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This paper presents a stochastic model predictive controller (SMPC) for linear time-invariant systems in the presence of additive disturbances. The distribution of the disturbance is unknown and is assumed to have a bounded support. A…

The growing literature on the propagation of COVID-19 relies on various dynamic SIR-type models (Susceptible-Infected-Recovered) which yield model-dependent results. For transparency and ease of comparing the results, we introduce a common…

Direct simulation of biomolecular dynamics in thermal equilibrium is challenging due to the metastable nature of conformation dynamics and the computational cost of molecular dynamics. Biased or enhanced sampling methods may improve the…

This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…

We develop a new computational framework to solve the partial differential equations (PDEs) governing the flow of the joint probability density functions (PDFs) in continuous-time stochastic nonlinear systems. The need for computing the…

Models defined by stochastic differential equations (SDEs) allow for the representation of random variability in dynamical systems. The relevance of this class of models is growing in many applied research areas and is already a standard…

We investigate the large-scale circulation (LSC) in a turbulent Rayleigh-B\'enard convection flow in a cubic closed convection cell by means of direct numerical simulations at a Rayleigh number $Ra=10^6$. The numerical studies are conducted…

Stochastic resetting is a rapidly developing topic in the field of stochastic processes and their applications. It denotes the occasional reset of a diffusing particle to its starting point and effects, inter alia, optimal first-passage…

In the infectious disease literature, significant effort has been devoted to studying dynamics at a single scale. For example, compartmental models describing population-level dynamics are often formulated using differential equations. In…

Dynamic heterogeneity has often been modeled by assuming that a single-particle observable, fluctuating at a molecular scale, is influenced by its coupling to environmental variables fluctuating on a second, perhaps slower, time scale.…

Markov switching models are a popular family of models that introduces time-variation in the parameters in the form of their state- or regime-specific values. Importantly, this time-variation is governed by a discrete-valued latent…

Non-equilibrium Markov State Modeling (MSM) has recently been proposed [Phys. Rev. E 94, 053001 (2016)] as a possible route to construct a physical theory of sliding friction from a long steady state atomistic simulation: the approach…

Psychological change processes, such as university student dropout in math, often exhibit discrete latent state transitions and can be studied using regime-switching models with intensive longitudinal data (ILD). Recently, regime-switching…

A state-space model is a time-series model that has an unobserved latent process from which we take noisy measurements over time. The observations are conditionally independent given the latent process and the latent process itself is…

This paper motivates the use of random-bridges -- stochastic processes conditioned to take target distributions at fixed timepoints -- in the realm of generative modelling. Herein, random-bridges can act as stochastic transports between two…

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,…

Markov branching systems form a fundamental class of stochastic models that are extensively applied in biology, physics, finance, and other domains. These systems are distinguished by their continuous-time evolution and inherent branching…

This work introduces a non-intrusive model reduction approach for learning reduced models from partially observed state trajectories of high-dimensional dynamical systems. The proposed approach compensates for the loss of information due to…

We investigate nonlinear state-space models without a closed-form transition density, and propose reformulating such models over their latent noise variables rather than their latent state variables. In doing so the tractable noise density…

We study a fairly general class of time-homogeneous stochastic evolutions driven by noises that are not white in time. As a consequence, the resulting processes do not have the Markov property. In this setting, we obtain constructive…