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We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…
POMDPs are useful models for systems where the true underlying state is not known completely to an outside observer; the outside observer incompletely knows the true state of the system, and observes a noisy version of the true system…
Recent years have seen a huge development in spatial modelling and prediction methodology, driven by the increased availability of remote-sensing data and the reduced cost of distributed-processing technology. It is well known that…
Markov state models (MSMs) have been successful in computing metastable states, slow relaxation timescales and associated structural changes, and stationary or kinetic experimental observables of complex molecules from large amounts of…
In this paper, we consider the optimal stopping problem on semi-Markov processes (SMPs) with finite horizon, and aim to establish the existence and computation of optimal stopping times. To achieve the goal, we first develop the main…
Planning under uncertainty is critical to robotics. The Partially Observable Markov Decision Process (POMDP) is a mathematical framework for such planning problems. It is powerful due to its careful quantification of the non-deterministic…
We introduce Markov Neural Processes (MNPs), a new class of Stochastic Processes (SPs) which are constructed by stacking sequences of neural parameterised Markov transition operators in function space. We prove that these Markov transition…
Piecewise deterministic Markov processes (PDMPs) are a class of stochastic processes with applications in several fields of applied mathematics spanning from mathematical modeling of physical phenomena to computational methods. A PDMP is…
We consider the solution of nonlinear programs with nonlinear semidefiniteness constraints. The need for an efficient exploitation of the cone of positive semidefinite matrices makes the solution of such nonlinear semidefinite programs more…
Partially observable Markov decision processes (POMDPs) provide an elegant mathematical framework for modeling complex decision and planning problems in stochastic domains in which states of the system are observable only indirectly, via a…
In this paper we consider the problem of computing the stationary distribution of nearly completely decomposable Markov processes, a well-established area in the classical theory of Markov processes with broad applications in the design,…
Modern signal processing (SP) methods rely very heavily on probability and statistics to solve challenging SP problems. SP methods are now expected to deal with ever more complex models, requiring ever more sophisticated computational…
Background: Software Process Simulation (SPS) has become an effective tool for software process management and improvement. However, its adoption in industry is less than what the research community expected due to the burden of measurement…
Multi-type Markov point processes offer a flexible framework for modelling complex multi-type point patterns where it is pertinent to capture both interactions between points as well as large scale trends depending on observed covariates.…
Within Process mining, discovery techniques had made it possible to construct business process models automatically from event logs. However, results often do not achieve the balance between model complexity and its fitting accuracy, so…
Markov processes are popular mathematical models, studied by theoreticians for their intriguing properties, and applied by practitioners for their flexible structure. With this book we teach how to model and analyze Markov processes. We…
Parameter estimation for discretely observed Markov processes is a challenging problem. However, simulation of Markov processes is straightforward using the Gillespie algorithm. We exploit this ease of simulation to develop an effective…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (or minimize…
We give a short overview of recent results on a specific class of Markov process: the Piecewise Deterministic Markov Processes (PDMPs). We first recall the definition of these processes and give some general results. On more specific cases…
Markov state models (MSMs) have been demonstrated to be a powerful method for computationally studying intramolecular processes such as protein folding and macromolecular conformational changes. In this article, we present a new approach to…