippe Argaud, Bertrand Iooss +2

An original graph clustering approach to efficient localization of error covariances is proposed within an ensemble-variational data assimilation framework. Here the localization t…