Related papers: Dense periodic optimization for countable Markov s…
We present a generalization of bilateral weighted shift operators for the noncommutative multivariable setting. We discover a notion of periodicity for these shifts, which has an appealing diagramatic interpretation in terms of an infinite…
This note considers the maximal positively invariant set for polynomial discrete time dynamics subject to constraints specified by a basic semialgebraic set. The note utilizes a relatively direct, but apparently overlooked, fact stating…
Estimating the transition dynamics of controlled Markov chains is crucial in fields such as time series analysis, reinforcement learning, and system exploration. Traditional non-parametric density estimation methods often assume independent…
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded.…
Consider the problem of predicting the next symbol given a sample path of length n, whose joint distribution belongs to a distribution class that may have long-term memory. The goal is to compete with the conditional predictor that knows…
A formula for the transition density of a Markov process defined by an infinite-dimensional stochastic equation is given in terms of the Ornstein--Uhlenbeck bridge and a useful lower estimate on the density is provided. As a consequence,…
We develop a quantitative version of Aubry duality and use it to obtain several sharp estimates for the dynamics of Schr\"odinger cocycles associated to a non-perturbatively small analytic potential and Diophantine frequency. In particular,…
In this work we consider time series with a finite number of discrete point changes. We assume that the data in each segment follows a different probability density functions (pdf). We focus on the case where the data in all segments are…
Over the last three decades, there has been a considerable effort within the applied probability community to develop techniques for bounding the convergence rates of general state space Markov chains. Most of these results assume the…
This paper is devoted to study ergodic optimisation problems for almost-additive sequences of functions (rather than a fixed potential) defined over countable Markov shifts (that is a non-compact space). Under certain assumptions we prove…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
Given a compact parameter set $Y\subset R^p$, we consider polynomial optimization problems $(P_y$) on $R^n$ whose description depends on the parameter $y\inY$. We assume that one can compute all moments of some probability measure $\phi$ on…
If $\mathcal{A}$ is a finite set (alphabet), the shift dynamical system consists of the space $\mathcal{A}^{\mathbb{N}}$ of sequences with entries in $\mathcal{A}$, along with the left shift operator $S$. Closed $S$-invariant subsets are…
We consider a change-point detection problem for a simple class of Piecewise Deterministic Markov Processes (PDMPs). A continuous-time PDMP is observed in discrete time and through noise, and the aim is to propose a numerical method to…
Sampling from discrete distributions is a ubiquitous task in machine learning, recently revisited by the emergence of discrete diffusion models. While Langevin algorithms constitute the state of the art for continuous spaces, discrete…
We study the motion of an active Brownian particle (ABP) using overdamped Langevin dynamics on a two-dimensional substrate with periodic array of obstacles and in a quasi-one-dimensional corrugated channel comprised of periodically arrayed…
We present theoretical guarantees for an alternating minimization algorithm for the dictionary learning/sparse coding problem. The dictionary learning problem is to factorize vector samples $y^{1},y^{2},\ldots, y^{n}$ into an appropriate…
We prove that every topologically transitive shift of finite type in one dimension is topologically conjugate to a subshift arising from a primitive random substitution on a finite alphabet. As a result, we show that the set of values of…
We introduce a class of orbits which may have $0$ Lyapunov exponents, but still demonstrate some sensitivity to initial conditions. We construct a countable Markov partition with a finite-to-one almost everywhere induced coding, and which…
We study multifractal decompositions based on Birkhoff averages for sequences of functions belonging to certain classes of symbolically continuous functions. We do this for an expanding interval map with countably many branches, which we…