Related papers: Variational approach for learning Markov processes…

Latent space models are popular for analyzing dynamic network data. We propose a variational approach to estimate the model parameters as well as the latent positions of the nodes in the network. The variational approach is much faster than…

Markov state models (MSMs) and Master equation models are popular approaches to approximate molecular kinetics, equilibria, metastable states, and reaction coordinates in terms of a state space discretization usually obtained by clustering.…

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…

We study the performance of a stochastic algorithm based on the power method that adaptively learns the large deviation functions characterizing the fluctuations of additive functionals of Markov processes, used in physics to model…

We introduce a variational algorithm to estimate the likelihood of a rare event within a nonequilibrium molecular dynamics simulation through the evaluation of an optimal control force. Optimization of a control force within a chosen basis…

Credible forecasting and representation learning of dynamical systems are of ever-increasing importance for reliable decision-making. To that end, we propose a family of Gaussian processes (GP) for dynamical systems with linear…

We introduce and test an algorithm that adaptively estimates large deviation functions characterizing the fluctuations of additive functionals of Markov processes in the long-time limit. These functions play an important role for predicting…

We consider a hidden Markov model, where the signal process, given by a diffusion, is only indirectly observed through some noisy measurements. The article develops a variational method for approximating the hidden states of the signal…

The estimation of static parameters in dynamical systems and control theory has been extensively studied, with significant progress made in estimating varying parameters in specific system types. Suppose, in the general case, we have data…

Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observed that higher order Markov processes can model the data…

This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we specify a new dynamic variable/model selection strategy for…

We present an optimization process to estimate parameters in systems of ordinary differential equations from chaotic time series. The optimization technique is based on a variational approach, and numerical studies on noisy time series…

Optimal designs minimize the number of experimental runs (samples) needed to accurately estimate model parameters, resulting in algorithms that, for instance, efficiently minimize parameter estimate variance. Governed by knowledge of past…

Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challenging because VaR is non-additive and the traditional dynamic…

As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long…

Industrial processes generate a massive amount of monitoring data that can be exploited to uncover hidden time losses in the system. This can be used to enhance the accuracy of maintenance policies and increase the effectiveness of the…

We present a compartmentalized approach to finding the maximum a-posteriori (MAP) estimate of a latent time series that obeys a dynamic stochastic model and is observed through noisy measurements. We specifically consider modern signal…

We have shown recently that a Markov process conditioned on rare events involving time-integrated random variables can be described in the long-time limit by an effective Markov process, called the driven process, which is given…

The paper proposes a time-varying parameter global vector autoregressive (TVP-GVAR) framework for predicting and analysing developed region economic variables. We want to provide an easily accessible approach for the economy application…

The Koopman operator provides a principled framework for analyzing nonlinear dynamical systems through linear operator theory. Recent advances in dynamic mode decomposition (DMD) have shown that trajectory data can be used to identify…