Related papers: Generic identification of binary-valued hidden Mar…

I propose a large class of stochastic Markov processes associated with probability distributions analogous to that of lattice gauge theory with dynamical fermions. The construction incorporates the idea of approximate spectral split of the…

We consider in this paper a stochastic process that mixes in time, according to a nonobserved stationary Markov selection process, two separate sources of randomness: i) a stationary process which distribution is accessible (gold standard);…

We provide a systematic study of the notion of duality of Markov processes with respect to a function. We discuss the relation of this notion with duality with respect to a measure as studied in Markov process theory and potential theory…

The analysis of many problems of interest associated with Markov chains, e.g. stationary distributions, moments of first passage time distributions and moments of occupation time random variables, involves the solution of a system of linear…

Markov jump processes are continuous-time stochastic processes with a wide range of applications in both natural and social sciences. Despite their widespread use, inference in these models is highly non-trivial and typically proceeds via…

In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, it turned out that semimartingales should be considered the…

This paper deals with parameter estimation in pair hidden Markov models (pair-HMMs). We first provide a rigorous formalism for these models and discuss possible definitions of likelihoods. The model being biologically motivated, some…

In this paper, we investigate a special class of stochastic Markov processes, known as Glauber dynamics. Markov processes are importance, for example, in the study of complex systems. For this, we present the basic theory of Glauber…

We propose a novel randomized linear programming algorithm for approximating the optimal policy of the discounted Markov decision problem. By leveraging the value-policy duality and binary-tree data structures, the algorithm adaptively…

We consider Markov decision processes (MDPs) in which the transition probabilities and rewards belong to an uncertainty set parametrized by a collection of random variables. The probability distributions for these random parameters are…

We prove a complete class theorem that characterizes \emph{all} stationary time reversible Markov processes whose finite dimensional marginal distributions (of all orders) are infinitely divisible. Aside from two degenerate cases (iid and…

We consider a unified framework of sequential change-point detection and hypothesis testing modeled by means of hidden Markov chains. One observes a sequence of random variables whose distributions are functionals of a hidden Markov chain.…

Probabilistic graphical models play a crucial role in machine learning and have wide applications in various fields. One pivotal subset is undirected graphical models, also known as Markov random fields. In this work, we investigate the…

Piecewise Deterministic Markov Processes (PDMPs) are studied in a general framework. First, different constructions are proven to be equivalent. Second, we introduce a coupling between two PDMPs following the same differential flow which…

Machine learning algorithms use error function minimization to fit a large set of parameters in a preexisting model. However, error minimization eventually leads to a memorization of the training dataset, losing the ability to generalize to…

We consider finite-horizon Markov Decision Processes where parameters, such as transition probabilities, are unknown and estimated from data. The popular distributionally robust approach to addressing the parameter uncertainty can sometimes…

In this paper, we explore the class of the Hidden Semi-Markov Model (HSMM), a flexible extension of the popular Hidden Markov Model (HMM) that allows the underlying stochastic process to be a semi-Markov chain. HSMMs are typically used less…

We describe discrete restricted Boltzmann machines: probabilistic graphical models with bipartite interactions between visible and hidden discrete variables. Examples are binary restricted Boltzmann machines and discrete naive Bayes models.…

We introduce multiple hidden Markov models (MHMMs) where an observed multivariate categorical time series depends on an unobservable multivariate Mar- kov chain. MHMMs provide an elegant framework for specifying various independence…

Nonlinear Mixed effects models are hidden variables models that are widely used in many fields such as pharmacometrics. In such models, the distribution characteristics of hidden variables can be specified by including several parameters…