3 papers
math.OC2025
The LQR-Schr{ö}dinger Bridge
Marc Lambert
We consider the Schr{ö}dinger bridge problem in discrete time, where the pathwise cost is replaced by a sum of quadratic functions, taking the form of a linear quadratic regulator…
stat.ML2025
Variational Inference with Mixtures of Isotropic Gaussians
Marguerite Petit-Talamon, Marc Lambert, Anna Korba
Variational inference (VI) is a popular approach in Bayesian inference, that looks for the best approximation of the posterior distribution within a parametric family, minimizing a…
math.NA2024
Low-rank plus diagonal approximations for Riccati-like matrix differential equations
Silvère Bonnabel, Marc Lambert, Francis Bach
We consider the problem of computing tractable approximations of time-dependent d x d large positive semi-definite (PSD) matrices defined as solutions of a matrix differential equa…