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Markov chains are fundamental models for stochastic dynamics, with applications in a wide range of areas such as population dynamics, queueing systems, reinforcement learning, and Monte Carlo methods. Estimating the transition matrix and…
We consider the problem of approximating the stationary distribution of an ergodic Markov chain given a set of sampled transitions. Classical simulation-based approaches assume access to the underlying process so that trajectories of…
We study the problem of learning the transition matrices of a set of Markov chains from a single stream of observations on each chain. We assume that the Markov chains are ergodic but otherwise unknown. The learner can sample Markov chains…
We introduce a novel training principle for probabilistic models that is an alternative to maximum likelihood. The proposed Generative Stochastic Networks (GSN) framework is based on learning the transition operator of a Markov chain whose…
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…
Random walks are a fundamental model in applied mathematics and are a common example of a Markov chain. The limiting stationary distribution of the Markov chain represents the fraction of the time spent in each state during the stochastic…
Continuous-time Markov chains are used to model stochastic systems where transitions can occur at irregular times, e.g., birth-death processes, chemical reaction networks, population dynamics, and gene regulatory networks. We develop a…
We introduce a novel training principle for probabilistic models that is an alternative to maximum likelihood. The proposed Generative Stochastic Networks (GSN) framework is based on learning the transition operator of a Markov chain whose…
We propose a method to sample stationary properties of solutions of stochastic differential equations, which is accurate and efficient if there are rarely visited regions or rare transitions between distinct regions of the state space. The…
Learning to sample from complex unnormalized distributions is a fundamental challenge in computational physics and machine learning. While score-based and variational methods have achieved success in continuous domains, extending them to…
The assumption that data samples are independently identically distributed is the backbone of many learning algorithms. Nevertheless, datasets often exhibit rich structure in practice, and we argue that there exist some unknown order within…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…
We propose a recurrent neural network for a "model-free" simulation of a dynamical system with unknown parameters without prior knowledge. The deep learning model aims to jointly learn the nonlinear time marching operator and the effects of…
Physically motivated stochastic dynamics are often used to sample from high-dimensional distributions. However such dynamics often get stuck in specific regions of their state space and mix very slowly to the desired stationary state. This…
Machine learning techniques not only offer efficient tools for modelling dynamical systems from data, but can also be employed as frontline investigative instruments for the underlying physics. Nontrivial information about the original…
Modeling the dynamics of non-stationary stochastic systems requires balancing the representational power of deep learning with the mathematical transparency of classical models. While classical Markov transition operators provide explicit,…
Applications of stochastic models often involve the evaluation of steady-state performance, which requires solving a set of balance equations. In most cases of interest, the number of equations is infinite or even uncountable. As a result,…
We propose a simple algorithm to train stochastic neural networks to draw samples from given target distributions for probabilistic inference. Our method is based on iteratively adjusting the neural network parameters so that the output…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…
The graph-related symmetries of a reaction network give rise to certain special equilibria (such as complex balanced equilibria) in deterministic models of dynamics of the reaction network. Correspondingly, in the stochastic setting, when…