Related papers: Simulation-based inference methods for partially o…
Given a sequence of observations from a discrete-time, finite-state hidden Markov model, we would like to estimate the sampling distribution of a statistic. The bootstrap method is employed to approximate the confidence regions of a…
In the following article we provide an exposition of exact computational methods to perform parameter inference from partially observed network models. In particular, we consider the duplication attachment (DA) model which has a likelihood…
Partially Observable Markov Decision Processes (POMDPs) are the standard framework for decision-making under uncertainty. While sampling-based methods scale well, they lack formal correctness guarantees, making them unsuitable for…
This work proposes novel techniques for the efficient numerical simulation of parameterized, unsteady partial differential equations. Projection-based reduced order models (ROMs) such as the reduced basis method employ a (Petrov-)Galerkin…
We consider a linear stochastic fluid network under Markov modulation, with a focus on the probability that the joint storage level attains a value in a rare set at a given point in time. The main objective is to develop efficient…
Robust Markov decision processes (MDPs) allow to compute reliable solutions for dynamic decision problems whose evolution is modeled by rewards and partially-known transition probabilities. Unfortunately, accounting for uncertainty in the…
Recently non-reversible samplers based on simulating piecewise deterministic Markov processes (PDMPs) have shown potential for efficient sampling in Bayesian inference problems. However, there remains a lack of guidance on how to best…
This paper studies the policy mirror descent (PMD) method, which is a general policy optimization framework in reinforcement learning and can cover a wide range of policy gradient methods by specifying difference mirror maps. Existing…
Statistical evaluation aims to estimate the generalization performance of a model using held-out i.i.d.\ test data sampled from the ground-truth distribution. In supervised learning settings such as classification, performance metrics such…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
Multidimensional continuous-time Markov jump processes $(Z(t))$ on $\mathbb{Z}^p$ form a usual set-up for modeling $SIR$-like epidemics. However, when facing incomplete epidemic data, inference based on $(Z(t))$ is not easy to be achieved.…
This paper proposes nonparametric two-sample tests for the direct comparison of the probabilities of a particular transition between states of a continuous time nonhomogeneous Markov process with a finite state space. The proposed tests are…
A statistical inference method is developed and tested for pairwise interacting systems whose degrees of freedom are continuous angular variables, such as planar spins in magnetic systems or wave phases in optics and acoustics. We…
Population annealing is a recent addition to the arsenal of the practitioner in computer simulations in statistical physics and beyond that is found to deal well with systems with complex free-energy landscapes. Above all else, it promises…
We introduce a probabilistic framework for two-sample comparison based on a nonparametric process taking the form of a Markov model that transitions between a "divide" and a "merge" state on a multi-resolution partition tree of the sample…
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
The R package walker extends standard Bayesian general linear models to the case where the effects of the explanatory variables can vary in time. This allows, for example, to model the effects of interventions such as changes in tax policy…
We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include…
A number of numeric approaches to simulate Poisson point processes with arbitrary event rates are presented and implemented for R. They include the simulation of the number of points and their location as well as the determination of…