Related papers: Bayesian Parameter Identification for Jump Markov …

We present a non-parametric Bayesian approach to structure learning with hidden causes. Previous Bayesian treatments of this problem define a prior over the number of hidden causes and use algorithms such as reversible jump Markov chain…

Inverse problems involving partial differential equations (PDEs) with discontinuous coefficients are fundamental challenges in modeling complex spatiotemporal systems with heterogeneous structures and uncertain dynamics. Traditional…

Particle Metropolis-Hastings (PMH) allows for Bayesian parameter inference in nonlinear state space models by combining Markov chain Monte Carlo (MCMC) and particle filtering. The latter is used to estimate the intractable likelihood. In…

Approximate Bayesian computation (ABC) is a popular technique for approximating likelihoods and is often used in parameter estimation when the likelihood functions are analytically intractable. Although the use of ABC is widespread in many…

We consider continuous time Markovian processes where populations of individual agents interact stochastically according to kinetic rules. Despite the increasing prominence of such models in fields ranging from biology to smart cities,…

Bayesian inference for Markov jump processes (MJPs) where available observations relate to either system states or jumps typically relies on data-augmentation Markov Chain Monte Carlo. State-of-the-art developments involve representing MJP…

We present a new method for statistical verification of quantitative properties over a partially unknown system with actions, utilising a parameterised model (in this work, a parametric Markov decision process) and data collected from…

The consistency of the Bayesian estimation of a parameter is shown for a class of ergodic discrete Markov chains. J.L. Doob's method was used, offered earlier for the i.i.d. situation. The result may be useful in the reliability theory for…

The velocity-jump model is a specific type of piecewise deterministic Markov process in which an individual's velocity is constant except at times that form the events of some point process. It represents an interpretable continuous-time…

We propose a new Bayesian tracking and parameter learning algorithm for non-linear non-Gaussian multiple target tracking (MTT) models. We design a Markov chain Monte Carlo (MCMC) algorithm to sample from the posterior distribution of the…

The original formulation of BEAMS - Bayesian Estimation Applied to Multiple Species - showed how to use a dataset contaminated by points of multiple underlying types to perform unbiased parameter estimation. An example is cosmological…

Identifying and calibrating quantitative dynamical models for physical quantum systems is important for a variety of applications. Here we present a closed-loop Bayesian learning algorithm for estimating multiple unknown parameters in a…

Markov jump processes (or continuous-time Markov chains) are a simple and important class of continuous-time dynamical systems. In this paper, we tackle the problem of simulating from the posterior distribution over paths in these models,…

Identifying the Hamiltonian of a quantum system from experimental data is considered. General limits on the identifiability of model parameters with limited experimental resources are investigated, and a specific Bayesian estimation…

To accurately reproduce measurements from the real world, simulators need to have an adequate model of the physical system and require the parameters of the model be identified. We address the latter problem of estimating parameters through…

Probabilistic model checking for systems with large or unbounded state space is a challenging computational problem in formal modelling and its applications. Numerical algorithms require an explicit representation of the state space, while…

Reversible jump Markov chain Monte Carlo (RJMCMC) extends ordinary MCMC methods for use in Bayesian multimodel inference. We show that RJMCMC can be implemented as Gibbs sampling with alternating updates of a model indicator and a…

In this article, an overview of Bayesian methods for sequential simulation from posterior distributions of nonlinear and non-Gaussian dynamic systems is presented. The focus is mainly laid on sequential Monte Carlo methods, which are based…

In this work, we present a new class of models, called uncertain-input models, that allows us to treat system-identification problems in which a linear system is subject to a partially unknown input signal. To encode prior information about…

This paper considers the problem of remote state estimation for Markov jump linear systems in the presence of uncertainty in the posterior mode probabilities. Such uncertainty may arise when the estimator receives noisy or incomplete…