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We incorporate discrete and continuous time Markov processes as building blocks into probabilistic graphical models with latent and observed variables. We introduce the automatic Backward Filtering Forward Guiding (BFFG) paradigm (Mider et…
Stochastic processes with temporal delay play an important role in science and engineering whenever finite speeds of signal transmission and processing occur. However, an exact mathematical analysis of their dynamics and thermodynamics is…
Dynamical systems are ubiquitous in science and engineering as models of phenomena that evolve over time. Although complex dynamical systems tend to have important modular structure, conventional modeling approaches suppress this structure.…
This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in [30]. We extend the applicability of the theory by relaxing compactness and boundedness…
Multistage stochastic optimization problems are oftentimes formulated informally in a pathwise way. These are correct in a discrete setting and suitable when addressing computational challenges, for example. But the pathwise problem…
Gaussian process is a theoretically appealing model for nonparametric analysis, but its computational cumbersomeness hinders its use in large scale and the existing reduced-rank solutions are usually heuristic. In this work, we propose a…
We consider an energy storage problem involving a wind farm with a forecasted power output, a stochastic load, an energy storage device, and a connection to the larger power grid with stochastic prices. Electricity prices and wind power…
Continuous measurements are central to quantum control and sensing, yet lack a model-independent operational description that can be applied to arbitrary non-Markovian processes without specifying a microscopic measurement model. Existing…
Markov automata combine non-determinism, probabilistic branching, and exponentially distributed delays. This compositional variant of continuous-time Markov decision processes is used in reliability engineering, performance evaluation and…
We consider state and parameter estimation for a dynamical system having both time-varying and time-invariant parameters. It has been shown that the robustness of the Markov Chain Monte Carlo (MCMC) algorithm for estimating time-invariant…
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face significant challenges in this context, as the option prices…
We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…
Many optimization problems can be naturally represented as (hyper) graphs, where vertices correspond to variables and edges to tasks, whose cost depends on the values of the adjacent variables. Capitalizing on the structure of the graph,…
The formation, dissolution, and dynamics of multi-particle complexes is of fundamental interest in the study of stochastic chemical systems. In 1976, Masao Doi introduced a Fock space formalism for modeling classical particles. Doi's…
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general,…
We consider stochastic dynamic programming problems with high-dimensional, discrete state-spaces and finite, discrete-time horizons that prohibit direct computation of the value function from a given Bellman equation for all states and time…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…
This paper is concerned with classes of models of stochastic reaction dynamics with time-scales separation. We demonstrate that the existence of the time-scale separation naturally leads to the application of the averaging principle and…
The solutions of Hamiltonian equations are known to describe the underlying phase space of a mechanical system. In this article, we propose a novel spatio-temporal model using a strategic modification of the Hamiltonian equations,…
Dynamic pricing is the practice of adjusting the selling price of a product to maximize a firm's revenue by responding to market demand. The literature typically distinguishes between two settings: infinite inventory, where the firm has…