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This paper provides full classification of dynamics for continuous time Markov chains (CTMCs) on the non-negative integers with polynomial transition rate functions. Such stochastic processes are abundant in applications, in particular in…
Continuous-time Markov process models of contagions are widely studied, not least because of their utility in predicting the evolution of real-world contagions and in formulating control measures. It is often the case, however, that…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
We propose a trajectory-based quasiclassical method for approximating dynamics in condensed phase systems. Building upon the previously developed Optimized Mean Trajectory (OMT) approximation that has been used to compute linear and…
Many problems arising in applications result in the need to probe a probability distribution for functions. Examples include Bayesian nonparametric statistics and conditioned diffusion processes. Standard MCMC algorithms typically become…
The use of non-differentiable priors in Bayesian statistics has become increasingly popular, in particular in Bayesian imaging analysis. Current state of the art methods are approximate in the sense that they replace the posterior with a…
We study irreducible time-homogenous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the…
We consider a general method for the approximation of the distribution of a process conditioned to not hit a given set. Existing methods are based on particle system that are failable, in the sense that, in many situations , they are not…
Multi-state models are commonly used for intermittent observations of a state over time, but these are generally based on the Markov assumption, that transition rates are independent of the time spent in current and previous states. In a…
Products between phase-type distributed random variables and any independent, positive and continuous random variable are studied. Their asymptotic properties are established, and an expectation-maximization algorithm for their effective…
We consider the convergence of a continuous-time Markov chain approximation X^h, h>0, to an R^d-valued Levy process X. The state space of X^h is an equidistant lattice and its Q-matrix is chosen to approximate the generator of X. In…
Given $iid$ observations from an unknown absolute continuous distribution defined on some domain $\Omega$, we propose a nonparametric method to learn a piecewise constant function to approximate the underlying probability density function.…
Traditional gradient-based sampling methods, like standard Hamiltonian Monte Carlo, require that the desired target distribution is continuous and differentiable. This limits the types of models one can define, although the presented models…
Estimating the transition dynamics of controlled Markov chains is crucial in fields such as time series analysis, reinforcement learning, and system exploration. Traditional non-parametric density estimation methods often assume independent…
We consider a continuous-time Markov chain (CTMC) whose state space is partitioned into aggregates, and each aggregate is assigned a probability measure. A sufficient condition for defining a CTMC over the aggregates is presented as a…
Markov chain Monte Carlo (MCMC) methods are frequently used to approximately simulate high-dimensional, multimodal probability distributions. In adaptive MCMC methods, the transition kernel is changed "on the fly" in the hope to speed up…
This paper studies the rate of convergence of a family of continuous-time Markov chains (CTMC) to a mean-field model. When the mean-field model is a finite-dimensional dynamical system with a unique equilibrium point, an analysis based on…
Probabilistic models are conceptually powerful tools for finding structure in data, but their practical effectiveness is often limited by our ability to perform inference in them. Exact inference is frequently intractable, so approximate…
Information-theoretic quantities play a crucial role in understanding non-linear relationships between random variables and are widely used across scientific disciplines. However, estimating these quantities remains an open problem,…
This paper introduces a decentralized state-dependent Markov chain synthesis (DSMC) algorithm for finite-state Markov chains. We present a state-dependent consensus protocol that achieves exponential convergence under mild technical…