Related papers: Asymptotic Analysis and Practical Evaluation of Ju…

Markov jump processes and continuous time Bayesian networks are important classes of continuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast auxiliary…

The time it takes the fastest searcher out of $N\gg1$ searchers to find a target determines the timescale of many physical, chemical, and biological processes. This time is called an extreme first passage time (FPT) and is typically much…

We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…

This paper investigates the random horizon optimal stopping problem for measure-valued piecewise deterministic Markov processes (PDMPs). This is motivated by population dynamics applications, when one wants to monitor some characteristics…

In this paper we consider the problem of parameter inference for Markov jump process (MJP) representations of stochastic kinetic models. Since transition probabilities are intractable for most processes of interest yet forward simulation is…

We study the relation between different Markov Decision Process (MDP) frameworks in the machine learning and econometrics literatures, including the standard MDP, the entropy and general regularized MDP, and stochastic MDP, where the latter…

This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying…

This paper derives the rate of convergence and asymptotic distribution for a class of Kolmogorov-Smirnov style test statistics for conditional moment inequality models for parameters on the boundary of the identified set under general…

We present a new Bayesian inference method for compartmental models that takes into account the intrinsic stochasticity of the process. We show how to formulate a SIR-type Markov jump process as the solution of a stochastic differential…

This paper introduces Discrete Markov Probabilistic Models (DMPMs), a novel discrete diffusion algorithm for discrete data generation. The algorithm operates in discrete bit space, where the noising process is a continuous-time Markov chain…

Although the Bayesian paradigm offers a formal framework for estimating the entire probability distribution over uncertain parameters, its online implementation can be challenging due to high computational costs. We suggest the Adaptive…

We present a learning model predictive control (MPC) scheme for chance-constrained Markov jump systems with unknown switching probabilities. Using samples of the underlying Markov chain, ambiguity sets of transition probabilities are…

We construct a non-decreasing pure jump Markov process, whose jump measure heavily depends on the values taken by the process. We determine the singularity spectrum of this process, which turns out to be random and to depend locally on the…

We investigate the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution in a sequential setup. The aim is to jointly infer the true hypothesis and the true parameter while using on…

We investigate partially observed Markov decision processes (POMDPs) with cost functions regularized by entropy terms describing state, observation, and control uncertainty. Standard POMDP techniques are shown to offer bounded-error…

The molecular evolution in a gene regulatory network is classically modeled by Markov jump processes. However, the direct simulation of such models is extremely time consuming. Indeed, even the simplest Markovian model, such as the…

Noisy sensing, imperfect control, and environment changes are defining characteristics of many real-world robot tasks. The partially observable Markov decision process (POMDP) provides a principled mathematical framework for modeling and…

We present a general framework for applying learning algorithms and heuristical guidance to the verification of Markov decision processes (MDPs). The primary goal of our techniques is to improve performance by avoiding an exhaustive…

Markov decision processes (MDPs) with rewards are a widespread and well-studied model for systems that make both probabilistic and nondeterministic choices. A fundamental result about MDPs is that their minimal and maximal expected rewards…

Semi-Markov processes play an important role in the effective description of partially accessible systems in stochastic thermodynamics. They occur, for instance, in coarse-graining procedures such as state lumping and when analyzing waiting…