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The polling system with switch-over durations is a useful model with several practical applications. It is classified as a Discrete Event Dynamic System (DEDS) for which no one agreed upon modelling approach exists. Furthermore, DEDS are…
There is a lack of methodological results for continuous time change detection due to the challenges of noninformative prior specification and efficient posterior inference in this setting. Most methodologies to date assume data are…
A Markov decision process-based state switching is devised, implemented, and analyzed for proximity operations of various autonomous vehicles. The framework contains a pose estimator along with a multi-state guidance algorithm. The unified…
We consider online learning for episodic stochastically constrained Markov decision processes (CMDPs), which plays a central role in ensuring the safety of reinforcement learning. Here the loss function can vary arbitrarily across the…
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,…
We show how Markov mixed membership models (MMMM) can be used to predict the degradation of assets. We model the degradation path of individual assets, to predict overall failure rates. Instead of a separate distribution for each hidden…
Model predictive control (MPC) is a powerful framework for optimal control of dynamical systems. However, MPC solvers suffer from a high computational burden that restricts their application to systems with low sampling frequency. This…
While overfitting and, more generally, double descent are ubiquitous in machine learning, increasing the number of parameters of the most widely used tensor network, the matrix product state (MPS), has generally lead to monotonic…
We introduce and study a multiparameter Poisson process (MPP). In a particular case, it is observed that the MPP has a unique representation. Its subordination with the multivariate subordinator and inverse subordinator are studied in…
This paper presents a time-invariant network flow model capturing two-person ride-pooling that can be integrated within design and planning frameworks for Mobility-on-Demand systems. In these type of models, the arrival process of travel…
Integrating deep learning with latent state space models has the potential to yield temporal models that are powerful, yet tractable and interpretable. Unfortunately, current models are not designed to handle missing data or multiple data…
The stochastic properties of a Langevin-type Markov process can be extracted from a given time series by a Markov analysis. Also processes that obey a stochastically forced second order differential equation can be analyzed this way by…
We propose an approach to design a Model Predictive Controller (MPC) for constrained Linear Time Invariant systems performing an iterative task. The system is subject to an additive disturbance, and the goal is to learn to satisfy state and…
The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler distribution. This process is very useful in several fields of applied and theoretical…
We examine an analytic variational inference scheme for the Gaussian Process State Space Model (GPSSM) - a probabilistic model for system identification and time-series modelling. Our approach performs variational inference over both the…
Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to…
This paper introduces the class of multidimensional self-exciting processes with dependencies (MSPD), which is a unifying writing for a large class of processes: counting, loss, intensity, and also shifted processes. The framework takes…
Embarrassingly parallel Markov Chain Monte Carlo (MCMC) exploits parallel computing to scale Bayesian inference to large datasets by using a two-step approach. First, MCMC is run in parallel on (sub)posteriors defined on data partitions.…
A large, or even infinite, local Hilbert space dimension poses a significant computational challenge for simulating quantum systems. In this work, we present a matrix product state (MPS)-based method for simulating one-dimensional quantum…
Advances in mobile computing technologies have made it possible to monitor and apply data-driven interventions across complex systems in real time. Markov decision processes (MDPs) are the primary model for sequential decision problems with…