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In many change point problems it is reasonable to assume that compared to a benchmark at a given time point $t_0$ the properties of the observed stochastic process change gradually over time for $t >t_0$. Often, these gradual changes are…
Independence analysis is an indispensable step before regression analysis to find out essential factors that influence the objects. With many applications in machine Learning, medical Learning and a variety of disciplines, statistical…
Modelling random dynamical systems in continuous time, diffusion processes are a powerful tool in many areas of science. Model parameters can be estimated from time-discretely observed processes using Markov chain Monte Carlo (MCMC) methods…
Sample average approximation--based stochastic dynamic programming (SDP) and model predictive control (MPC) are two different methods for approaching multistage stochastic optimization. In this paper we investigate the conditions under…
The ability to understand and solve high-dimensional inference problems is essential for modern data science. This article examines high-dimensional inference problems through the lens of information theory and focuses on the standard…
Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…
Optimal control for switch-based dynamical systems is a challenging problem in the process control literature. In this study, we model these systems as hybrid dynamical systems with finite number of unknown switching points and reformulate…
The analysis on stability and bifurcations in the macroscopic dynamics exhibited by the system of two coupled large populations comprised of $N$ stochastic excitable units each is performed by studying an approximate system, obtained by…
Mass-conserving reaction-diffusion (MCRD) systems are widely used to model phase separation and pattern formation in cell polarity, biomolecular condensates, and ecological systems. Numerical simulations and formal asymptotic analysis…
The widespread adoption of the \emph{maximum mean discrepancy} (MMD) in goodness-of-fit testing has spurred extensive research on its statistical performance. However, recent studies indicate that the inherent structure of MMD may constrain…
While Koopman-based techniques like extended Dynamic Mode Decomposition are nowadays ubiquitous in the data-driven approximation of dynamical systems, quantitative error estimates were only recently established. To this end, both sources of…
Reliable and accurate estimation of the error of an ML model in unseen test domains is an important problem for safe intelligent systems. Prior work uses disagreement discrepancy (DIS^2) to derive practical error bounds under distribution…
In multi-parameter persistence, the matching distance is defined as the supremum of weighted bottleneck distances on the barcodes given by the restriction of persistence modules to lines with a positive slope. In the case of finitely…
Any autonomous nonlinear dynamical system can be viewed as a superposition of infinitely many linear processes, through the so-called Koopman mode decomposition. Its data-driven approximation- Dynamic Mode Decomposition (DMD)- has been…
Non-stationary environments are challenging for reinforcement learning algorithms. If the state transition and/or reward functions change based on latent factors, the agent is effectively tasked with optimizing a behavior that maximizes…
We study the problem of detecting a common change point in large panel data based on a mean shift model, wherein the errors exhibit both temporal and cross-sectional dependence. A least squares based procedure is used to estimate the…
Many natural systems undergo critical transitions, i.e. sudden shifts from one dynamical regime to another. In the climate system, the atmospheric boundary layer can experience sudden transitions between fully turbulent states and…
Stochastic processes are random variables with values in some space of paths. However, reducing a stochastic process to a path-valued random variable ignores its filtration, i.e. the flow of information carried by the process through time.…
We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…
A general, variational approach to derive low-order reduced systems is presented. The approach is based on the concept of optimal parameterizing manifold (OPM) that substitutes the more classical notions of invariant or slow manifold when…