Related papers: The minimal hitting probability of continuous-time…
Continuous Time Markov Chains (CTMC) have been used extensively to model reliability of storage systems. While the exponentially distributed sojourn time of Markov models is widely known to be unrealistic (and it is necessary to consider…
The maximization of reach-avoid probabilities for stochastic systems is a central topic in the control literature. Yet, the available methods are either restricted to low-dimensional systems or suffer from conservative approximations. To…
Probabilistic model checking can provide formal guarantees on the behavior of stochastic models relating to a wide range of quantitative properties, such as runtime, energy consumption or cost. But decision making is typically with respect…
To plan safely in uncertain environments, agents must balance utility with safety constraints. Safe planning problems can be modeled as a chance-constrained partially observable Markov decision process (CC-POMDP) and solutions often use…
We investigate the problem of best policy identification in discounted linear Markov Decision Processes in the fixed confidence setting under a generative model. We first derive an instance-specific lower bound on the expected number of…
Bond rating Transition Probability Matrices (TPMs) are built over a one-year time-frame and for many practical purposes, like the assessment of risk in portfolios or the computation of banking Capital Requirements (e.g. the new IFRS 9…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the…
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…
In the theory of Partially Observed Markov Decision Processes (POMDPs), existence of optimal policies have in general been established via converting the original partially observed stochastic control problem to a fully observed one on the…
The main goal of this paper is to apply the so-called policy iteration algorithm (PIA) for the long run average continuous control problem of piecewise deterministic Markov processes (PDMP's) taking values in a general Borel space and with…
We develop a model-free approach to optimally control stochastic, Markovian systems subject to a reach-avoid constraint. Specifically, the state trajectory must remain within a safe set while reaching a target set within a finite time…
We study upper and lower bounds on the sample-complexity of learning near-optimal behaviour in finite-state discounted Markov Decision Processes (MDPs). For the upper bound we make the assumption that each action leads to at most two…
This paper studies the performance and resilience of a cyber-physical control system (CPCS) with attack detection and reactive attack mitigation. It addresses the problem of deriving an optimal sequence of false data injection attacks that…
We study the computational complexity of the infinite-horizon discounted-reward Markov Decision Problem (MDP) with a finite state space $|\mathcal{S}|$ and a finite action space $|\mathcal{A}|$. We show that any randomized algorithm needs a…
This paper is devoted to studying the average optimality in continuous-time Markov decision processes with fairly general state and action spaces. The criterion to be maximized is expected average rewards. The transition rates of underlying…
This paper presents a provably optimal, real-time capable energy management policy for race cars that provides simple human-driver-implementable control cues. Specifically, we first formulate the energy-constrained minimum-lap-time control…
Many probabilistic inference problems such as stochastic filtering or the computation of rare event probabilities require model analysis under initial and terminal constraints. We propose a solution to this bridging problem for the widely…
We study the problem of characterizing the expected hitting times for a robust generalization of continuous-time Markov chains. This generalization is based on the theory of imprecise probabilities, and the models with which we work…
A classic reachability problem for safety of dynamic systems is to compute the set of initial states from which the state trajectory is guaranteed to stay inside a given constraint set over a given time horizon. In this paper, we leverage…