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Systems of interacting continuous-time Markov chains are a powerful model class, but inference is typically intractable in high dimensional settings. Auxiliary information, such as noisy observations, is typically only available at discrete…
Learning a Markov Decision Process (MDP) from a fixed batch of trajectories is a non-trivial task whose outcome's quality depends on both the amount and the diversity of the sampled regions of the state-action space. Yet, many MDPs are…
This paper addresses the data-driven identification of latent dynamical representations of partially-observed systems, i.e., dynamical systems for which some components are never observed, with an emphasis on forecasting applications,…
Deployed supervised machine learning models make predictions that interact with and influence the world. This phenomenon is called performative prediction by Perdomo et al. (ICML 2020). It is an ongoing challenge to understand the influence…
Motivated by disease progression-related studies, we propose an estimation method for fitting general non-homogeneous multi-state Markov models. The proposal can handle many types of multi-state processes, with several states and various…
We consider estimating the transition probability matrix of a finite-state finite-observation alphabet hidden Markov model with known observation probabilities. The main contribution is a two-step algorithm; a method of moments estimator…
We consider a hidden Markov model with multiple observation processes, one of which is chosen at each point in time by a policy---a deterministic function of the information state---and attempt to determine which policy minimises the…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…
In this paper, we examine identification in dynamic panel logit models with state dependence, a first-order Markov feedback process, and individual unobserved heterogeneity by introducing sufficient statistics for the feedback process and…
We introduce a new procedure to neuralize unsupervised Hidden Markov Models in the continuous case. This provides higher flexibility to solve problems with underlying latent variables. This approach is evaluated on both synthetic and real…
Markov Population Models are a widespread formalism used to model the dynamics of complex systems, with applications in Systems Biology and many other fields. The associated Markov stochastic process in continuous time is often analyzed by…
The lateral position of vehicles within their lane is a decisive factor for the range of vision of vehicle sensors. This, in turn, is crucial for a vehicle's ability to perceive its environment and gain a high situational awareness by…
Applications of stochastic models often involve the evaluation of steady-state performance, which requires solving a set of balance equations. In most cases of interest, the number of equations is infinite or even uncountable. As a result,…
We consider finite model approximations of discrete-time partially observed Markov decision processes (POMDPs) under the discounted cost criterion. After converting the original partially observed stochastic control problem to a fully…
Bayesian methods are increasingly being applied to parameterize mechanistic process models used in environmental prediction and forecasting. In particular, models describing ecosystem dynamics with multiple states that are linear and…
Marked temporal point processes (MTPPs) model sequences of events occurring at irregular time intervals, with wide-ranging applications in fields such as healthcare, finance and social networks. We propose the state-space point process…
Recent wildfires in the United States have resulted in loss of life and billions of dollars, destroying countless structures and forests. Fighting wildfires is extremely complex. It is difficult to observe the true state of fires due to…
Latent space models are popular for analyzing dynamic network data. We propose a variational approach to estimate the model parameters as well as the latent positions of the nodes in the network. The variational approach is much faster than…
Opacity, or non-interference, is a property ensuring that an external observer cannot infer confidential information (the "secret") from system observations. We introduce an information-theoretic measure of opacity, which quantifies…
We introduce Variational State-Space Filters (VSSF), a new method for unsupervised learning, identification, and filtering of latent Markov state space models from raw pixels. We present a theoretically sound framework for latent state…