Related papers: Quickest Detection with Discretely Controlled Obse…
We study the problem of selecting limited features to observe such that models trained on them can perform well simultaneously across multiple subpopulations. This problem has applications in settings where collecting each feature is…
Qualitative opacity of a secret is a security property, which means that a system trajectory satisfying the secret is observation-equivalent to a trajectory violating the secret. In this paper, we study how to synthesize a control policy…
This paper considers data-driven chance-constrained stochastic optimization problems in a Bayesian framework. Bayesian posteriors afford a principled mechanism to incorporate data and prior knowledge into stochastic optimization problems.…
We establish a variety of results extending the well-known Pontryagin maximum principle of optimal control to discrete-time optimal control problems posed on smooth manifolds. These results are organized around a new theorem on critical and…
In the Wiener disorder problem, the drift of a Wiener process changes suddenly at some unknown and unobservable disorder time. The objective is to detect this change as quickly as possible after it happens. Earlier work on the Bayesian…
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow…
We study a Q learning algorithm for continuous time stochastic control problems. The proposed algorithm uses the sampled state process by discretizing the state and control action spaces under piece-wise constant control processes. We show…
We consider the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution. This problem is investigated in a sequential setup under mild assumptions on the underlying random process. The…
This paper is devoted to the study of acceleration methods for an inequality constrained convex optimization problem by using Lyapunov functions. We first approximate such a problem as an unconstrained optimization problem by employing the…
Consider a distributed detection problem in which the underlying distributions of the observations are unknown; instead of these distributions, noisy versions of empirically observed statistics are available to the fusion center. These…
The growing amount of applications that generate vast amount of data in short time scales render the problem of partial monitoring, coupled with prediction, a rather fundamental one. We study the aforementioned canonical problem under the…
We consider the problem of efficient financial surveillance aimed at "on-the-go" detection of structural breaks (anomalies) in "live"-monitored financial time series. With the problem approached statistically, viz. as that of multi-cyclic…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
We study the problem of covert quickest change detection in a discrete-time setting, where a sequence of observations undergoes a distributional change at an unknown time. Unlike classical formulations, we consider a covert adversary who…
We define and analyze a multi-agent multi-armed bandit problem in which decision-making agents can observe the choices and rewards of their neighbors under a linear observation cost. Neighbors are defined by a network graph that encodes the…
The problem of quickest change detection (QCD) under transient dynamics is studied, where the change from the initial distribution to the final persistent distribution does not happen instantaneously, but after a series of transient phases.…
This paper studies the problem of learning Bayesian networks from continuous observational data, generated according to a linear Gaussian structural equation model. We consider an $\ell_0$-penalized maximum likelihood estimator for this…
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…
A sensor network is considered where at each sensor a sequence of random variables is observed. At each time step, a processed version of the observations is transmitted from the sensors to a common node called the fusion center. At some…
Several key issues arise in implementing computer vision recognition of world objects in terms of Bayesian networks. Computational efficiency is a driving force. Perceptual networks are very deep, typically fifteen levels of structure.…