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This paper is concerned with the development of rigorous approximations to various expectations associated with Markov chains and processes having non-stationary transition probabilities. Such non-stationary models arise naturally in…
We analyze the properties of degree-preserving Markov chains based on elementary edge switchings in undirected and directed graphs. We give exact yet simple formulas for the mobility of a graph (the number of possible moves) in terms of its…
In offline reinforcement learning (RL), the absence of active exploration calls for attention on the model robustness to tackle the sim-to-real gap, where the discrepancy between the simulated and deployed environments can significantly…
The problem of estimating an unknown discrete distribution from its samples is a fundamental tenet of statistical learning. Over the past decade, it attracted significant research effort and has been solved for a variety of divergence…
This paper considers stochastic-constrained stochastic optimization where the stochastic constraint is to satisfy that the expectation of a random function is below a certain threshold. In particular, we study the setting where data samples…
We consider the synthesis of control policies for probabilistic systems, modeled by Markov decision processes, operating in partially known environments with temporal logic specifications. The environment is modeled by a set of Markov…
We present a novel algorithm to solve a non-linear system of equations, whose solution can be interpreted as a tight lower bound on the vector of expected hitting times of a Markov chain whose transition probabilities are only partially…
We study the ergodic behaviour of a discrete-time process $X$ which is a Markov chain in a stationary random environment. The laws of $X_t$ are shown to converge to a limiting law in (weighted) total variation distance as $t\to\infty$.…
Adaptive Markov chains are an important class of Monte Carlo methods for sampling from probability distributions. The time evolution of adaptive algorithms depends on past samples, and thus these algorithms are non-Markovian. Although there…
We provide a general framework for computing upper bounds on mixing times of finite Markov chains when its minimal ideal is left zero. Our analysis is based on combining results by Brown and Diaconis with our previous work on stationary…
The switch chain is a well-known Markov chain for sampling directed graphs with a given degree sequence. While not ergodic in general, we show that it is ergodic for regular degree sequences. We then prove that the switch chain is rapidly…
Predictability of behavior has emerged an an important characteristic in many fields including biology, medicine, and marketing. Behavior can be recorded as a sequence of actions performed by an individual over a given time period. This…
This paper investigates methods for estimating the optimal stochastic control policy for a Markov Decision Process with unknown transition dynamics and an unknown reward function. This form of model-free reinforcement learning comprises…
We present a data-driven model predictive control scheme for chance-constrained Markovian switching systems with unknown switching probabilities. Using samples of the underlying Markov chain, ambiguity sets of transition probabilities are…
This paper studies the approximation of optimal control policies by quantized (discretized) policies for a very general class of Markov decision processes (MDPs). The problem is motivated by applications in networked control systems,…
Despite the ubiquity of U-statistics in modern Probability and Statistics, their non-asymptotic analysis in a dependent framework may have been overlooked. In a recent work, a new concentration inequality for U-statistics of order two for…
Perturbation analysis of Markov chains provides bounds on the effect that a change in a Markov transition matrix has on the corresponding stationary distribution. This paper compares and analyzes bounds found in the literature for finite…
We study the limit behaviour of upper and lower bounds on expected time averages in imprecise Markov chains; a generalised type of Markov chain where the local dynamics, traditionally characterised by transition probabilities, are now…
We study the worst-case communication complexity of distributed algorithms computing a path problem based on stationary distributions of random walks in a network $G$ with the caveat that $G$ is also the communication network. The problem…
We consider periodic Markov chains with absorption. Applying to iterates of this periodic Markov chain criteria for the exponential convergence of conditional distributions of aperiodic absorbed Markov chains, we obtain exponential…