Related papers: Solving the Poisson equation using coupled Markov …
In this paper, we employ Markov process theory to prove asymptotic results for a class of stochastic processes which arise as solutions of a stochastic evolution inclusion and are given by the representation formula \begin{align*}…
Full Bayesian computational inference for model determination in undirected graphical models is currently restricted to decomposable graphs, except for problems of very small scale. In this paper we develop new, more efficient methodology…
We consider the almost semi-continuous processes defined on a finite Markov chain. The representation of the moment generating functions for the absolute maximum after achievement positive level and for the recovery time are obtained.…
Due to the potential benefits of parallelization, designing unbiased Monte Carlo estimators, primarily in the setting of randomized multilevel Monte Carlo, has recently become very popular in operations research and computational…
In this paper we study Monte Carlo estimators based on the likelihood ratio approach for steady-state sensitivity. We first extend the result of Glynn and Olvera-Cravioto [doi:doi: 10.1287/stsy.2018.002] to the setting of continuous time…
Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…
We rely on Monte Carlo (MC) simulations to interpret searches for new physics at the Large Hadron Collider (LHC) and elsewhere. These simulations result in noisy and approximate estimators of selection efficiencies and likelihoods. In this…
The insurance model when the amount of claims depends on the state of the insured person (healthy, ill, or dead) and claims are connected in a Markov chain is investigated. The signed compound Poisson approximation is applied to the…
We consider the computational task of sampling a bit string $x$ from a distribution $\pi(x)=|\langle x|\psi\rangle|^2$, where $\psi$ is the unique ground state of a local Hamiltonian $H$. Our main result describes a direct link between the…
We present general principles for the design and analysis of unbiased Monte Carlo estimators in a wide range of settings. Our estimators posses finite work-normalized variance under mild regularity conditions. We apply our estimators to…
We describe a new construction of a family of measures on a group with the same Poisson boundary. Our approach is based on applying Markov stopping times to an extension of the original random walk.
The paper is concerned with the equilibrium distributions of continuous-time density dependent Markov processes on the integers. These distributions are known typically to be approximately normal, and the approximation error, as measured in…
In this paper, we study the problem of estimating a Markov chain $X$(signal) from its noisy partial information $Y$, when the transition probability kernel depends on some unknown parameters. Our goal is to compute the conditional…
We consider a unified framework of sequential change-point detection and hypothesis testing modeled by means of hidden Markov chains. One observes a sequence of random variables whose distributions are functionals of a hidden Markov chain.…
Many problems of practical interest rely on Continuous-time Markov chains~(CTMCs) defined over combinatorial state spaces, rendering the computation of transition probabilities, and hence probabilistic inference, difficult or impossible…
The availability of data sets with large numbers of variables is rapidly increasing. The effective application of Bayesian variable selection methods for regression with these data sets has proved difficult since available Markov chain…
We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…
A new approach is developed for evaluating the convergence rate for nonlinear Markov chains (MC) based on the recently developed spectral radius technique of markovian coupling for linear MC and the idea of small nonlinear perturbations of…
Over the last decade, ingenuous developments in Monte Carlo methods have enabled the unbiased estimation of adjoint-weighted reactor parameters expressed as bilinear forms, such as kinetics parameters and sensitivity coefficients. A…
Parametric Markov chains occur quite naturally in various applications: they can be used for a conservative analysis of probabilistic systems (no matter how the parameter is chosen, the system works to specification); they can be used to…