Related papers: Approximate Kalman-Bucy filter for continuous-time…
A fully discrete approximation of the semi-linear stochastic wave equation driven by multiplicative noise is presented. A standard linear finite element approximation is used in space and a stochastic trigonometric method for the temporal…
In the continuity of a recent paper ([6]), dealing with finite Markov chains, this paper proposes and analyzes a recursive algorithm for the approximation of the quasi-stationary distribution of a general Markov chain living on a compact…
This paper considers the approximation of the continuous time filtering equation for the case of a multiple timescale (slow-intermediate, and fast scales) that may have correlation between the slow-intermediate process and the observation…
We propose a distance between continuous-time Markov chains (CTMCs) and study the problem of computing it by comparing three different algorithmic methodologies: iterative, linear program, and on-the-fly. In a work presented at FoSSaCS'12,…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
Nonlinear filtering problems are encountered in many applications, and one solution approach is the extended Kalman filter, which is not always convergent. Therefore, it is crucial to identify conditions under which the extended Kalman…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…
We derive a finite-sample probabilistic bound on the parameter estimation error of a system identification algorithm for Linear Switched Systems. The algorithm estimates Markov parameters from a single trajectory and applies a variant of…
Numerical simulation of turbulent fluid dynamics needs to either parameterize turbulence-which introduces large uncertainties-or explicitly resolve the smallest scales-which is prohibitively expensive. Here we provide evidence through…
This paper introduces a new algorithm for numerically computing equilibrium (i.e. stationary) distributions for Markov chains and Markov jump processes with either a very large finite state space or a countably infinite state space. The…
Markov chain approximations of symmetric jump processes are investigated. Tightness results and a central limit theorem are established. Moreover, given the generator of a symmetric jump process with state space $\mathbbm{R}^d$ the…
We provide a framework for speeding up algorithms for time-bounded reachability analysis of continuous-time Markov decision processes. The principle is to find a small, but almost equivalent subsystem of the original system and only analyse…
In this paper we introduce a notion of spectral approximation for directed graphs. While there are many potential ways one might define approximation for directed graphs, most of them are too strong to allow sparse approximations in…
It is known that Kalman-Bucy filter is stable with respect to initial conditions under the conditions of uniform complete controllability and uniform complete observability (Bishop et. al 2017, Ocone et. al 1996). In this paper, we prove…
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-Bucy filter based estimates based upon several nonlinear…
We consider a robust filtering problem where the nominal state space model is not reachable and different from the actual one. We propose a robust Kalman filter which solves a dynamic game: one player selects the least-favorable model in a…
Recent quasi-optimal error estimates for the finite element approximation of total-variation regularized minimization problems require the existence of a Lipschitz continuous dual solution. We discuss the validity of this condition and…
In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as…
We present a method to perform a least squares fit of a decay chain involving multiple decay vertices. Our technique allows for the simultaneous extraction of decay time, position and momentum parameters and their uncertainties and…
We consider the problem of continuous quantum error correction from a Bayesian perspective, proposing a pair of digital filters using logarithmic probabilities that are able to achieve near-optimal performance on a three-qubit bit-flip…