Related papers: Global Upper Expectations for Discrete-Time Stocha…
Two-time-scale stochastic approximation, a generalized version of the popular stochastic approximation, has found broad applications in many areas including stochastic control, optimization, and machine learning. Despite its popularity,…
Given its ability to analyse stochastic models ranging from discrete and continuous-time Markov chains to Markov decision processes and stochastic games, probabilistic model checking (PMC) is widely used to verify system dependability and…
Gaussian processes have become a promising tool for various safety-critical settings, since the posterior variance can be used to directly estimate the model error and quantify risk. However, state-of-the-art techniques for safety-critical…
Stochastic two-player games model systems with an environment that is both adversarial and stochastic. The adversarial part of the environment is modeled by a player (Player 2) who tries to prevent the system (Player 1) from achieving its…
We revisit the classical problem of universal prediction of stochastic sequences with a finite time horizon $T$ known to the learner. The question we investigate is whether it is possible to derive vanishing regret bounds that hold with…
Asynchronous event sequences are the basis of many applications throughout different industries. In this work, we tackle the task of predicting the next event (given a history), and how this prediction changes with the passage of time.…
There exist many methods for sensitivity analysis readily available to the practitioner. While each seeks to help the modeler answer the same general question -- How do sources of uncertainty or changes in the model inputs relate to…
As artificial agents become increasingly capable, what internal structure is *necessary* for an agent to act competently under uncertainty? Classical results show that optimal control can be *implemented* using belief states or world…
The complexity of the operating environment and required technologies for highly automated driving is unprecedented. A different type of threat to safe operation besides the fault-error-failure model by Laprie et al. arises in the form of…
In this article, we focus on the global stabilizability problem for a class of second order uncertain stochastic control systems, where both the drift term and the diffusion term are nonlinear functions of the state variables and the…
Statistical model checking estimates probabilities and expectations of interest in probabilistic system models by using random simulations. Its results come with statistical guarantees. However, many tools use unsound statistical methods…
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
A general theory is developed to study individual based models which are discrete in time. We begin by constructing a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are…
Stochastic simulation has been widely used to analyze the performance of complex stochastic systems and facilitate decision making in those systems. Stochastic simulation is driven by the input model, which is a collection of probability…
Chance constraints are frequently used to limit the probability of constraint violations in real-world optimization problems where the constraints involve stochastic components. We study chance-constrained submodular optimization problems,…
Uncertainty estimation (UE) techniques -- such as the Gaussian process (GP), Bayesian neural networks (BNN), Monte Carlo dropout (MCDropout) -- aim to improve the interpretability of machine learning models by assigning an estimated…
A new class of stochastic variables, governed by a specifice set of rules, is introduced. These rules force them to loose some properties usually assumed for this kind of variables. We demonstrate that stochastic processes driven by these…
Analyzing decision problems under uncertainty commonly relies on idealizing assumptions about the describability of the world, with the most prominent examples being the closed world and the small world assumption. Most assumptions are…
This paper addresses the problem of risk-aware fixed-time stabilization of a class of uncertain, output-feedback nonlinear systems modeled via stochastic differential equations. First, novel classes of certificate functions, namely…
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. In these models the uncertainties are…